alternative risk premia

The Pacific Asset Management Alternative Risk Premia (ARP) Strategies are a range of strategies that are systematic and non-directional. They provide a transparent alternative to more traditional, opaque and expensive ARP solutions.

Non-directional factor investing with simplicity at its core

The highly experienced team aim to deliver the purest form of risk premia, with simplicity at its core. Our strategies can be accessed via dynamic and forward-thinking platforms that allow investors to choose the best solution to meet their needs.

Specialists in factor creation and quantitative investment analysis

The Risk Premia Investment team comprises two highly experienced managers: Louis Cucciniello and Vladimir Kobelev. Both specialists in factor creation and quantitative investment analysis. The team worked together at Deutsche Bank where they developed and managed quantitative alternative investments.

Before this, Louis served as Managing Director and Global Head of Multi-Asset Trading at Deutsche Bank’s investment bank where he created, traded and managed over $5bn of risk premia strategies.

The team together have over 30 years’ combined investment experience managing alternative risk premia strategies.

Allowing investors to choose the best
solutions to meet their individual needs

Solutions
Products

Analytics and research

Our analytics and research expertise can help clients better understand the risk exposures within their existing absolute return fund portfolios. Our strategies can be used as a completion solution by overweighting or underweighting various Alternative Risk Premia.

Customised

We can design a custom portfolio of Alternative Risk Premia strategies that are tailored to meet specific diversification risk/return and objectives.

Combined

We have the ability to combine several Alternative Risk Premia strategies in a single portfolio, with the objective of delivering attractive risk-adjusted returns that are differentiated from those of core equities and fixed income.
Outstanding track record of producing uncorrelated, positive returns

Louis Cucciniello was Global Head of Risk Factors and Lead Portfolio Manager of a range of Deutsche Bank (DWS) ARP Strategiesfrom 1 Jan 2013 to 1 April 2016 where he managed 14 risk premia strategies which are unchanged and still live today.

The chart shows an equally weighted combined track record of those 14 live strategies.

Louis Cucciniello was Global

Head of Risk Factors & Lead

portfolio Manager of a range

of 16 Deutsche Bank (DWS)

ARP Strategies

From 1 Jan 2013 to 1 Apr 2016

Track record of live PAM’s risk premia.

These risk premia represent the newest

version of the risk premia Louis Cucciniello

ran at DWS.

Model from 2 April 2018 to 28 Sept 2018.

Live money form 1 October 2018 to present

Investment philosophy

Risk Premia’s three major investment principles:

1

Providing systematic exposure to well-known sources of excess return

We believe that a large portion of absolute fund returns can be explained by a range of traditional market factors and alternative risk premia.

2

There is no
premium for complexity

We believe simpler strategies perform just as well and sometimes better than their complex counterparts. Simpler strategies have also shown to have more stable risk/return characteristics.

3

Liquid, Cost Efficient Implementation

We focus on delivering the risk and return patterns of absolute returns funds to investors in a manner that is more transparent, cost efficient and highly liquid.

Why Invest?

A transparent alternative solution to more traditional, opaque and expensive Alternative Risk Premia choices.

Use of proprietary risk premia portfolio design, implementation and automation to create uncorrelated systematic investment strategies.

Highly experienced team with over 30 years’ combined investment experience managing alternative risk premia strategies.

Team utilise expertise across factor creation, portfolio allocation and quantitative investment analysis to deliver the purest form of risk premia, with simplicity at its core.

Strategies can be accessed via dynamic and forward-thinking platforms that allow investors to choose the best solution to meet their needs.

Harnessing returns across Value, Carry, and Momentum styles, covering FX, rates, equities, volatility and commodity asset classes.

There is no premium for complexity. We believe simpler strategies perform just as well and sometimes better than their complex counterparts.
- Louis Cucciniello, Head of Diversifying Assets and co-manager of Risk Premia

Portfolio managers

Lou Cucciniello

Head of Diversifying Assets and co-manager of Risk Premia

Louis is Head of Diversifying Assets at Pacific. Prior to joining in 2016, Louis worked at Deutsche Bank for 10 years, most recently as the Managing Director and the Global Head of Multi- Asset Trading where he created, traded and managed over $5bn of risk premia strategies. In this role, Louis and his team developed and managed quantitative alternative investments.
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Ross Wright

Head of Direct Indexing & Quantitative Investments

Ross Wright is Head of Direct Indexing and Quantitative Investments and joined Pacific in June 2021. Ross, who spent over 15 years at Deutsche Bank between 2003-18 in various senior trading roles, played a pivotal role in the rapid expansion of the bank’s award-winning Fund Derivatives business, helping create a robust, risk-controlled infrastructure. Prior to joining Deutsche Bank in 2003 he spent six years at UBS, establishing the firm’s fund derivatives trading platform. Ross holds a PhD in Mathematics from Imperial College London.

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