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True Styles: Getting More Out of
Equity Style Investing
For professional investors only
October 2016
CM10663
Agenda
2
True Styles: getting more out of equity style investing
• Decomposing equity portfolio returns
• Is this a new id...
.
True Styles: getting more out of equity style investing
3
Decomposing equity returns
Source: BMO Global Asset Management...
True Styles: getting more out of equity style investing
4
Who is exploiting factors?
Source: National Bureau of Economic R...
True Styles: getting more out of equity style investing
5
Is this a new idea?
Source: The Journal of Finance For illustrat...
True Styles: getting more out of equity style investing
6
Observed returns of common factors
Source: BMO Global Asset Mana...
.
True Styles: getting more out of equity style investing
7
Will they persist?
Why do factor premia exist?
Compensation
fo...
True Styles: getting more out of equity style investing
8
Observed returns of common factors
Source: BMO Global Asset Mana...
True Styles: getting more out of equity style investing
9
Observed returns to raw and true style
Source: BMO Global Asset ...
Global Equity Market Neutral Strategy V10
10
Cumulative total return
Source: BMO Global Asset Management as at 30.09.2016....
BMO Global Equity Market Neutral Strategy – performance
11
Strategy performance
Source: BMO Global Asset Management, Bloom...
Key portfolio characteristics
12
BMO Global Equity Market Neutral (SICAV)
Source: BMO Global Asset Management as at 30.09....
BMO Global Equity Market Neutral Strategy
13
Does it tick the boxes?
Genuine alternative
Style driven performance
Daily li...
Past performance should not be seen as an indication of future performance. The value of investments and income
derived fr...
Contact us
© 2016 BMO Global Asset Management. All rights reserved. BMO Global Asset Management is a trading name of BMO M...
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Presentacion gestor BMO Global AM: Funds Experience 2016

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Presentacion gestor BMO Global AM con Erik Rubingh: Funds Experience 2016

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Presentacion gestor BMO Global AM: Funds Experience 2016

