Whatever the level of risk the investor feels comfortable with, Sparinvest’s strategic asset allocation funds are designed to optimize returns using a combination of factor-enhanced quantitative and active strategies.
| |
Minimum
Risk Averse
|
Securus
Cautious
|
Balance
Moderate
|
Procedo
Aggressive
|
Equitas
Aggressive
|
 Equities: |
15% |
25% |
50% |
65% |
100% |
 Bonds: |
85% |
75% |
50% |
35% |
0% |
| Size* |
€ 98 m. |
€ 713 m.
|
€ 1,249 m. |
€ 1,120 m. |
€ 85 m. |
| Morningstar rating™* |
Not rated |
|
|
|
 |
*Per 30.09.2018
Key features of the funds
Sparinvest’s range of blend funds aim to offer the best of all worlds, with clear benefits for advisers and clients alike.
Benefits for the adviser
- Founded on academic evidence, therefore easily justifiable to clients
- Tilted towards known long-term outperformance factors with close to zero correlation
- Equity element is based on factor investing strategies
- Bond element also emphasizes outperformance factors but with human diligence applied to bond selection
- Stable risk profile due to regular rebalancing is an in-built feature
- No/very little observation and maintenance needed
The strategies governing the funds’ subcomponents
Active management is an integral part of the strategy in the subcomponents of each fund, which has created strong historical performance, resulting in high Morningstar ratings (as shown above).
The equity element
The factor-enhanced quantitative strategy used for the blend funds’ equity exposure employs a ‘double-sort’ filtering process to take advantage of the Fama/French factors – value, small-cap and good momentum. The idea of blending equity strategies that behave very differently in different market circumstances (such as value and momentum) is to boost portfolio performance or reduce risk in times of market volatility.
- We invest in undervalued companies (value), companies in a phase of favourable share-price development (momentum), and companies that are discounted by the market due to their size (small-cap)
- Correlation between the factors is low, and sometimes negative. Therefore, the blend of factors improves the efficient frontier of portfolios following this strategy
- At the final stage of the selection process, a preference is given to companies with higher ESG ratings. This is intended to reduce non-financial risks where possible and is in line with Sparinvest’s commitment to the United Nations Principles for Responsible Investment
The bond element (active bond-picking)
The bond element of Sparinvest’s blend funds is - itself - a blend of fixed income asset classes. These include:
Government & covered bonds:
AAA rated European & Danish government bonds, AAA rated European covered bonds, high grade Danish covered bonds (mostly AAA rated) & emerging markets sovereign bonds.
The allocation to Danish covered bonds is invested in mostly AAA-rated bonds, which both offers a yield pick-up, top rating and high liquidity.
Danish covered bonds offer higher expected returns and diversification due to complexity arising from option features and risk management requirements.
The philosophy behind the bond selection is:
Fundamental analysis:
Quant-techniques for risk/reward optimization, utilization of mortgage risk premiums
Long-term investment horizon:
No market timing in relation to interest rates, stable duration, low turnover
Prudent portfolio construction:
Top-down approach to risk management, no leverage & no hidden credit exposure
In addition, we offer an active emerging market approach combining our quantitative emerging markets sovereign model and bottom-up insight from corporate issuers globally.
Our emerging markets model incorporates momentum, political scores and spreads to determine positioning among countries.
Corporate bonds (EUR hedged):
High yield bonds, investment grade bonds & convertible bonds.
High yield bonds
For the high yield allocation, we offer an active global investment approach combining our quantitative scoring model with our bottom up fundamental skills.
Our process focuses on capturing small premiums across a diversified portfolio. The engine of our investments is our global corporate credit-scoring model, which allows us to compare credits across regions and sectors.
Investment grade bonds
In the investment grade universe, we also offer an active global investment approach delivering market returns in steady markets and taking advantage of periods of volatility to enhance returns.
Our risk framework is an integrated part of our portfolio management, which targets risk levels in line, or lower than the market. We expand our risk budget in times of market stress based on themes.
Convertible bonds
Sparinvest has a unique approach in the convertible bond space utilizing factor premia in a quantitative multifactor strategy. Long-term factor premia are well known in the equity space, but less known in the equity-linked world, where Sparinvest is a forerunner harvesting premia like value and small cap.
Sparinvest has a true global and well-diversified portfolio of convertible bonds across regions and sectors that strives to optimize factor exposures while maximizing the unique qualities of the asset class.
A single solution covering the entire risk spectrum
