Citywire Selector - For Professional Investors

Register to get unlimited access to Citywire’s fund manager database. Registration is free and only takes a minute.

Why size matters in multi-strategy: a risk premia view

Why size matters in multi-strategy: a risk premia view

The size of a multi-strategy fund can be one of the defining qualities of a strategy and provide both benefits and huge challenges, according to Quoniam Asset Management’s CIO, Thomas Kieselstein.

Speaking to Citywire Selector, A-rated Kieselstein (pictured below) and Citywire + Markus Ebner singled out key challenges for the €163.5 million Quoniam Funds Selection – Global Risk Premia fund.

‘Our active quantitative investment approach allows for an efficient combination of different strategies within a single integrated platform – this is essential not least for multi-asset solutions such as ours.

‘The size of a fund is important. Even with regard to interesting strategies, seed money can be a challenge. Beyond an inflection point strategies can grow very fast ultimately facing capacity constraints,' Kieselstein said.

Ebner added that the Alt Ucits sector has gained traction in recent months due to the current market environment.

‘Due to the low yield and low return environment, in combination with limited risk budgets, multi-asset strategies which provide low correlation with traditional asset classes are gaining in importance.

‘Whereas traditional portfolios usually have high exposure to interest rates and equity beta, it is crucial to distinguish and integrate a variety of unrelated and distinct risk premia to achieve attractive return potential.’

Portfolio moves

The fund has a slight dip in performance in September, but Ebner (pictured below) said the strategy is now almost back to normal.

‘After a very successful multi-year period the stock selection showed a temporary decline in September but is already recovering.

'Sophisticated multi-factor equity premia, such as value, quality, sentiment, size and carry in the fixed income universe are important drivers of performance as well as various FX strategies such as value, momentum and carry’.

‘The implementation of size exposure using single stock European strategies instead of US futures have proven to be more effective. On the other hand, there are theoretical investment opportunities in FX, like Russian ruble, which we did not pursue due to geopolitical risk considerations.’

Unlike most multi-strategy funds, the Quoniam fund is quantitative, which Kieselstein said has been a benefit to the management of the fund.

‘Although based on fundamentals our investment process is purely quantitative. All sub-strategies used in the fund are based on this process in which we automatically evaluate a large amount of relevant data and translate the results into investment decisions, incorporating risk management.'

Over the three years to the end of September 2017, Ebner returned 9.19% in euro terms in the multi-strategy sector. This compares with a 5.59% return by the average manager over the same time period.

Leave a comment!

Please sign in or register to comment. It is free to register and only takes a minute or two.
Events
  • Citywire Luxembourg Forum

    Citywire Luxembourg Forum

  • Citywire DACH 2017

    Citywire DACH 2017

  • Citywire Italy 2017

    Citywire Italy 2017

  • Citywire Berlin 2017

    Citywire Berlin 2017

  • Citywire Miami 2017

    Citywire Miami 2017

  • Citywire Professional Buyer

    Citywire Professional Buyer

  • Citywire Madrid 2017

    Citywire Madrid 2017

  • Citywire Switzerland Retreat 2017

    Citywire Switzerland Retreat 2017

  • Citywire Amsterdam 2017

    Citywire Amsterdam 2017

  • Citywire Frankfurt 2017

    Citywire Frankfurt 2017

  • Citywire Alternative Ucits Retreat 2017

    Citywire Alternative Ucits Retreat 2017

  • Citywire Paris 2017

    Citywire Paris 2017

  • Citywire Milan 2017

    Citywire Milan 2017

  • Citywire Deutschland 2017

    Citywire Deutschland 2017

  • Citywire DACH 2017

    Citywire DACH 2017

  • Citywire Italy 2016

    Citywire Italy 2016

  • Citywire Milan 2016

    Citywire Milan 2016

  • Citywire Alt Ucits 2016

    Citywire Alt Ucits 2016