Efficient Diversification
Efficient Diversification
Accessing under-owned assets in multi-asset portfolios
The Strategy seeks to deliver diversified returns that are independent of traditional equity and bond market performance by systematically investing in alternative risk premia across global interest rate and foreign exchange markets.
The Strategy invests exclusively in highly liquid G10 interest rate futures and foreign exchange forwards, accessing five distinct return streams: forward rates bias, rates momentum, rates carry, FX carry real and FX value. The portfolio is constructed to allocate equal volatility contributions to balance risk across these strategies, with the objective of providing investors with a diversified source of returns and low correlation to traditional asset classes.
Managed by Pacific’s Diversifying Assets and Quantitative Investment teams, led by Louis Cucciniello and Ross Wright, respectively, the strategy combines exposure to three of the most extensively researched and academically validated investment factors: value, momentum and carry, implemented through a disciplined, rules-based investment process.
Louis Cucciniello and Ross Wright
Managed by Pacific’s Diversifying Assets and Quantitative Investment teams, led by Louis Cucciniello and Ross Wright, respectively, the strategy combines exposure to three of the most extensively researched and academically validated investment factors: value, momentum and carry, implemented through a disciplined, rules-based investment process.
Louis Cucciniello and Ross Wright
Systematic 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 Ross Wright. They are 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 35 years’ combined investment experience managing alternative risk premia strategies.
TRADE TYPES
Access to diversified return streams that are not correlated to one another
3 factors
MOMENTUM
CARRY
VALUE
5 Individual Risk Premia
FORWARD RATES BIAS
RATES
FX
Allowing investors to choose the best
solutions to meet their individual needs
Solutions
Products
Analytics and research
Customised
Combined
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
THREE MAJOR INVESTMENT PRINCIPLES
1
FOCUS SYSTEMATICALLY ON RATES AND FX
We target systematic exposure to liquid, well-known sources of excess return in G10 rates and currencies
2
premium for complexity
We believe simpler strategies perform just as well and sometimes better than their complex counterparts.
3
ACCESS TO DIVERSIFICATION
We focus on delivering orthogonal returns to investors in a transparent, cost efficient and liquid solution.
Why Invest?
Experienced Investment Team
Over 35 years’ combined investment experience managing alternative risk premia strategies
Cost effective implementation
Trading liquid instruments with a consistent methodology
Target Returns in excess of cash
Portfolio earns overnight cash rates
Uncorrelated to traditional asset classes
Live track record within Pacific Multi-Asset Portfolios
Liquid
Trading only the most liquid financials instruments, G10 futures and forwards
Transparency
Full transparency of all holdings, trades and underlying data
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.
Portfolio managers
Lou Cucciniello
Head of Diversifying Assets and co-manager of Risk Premia
Ross Wright
Head of Direct Indexing & Quantitative Investments
find out more:
Pacific North
of South EM All Cap Equity
Contact us
Speak to a member of the client team to find out more:
Mary Murphy
Head of Distribution
(Single Manager Strategies)