  1. 1. True Styles: Getting More Out of Equity Style Investing For professional investors only October 2016 CM10663
  2. 2. Agenda 2 True Styles: getting more out of equity style investing • Decomposing equity portfolio returns • Is this a new idea? • Will it persist? • Can we do a better job? • An investment proposition
  3. 3. . True Styles: getting more out of equity style investing 3 Decomposing equity returns Source: BMO Global Asset Management. For illustrative purposes only. Alpha Index Index Alpha Style Premia
  4. 4. True Styles: getting more out of equity style investing 4 Who is exploiting factors? Source: National Bureau of Economic Research
  5. 5. True Styles: getting more out of equity style investing 5 Is this a new idea? Source: The Journal of Finance For illustrative purposes only.
  6. 6. True Styles: getting more out of equity style investing 6 Observed returns of common factors Source: BMO Global Asset Management as at 30.09.2016. Factset. 12.1987 to 30.09.2016. Universe: MSCI World. The returns represent observed outcomes of zero investment portfolios that go long the top 20% of stocks with each particular attribute and go short the bottom 20%, rebalanced monthly, and do not include any transaction costs. This information is not a representative investment strategy but an indication of the efficacy of each style. Logarithmic scale = It shows two equal percent changes plotted as the same vertical distance on the scale. Logarithmicscale 0 100 200 300 400 500 600 700 800 900 1000 -20 Value Size Momentum
  7. 7. . True Styles: getting more out of equity style investing 7 Will they persist? Why do factor premia exist? Compensation for taking risk Result of hardwired human nature Efficient market Behavioural
  8. 8. True Styles: getting more out of equity style investing 8 Observed returns of common factors Source: BMO Global Asset Management as at 30.09.2016. Factset. 12.1987 to 30.09.2016. Universe: MSCI World. The returns represent observed outcomes of zero investment portfolios that go long the top 20% of stocks with each particular attribute and go short the bottom 20%, rebalanced monthly, and do not include any transaction costs. This information is not a representative investment strategy but an indication of the efficacy of each style. Logarithmic scale = It shows two equal percent changes plotted as the same vertical distance on the scale. Logarithmicscale 0 100 200 300 400 500 600 700 800 900 1000 -20 Value Size Momentum
  9. 9. True Styles: getting more out of equity style investing 9 Observed returns to raw and true style Source: BMO Global Asset Management as at 30.09.2016. Factset. 12.1987 to 30.09.2016. Universe: MSCI World. The returns represent observed outcomes of zero investment portfolios that go long the top 20% of stocks with each particular attribute and go short the bottom 20%, rebalanced monthly, and do not include any transaction costs. This information is not a representative investment strategy but an indication of the efficacy of each style. Logarithmic scale = It shows two equal percent changes plotted as the same vertical distance on the scale; PA = Per Annum. *In this example, the ‘Raw Style’ is companies with a high book-to-price ratio **Once our systematic approach has reduced the impact of overlapping styles the ‘True Style’ of companies with a high book-to-price ratio is revealed Logarithmicscale Return (pa) Volatility (annualised) Sharpe ratio Raw Style* 4.4% 12.5% 0.35 True Style** 5.6% 4.8% 1.16 0 100 200 300 400 500 600 700 800 900 1000 0 Raw Value True Value
  10. 10. Global Equity Market Neutral Strategy V10 10 Cumulative total return Source: BMO Global Asset Management as at 30.09.2016. Global Equity Market Neutral strategy performance gross of fees, net of implementation costs.. • Strategy has provided differentiated source of return • Low correlation improves diversification and efficiency of parent portfolio -15% -5% 5% 15% 25% 35% 45% Sep 14 Dec 14 Mar 15 Jun 15 Sep 15 Dec 15 Mar 16 Jun 16 Sep 16 Global Equity Market Neutral Strategy V10 Global Equity Market Neutral Strategy V6 MSCI World
  11. 11. BMO Global Equity Market Neutral Strategy – performance 11 Strategy performance Source: BMO Global Asset Management, Bloomberg as at 30.09.2016. *Strategy inception based on full calendar month performance, 01.10.2014 to 30.09.2016 – daily observations, performance is net of implementation costs and annualised. **BMO Global Equity Market Neutral Strategy [Volatility 6] performance is a simulated or hypothetical past performance and is not a reliable indicator of future performance. Simulated or hypothetical performance results do not reflect actual trading and have certain inherent limitations. Asset class correlations 3 months Year to date 12 months Since inception* (annualised) Volatility since inception (annualised) Global Equity Market Neutral Strategy [Volatility 10] 3.4% -0.5% 2.8% 12.4% 11.0% BMO Global Equity Market Neutral Strategy [Volatility 6]** 2.0% -0.3% 1.7% 7.4% 6.6% 18.7 21.0 -9.1 -6.2 -0.4 -6.1 -25% -15% -5% 5% 15% 25% Global Govt Bonds Global Corporate Bonds Global High Yield Global Equities Emerging Equities Global Hedge Funds
  12. 12. Key portfolio characteristics 12 BMO Global Equity Market Neutral (SICAV) Source: BMO Global Asset Management as at 30.09.2016. *In excess of the risk free rate, gross of fees. BMO Global Equity Market Neutral (SICAV) is an absolute return fund. BMO Global Equity Market Neutral (SICAV) aims to deliver a positive return regardless of market conditions over a three year period but such a positive return is not guaranteed over this or any time period. Capital is at risk and an investor may receive back less than the original investment. Capital is not guaranteed and there is no guarantee that a positive return will be achieved over any time period. Fund aims Targeted styles: • Value • Size • Momentum • Low volatility • GARP (growth at a reasonable price) Fund managers: Erik Rubingh Christopher Childs Structure: Lux SICAV (vol. 6) USD/EUR/GBP/CHF/SEK Target excess return*: 4.5% Assets under management (AUM): €80.6 million
  13. 13. BMO Global Equity Market Neutral Strategy 13 Does it tick the boxes? Genuine alternative Style driven performance Daily liquidity Diversifier Competitive fee     
  14. 14. Past performance should not be seen as an indication of future performance. The value of investments and income derived from them can go down as well as up as a result of market or currency movements and investors may not get back the original amount invested. Disclaimer Equity Market Neutral: An investment strategy that seeks to exploit differences in stock prices by being long and short in stocks within markets, sectors, industries or countries. This strategy is intended to create returns that, over an extended period of time, are uncorrelated with general equity market performance, however this cannot be guaranteed and over discrete periods there may be a high degree of positive or negative correlation. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, endorsed, reviewed or produced by MSCI. None of the MSCI data is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such.
  15. 15. Contact us © 2016 BMO Global Asset Management. All rights reserved. BMO Global Asset Management is a trading name of BMO Management Limited, which is authorised and regulated by the Financial Conduct Authority. Extensive worldwide investment capabilities • Total focus on clients • Comprehensive range of products and solutions • Defined expertise – including a suite of specialist investment boutiques BMO Global Asset Management (EMEA) – Head Office Exchange House Primrose Street London EC2A 2NY Tel: +44 (0) 20 7628 8000 bmogam.com UK-AT-BE-FI-FR-DE-IR-IT-LU-NL-NO-PT-ES-SE-CH

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