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SYZ launches new global multi-asset OYSTER fund with active risk management

Wednesday, June 24, 2015
Opalesque Industry Update - SYZ Asset Management, the asset management division of the SYZ Group, has launched OYSTER Multi-Asset ActiProtect, a new sub-fund of its Luxembourg SICAV (UCITS).

Managed internally by the Multi-Asset team, the fund offers dynamic multi-asset management that seeks to generate two-thirds of the performance of global equities over the medium to long term with only a third of their risk. The fund invests throughout the world particularly through futures and index-based products by acquiring exposure to a wide range of assets, such as bonds, equities, currencies, gold and cash.

The main innovation lies in dynamic management of the risk budget, which combines economic scenario modelling and systematic monitoring of the maximum drawdown. This is realized through a proprietary hedging methodology aimed at limiting the maximum drawdown to a 10%.

Two-thirds of the performance with a third of the risk
OYSTER Multi-Asset ActiProtect is a flexible multi-asset fund that invests in and acquires exposure to a wide universe of asset classes comprising bonds (10-year and 30-year US Treasury, UK Gilts, German and Italian government bonds), equities (Europe, US, Japan, UK, Switzerland, emerging markets), cash, currencies and precious metals (USD, JPY, GBP, AUD and Gold).

The fund’s objective is to achieve two thirds of the performance over the medium to long term of the global equities index (MSCI World CR EUR), with only a third of its risk (5% to 7% volatility per year).

The fund’s exposure may vary between 0% and 130%, and may invest only in liquid instruments, such as futures, forward exchange contracts, and ETPs (Exchange Trade Products) (maximum 10%).

OYSTER Multi-Asset ActiProtect is managed through a collaborative approach by Fabrizio Quirighetti (team manager), Guido Bolliger, Claude Cornioley, and Adrien Pichoud, within the Multi-Asset team of SYZ Asset Management (Suisse) SA. Guido Bolliger and Claude Cornioley are two seasoned quant investment professionals who have recently joined SYZ Asset Management. Claude Cornioley was previously a partner at Dynagest SA. Guido Bolliger was CIO at Olympia Capital and, prior to that, Senior Quant Analyst at Julius Baer. They bring additional set of skills to the SYZ Group in dynamic portfolio hedging and risk-based asset allocation.

A particularly innovative multi-asset approach
There are several types of multi-asset investment solutions. The most traditional, the balanced funds solution, seeks to reduce risk mainly through diversification. However, the correlation of asset classes tends to increase strongly in times of crisis, which may result in sharp declines. Other more recent techniques, such as the “minimum variance”, “risk parity”, and “CPPI” (Constant Proportion Portfolio Insurance) strategies, focus on risk management, without taking a position on market trends.

The ActiProtect strategy developed by SYZ Asset Management is therefore particularly innovative, as it starts from a macroeconomic assessment in order to determine a desired asset allocation, before applying a dynamic allocation of the risk budget, supplemented by dynamic hedging aimed at limiting the maximum drawdown to 10%.

A solid process
The fund manager’s investment process includes 4 key steps. The first is an objective assessment of the macroeconomic situation, particularly economic growth and inflation, in order to determine the current environment (pro-cyclical, stagflation, reflation, disinflation, or deflation) and which asset classes are to be favoured or avoided based on the manager’s analysis.

Second, the choices are put to the test using a multi-factor analysis of their valuation, their prospective yields, their risk, and the existence of catalysts capable of changing prices. This makes it possible to, for example, move from a general preference for equities to an investment conviction for European rather than US equities.

The third step transforms these convictions into capital allocations using a proprietary model that aims to keep the portfolio’s total volatility within the defined range of 5% to 7%. The last stage of the process involves preventing the fund from falling by more than the maximum authorised limit (10%) during periods of high volatility. This is done using a proprietary methodology that increases the share of risk-free assets when the risk of exceeding the permitted threshold becomes too high.

A wide range of multi-asset strategies
In the current environment of very low interest rates, investors are having difficulty finding valid alternatives to their cash or bond allocations. In addition, with the current economic downturn, many investors are also concerned about the volatility of stock markets and the historically high level of equities. In this scenario, the reliable multi-asset solutions developed by SYZ Asset Management - OYSTER Multi-Asset Diversified, OYSTER Multi-Asset Absolute Return, OYSTER Multi-Asset Inflation Shield, and the most recent creation, OYSTER Multi-Asset ActiProtect, represent a third attractive route offering complementary strategies.

"OYSTER Multi-Asset Actiprotect rounds out our range of multi-asset funds. This addition allows us to expand our client offering with innovative investment solutions, focused on risk allocation and dynamic beta management," said Katia Coudray, CEO of SYZ Asset Management.

“Multi-Asset” is the new branding for the funds managed by the Multi-Asset team
In order to unify the branding of the funds managed by the Multi-Asset team, the prefix “Multi-Asset” has been added to this range. The names of the funds managed by the Multi-Asset team have therefore been changed as follows:

OYSTER Diversified is becoming OYSTER Multi-Asset Diversified
OYSTER Absolute Return EUR is becoming OYSTER Multi-Asset Absolute Return EUR
OYSTER Multi-Asset Inflation Shield: no change
OYSTER Multi-Asset ActiProtect: no change

Press release


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