Jyske Capital nominated at the Institutional Investor Peer-to-Peer Awards 2018
We are delighted to announce that Anders Blomgreen on behalf of our Strategic Investment team – which also includes Karsten Sloth - has been nominated for the Best Use of Equity Award at the Institutional Investor Nordic Summit Peer-to-Peer Awards 2018.
Our peers from other asset owners such as pension funds, insurers and foundations are nominating contenders and voting for the winner, making this a true peer recognition. Below is a little more information on our team’s biggest achievements in the last 12 months and the biggest challenges going forward. Please feel free to vote!
We have a long-standing tradition of deliberately targeting exposure to the traditional factors (value, momentum, quality and low volatility). We have had exposure to these in internal managed long-only strategies for many years. In 2017, we have added exposure to relative volatility harvesting through an external manager. The relative volatility is harvested through a strategy that systematically rebalances an equity portfolio. The objective of the strategy is to slightly outperform MSCI World over a full business cycle with lower risk. The aim of adding this strategy to our investment solutions in addition to our existing Low Risk allocation is to increase the robustness of the Low Risk Equity component.
Another big achievement in 2017 is the addition of systematic exposure to alternative risk premia in a long/short format. The allocation is not restricted to equities but also includes other asset classes such as Fixed Income and Foreign Exchange as this makes the strategies robust. Within equities, there is exposure to alternative risk premia in single equities, between sectors and between countries. The long/short strategies are our attempt to obtain exposure that, over time, is uncorrelated to the equity-, credit- and duration risk premia. The traditional risk premia however still consumes the largest part of the risk budget of our investment solutions. Our motivation to add the uncorrelated return sources is to increase the robustness of our overall portfolio.
The biggest challenge going forward will be to balance the risk of the overall investment solution without sacrificing expected return. Finding uncorrelated strategies that comes with enough risk and consequently high expected return – without excessive use of leverage – will be a challenging task going forward. This is especially the case for investment solutions with a high equity allocation.