Equities Low Volatility Strategy
The strategy was launched in 2013 and by the end of 2016, it will earn three years of track record. We expect to receive a good rating by Morningstar for the Danish UCITS mid-January 2017. Historically, the strategy have had a strong performance and fulfilled the expectation put forward when the strategy was launched.
A large number of scientific studies on various stock markets document that equities with low volatility historically have outperformed equities with high volatility. In other words, equities with low volatility realizes higher returns than can be explained by classical theories as CAPM. We exploit this anomaly by investing in equities with low share price volatility and companies with high fundamental quality.
The ambition is to generate at least the same return as the global equity market (MSCI AC World) in the long term with a lower risk (standard deviation) than the market - i.e. a higher Sharpe ratio. At the same time, we expect lower drawdowns than the general equity market in downturns. The fund has only two investment constraints being a lower ex ante standard deviation than the global equity market and a maximum of 30% of assets invested in a single MSCI sector.
In search for the best companies, we use a disciplined bottom-up process featuring quantitative tools as well as qualitative research. Our investment process has four steps: screening, idea, analysis and portfolio.
We continuously monitor the companies in the portfolio to ensure that the investment case is intact. If a stock no longer meet the investment criteria - including the volatility requirement - we sell the stock.