Numeric Global Active Low Volatility

Man Numeric’s Global Active Low Volatility strategy seeks to harvest the low volatility/low beta anomaly in order to provide equity marketing-beating returns, but with less volatility than the market.

This strategy is available in global, multi-regional and long/short varieties.

Approach

Investment process has two main drivers: stock selection and low volatility

  • Stocks selected using quantitative, fundamentally-oriented models
  • Portfolio construction incorporates low volatility characteristics
  • Uses an integrated, single-step optimization process that aims to efficiently negotiate between risk, volatility, alpha and transaction costs
  • Portfolios are re-balanced and traded weekly
  • Robust approach to risk: uses proprietary Statistical Factor Risk Model (‘SFRM’) and a fundamental risk model (Barra)

Single-step portfolio construction offers differentiation

  • Inclusion of our alpha models helps avoid historical biases found in generic low volatility (i.e., avoid anti-value bias)
  • Proprietary transaction cost model helps measure appropriate turnover when needed
  • Tracking error control attempts to minimize tracking error to the extent possible when building low volatility portfolios
  • Multiple risk models for more robust risk control
  • Volatility objective is to minimize total risk

Performance

Strategy

MSCI World

Relative Return

YEAR TO DATE

-7.54%

-1.42%

-6.12%

1 YEAR*

-4.68%

4.36%

-9.04%

3 YEAR*

1.71%

5.96%

-4.25%

SINCE INCEPTION*

3.45%

7.45%

-4.00%

Performance by calendar years

Strategy

2019

21.37%

2018

-9.17%

2017

n/a

Investment Solutions

Man offers a comprehensive suite of investment solutions and formats that can be tailored and optimised to meet specific client needs.

Our investment solutions offer optionality including; liquidity, control, investment restrictions, investor customisation and transparency.

UCITS
Alternative investment funds
US 40 ACT
Regional funds
Separate accounts
Advisory mandates
Managed accounts

Visit man.com where you can find products available in your jurisdiction.

Access to investment products and mandate solutions are subject to applicable laws and regulations including selling restrictions and licensing requirements. Investment solutions listed above may not be compatible for all investment strategies and may be subject to minimum subscription requirements. Regional Funds: In addition to UCITS and AIFs registered across the EEA, a number of investment strategies are available in vehicles registered in Chile, Netherlands, Hong Kong, Japan, Singapore, South Korea and Switzerland.

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