The fund runs on a quantitative model which constructs a portfolio of long and short positions of around 600-800 based on 5 established investment factors, such as Value, Size, Momentum, Low volatility and Growth at A Reasonable Price (GARP). The portfolio is constructed from sufficiently liquid stocks within the MSCI World Index to maximise exposure to the desired factors, whilst maintaining close to nil market risk or downside correlation to equity markets.
The portfolio utilises leverage and due to the concentrated nature of the portfolio one may expect drawdowns, however the fund delivered excellent risk-adjusted returns in the back testing of the strategy, and since inception.
The fund also exhibits very low downside correlation with other asset classes and absolute return strategies, and is one of the cheapest absolute return strategies available.
Long / Short
Erik Rubingh is Head of the Systematic Strategies team at BMO, joining the company in July 2007. Prior to joining, Erik worked at ABP Investments (now APG Investments), as a senior portfolio manager in the Global Quantitative Strategies Group, latterly as head of the team. Erik graduated from Groningen University with an MSc in Econometrics and is a CFA charterholder.
BMO Global Asset Management is the asset management arm of the Bank of Montreal, the fourth largest Canadian bank by assets which was founded in 1817, making it Canada’s oldest bank. BMO Asset Management manages over £180 billion in assets worldwide (as of December 2017) across asset classes and geographies, with their expertise and reach within the UK growing significantly with the acquisition of F&C Investments in 2014, at the time one of the UK’s largest asset management businesses.