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BNY multi-asset builds out quant team

Thursday, October 04, 2018
Opalesque Industry Update - BNY Mellon Investment Management's U.S. Multi-Asset Manager, has hired an investment team managing quantitative strategies including Risk Parity, Managed Futures and Alternative Risk Premia.

Roberto Croce Ph.D., Berto Brauns and Xuan Huan joined the firm's Boston office. Rob serves as senior portfolio manager and managing director, while Berto and Xuan are senior research analysts. Prior to joining the firm, the team was at Salient Partners, a Houston-based alternative asset manager, where they developed the strategies.

"We are delighted to join a firm with such a strong investment culture," said Croce. "With clients becoming more solutions-oriented, contributing our knowledge and experience to a firm with this breadth of capabilities is very appealing. Leveraging the business's extensive platform and resources will enhance our ability to deliver attractive returns to a broader client base."

The Risk Parity strategy invests in a broad universe of global equities, commodities, sovereign bonds and credit spreads, seeking to generate stable long-term performance through active, risk-based diversification among multiple asset classes. With a track record of more than six years, the Risk Parity strategy is designed to be particularly responsive to changes in market risk and investor sentiment, endeavoring to increase market exposure when market conditions are favorable and reduce market exposure to realize gains and protect against losses when risk appears to increase. The strategy seeks to actively manage risk and deliver a consistent, tailored level of volatility through time.

The Managed Futures strategy takes long and short positions with exposure to global equities, commodities, sovereign bonds and currency markets in an effort to profit from both rising and falling markets. The strategy has a five-year track record and attempts to exploit momentum-the tendency of markets to continue in the same direction they have been going recently-to generate returns.

Jeff Zhang, the firm's CIO, Index and Multi-Asset & Multi-Factor, said, "This team strengthens our liquid alternative capabilities at a time when institutional investors are looking for new investment options and turnkey portfolio solutions."

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