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With our fine market expertise, our deep academic understanding, our data knowledge and our IT pragmatism, we design, assemble and enhance Risk Premia into a cost-defying and performance-driven support: ERAAM Premia ©

Risk Premia, a new asset class

The opportunity

A broad-based demand for liquid Absolute Return

  • Most asset classes are expensive
  • World economy is highly leveraged
  • Bonds as portfolio diversifiers are questionable

Risk Premia existence are now empirically and scientifically proven

  • Risk Premia in equity have been studied and used for decades
  • Broad data expansion and increased computer power now demonstrate Risk Premia existence in all asset classes and countries

A significant opportunity to rethink portfolio diversification

  • Premia strategies are liquid, transparent and cost effective
  • Strategies are highly scalable
  • Advanced institutions increasingly use them in their strategic allocation

Better understanding portfolio returns

Portfolio performance attrbution

70% of previously called Alpha is structural and now recognised as Risk Premia

From scientific discoveries to products

  • 12 years after CAPM, first index funds (Wells Fargo 1973, Vanguard 1976)
  • 10 years after Fama-French, first Smart Beta fund
  • 5 years after Andrew Ang, first Risk Premia fund

Research to industry

Each scientific breakthrough leads to a new wave of asset management industrialisation

Growing demand

  • 80% of large international investors have already invested or are starting to invest in Risk Premia
  • Only 20% of smaller investors have already done so

Growing demand

Most large investors have already included Risk Premia in their strategic allocation

Investment philosophy

Our beliefs

  • Individual Risk Premia are cyclical and cost sensitive
  • Differences in design, assembling and implementation can lead to very different results
  • True scientific approach and state-of-the-art engineering are key to achieve outperformance

Our values

  1. Scientific rigour
  2. Robust and systematic implementation
  3. Transparency

Small streams make a big river. The devil is in the detail.

Our competitive edge

Our competitive edge

ERAAM Premia enhances traditional Risk Premia

Investment process

Risk Premia selection

Our scientific Risk Premia selection process:

  1. Economic rationale, statistical significance and long-term robustness analysis
  2. Selection of best factors and investment securities while limiting overfitting
  3. Embedded costs* and correlation measurements in factor performance analysis

Risk Premia selection

Stable and robust performances over long term periods

3 main independent Risk Premia families

To enhance robustness, we aggregate predictors in 3 main sub-strategies comprising homogeneous signals or securities.

Global Multi-Factor Stock Selection

  • L/S market neutral by region
  • Investment universe: 6000+ stocks world
  • Blended multi-factor signals
  • Sharpe ratio target* > 1

Global Value + Carry

  • Fixed Income, FX, commodities, equity indices
  • Investment universe: most liquid futures and options, interest rates swaps
  • Enhanced Value and Carry signals
  • Sharpe ratio target* > 1

Global Trend

  • Fixed Income, FX, commodities, equity indices
  • Investment universe: most liquid futures, interest rates swaps
  • Multiple frequencies trend following signals

A 2-step portfolio construction process to achieve robust diversification

Portfolio construction

Portoflio construction

Bottom-up Risk Premia design and top-down construction for a diversified agnostic portfolio

Risks

Risk and reward profile: 3.

This indicator is used to measure the level of risk to which the capital is exposed and the fund’s performance. Historical data, such as that used to calculate the synthetic indicator, may not be a reliable indicator of ERAAM Premia’s future risk profile. The associated risk category is not guaranteed and may change over time. Past performance is not an indicator of future performance. The lowest category is not necessarily “risk-free”. The capital initially invested is not guaranteed. Risk indicator level 4 reflects the risks arising from exposure to the equities, government bonds and private issuers markets, to currency markets and raw materials markets.

Major risks for ERAAM Premia not taken into account in the benchmark are:

  • Counterparty risk: This is the risk associated with the counterparty’s ability to honour its commitments, such as payment, delivery and reimbursement. In the event of a counterparty default, the Fund’s net asset value could fall.
  • Credit risk: This is the risk of a sudden deterioration in the quality of the signature of an issuer or of its default. The net asset value may fall in the event of a downgrading of the issuer's rating.
  • Derivative instruments risks: Derivatives are highly sensitive to changes in the value of the underlying asset. The higher the percentage of derivative instruments in the fund, the higher the risks for Eraam Premia. The use of derivative instruments may lead to leverage for Eraam Premia, either upward or downward.
  • Liquidity risk: the fund may invest in securities that may be difficult to trade or momentarily impossible to trade, because of the absence of exchanges on the market, or due to regulatory restrictions, which could negatively impact the net asset value.