Email: solutions@onepointis.com
Strategic Beta
Mutli-Factor models designed for risk mitigation or return enhancement. These models are designed with customisable constraints allowing clients to create portfolios specific to their risk and return needs. Core to our belief with strategic beta is that portfolio risk characteristics should not be too dissimilar to the beta index they are based upon. While any model can be customised to suit the clients needs and risk apetite, by default we seek to create "beta" portfolios rather than more risk centric modelled alpha.
CSI 300 Index - China A-Shares
- The OnePoint EMVD model out-performed the index at each of the six time markers, ranging from 1 month (+49 bps) to 16 months (+5.32%)
- The OnePoint EMVD portfolio has shown consistently lower risk characteristics (standard deviation -7% and Sharpe Ratio +50%) relative to the index, while maintaining index diversification, averaging 224 or 300 names in the index each month.
- The OnePoint EMVD portfolio has shown consistently stronger fundamental characteristics, relative to the index (lower P/E and P/Book ratios and higher dividend yield).
- The OnePoint EMVD portfolio has exhibited stable and consistent gain/loss ratios and average daily gains over each of the period markers - helping to maintain the goal of modest but consistent outperformance over time.
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All three worst days for the 15 month period occurred in the sell-off of January 2016