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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.
- We've applied the OPIS EMVD model to this multi market index with the portfolio valued in USD. Below we show model performance on an un-hedged basis and then again with a currency hedging programme, with the base currency of USD, a 100% strategic hedge ratio and a -25% tactical hedge ratio. The OnePoint EMVD model (un-hedged) out-performed for the period by 3.8%. Adding the currency overlay, during this period added an additional 1.47% of return.
- The unhedged OnePoint EMVD portfolio has shown higher risk characteristics with standard deviation +11% and also a higher Sharpe Ratio +11% relative to the index, while maintaining diversification similar to 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).
Developed World Index
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