T&D switches to EM Applications for low volatility strategy
Leading Japanese asset management firm takes EM Applications FASTVaR risk system for its "smart-beta" low risk strategy fund
By: EM Applications Limited
The TDAM Low Risk fund aims to capture the alpha that results from the anomaly whereby higher volatility stocks do not outperform sufficiently well to justify the additional risk involved in holding them. Consequently, a balanced portfolio tilted towards lower volatility stocks is expected to generate superior risk-adjusted returns. The TDAM Low Risk fund aims to deliver excess returns in the medium- to long-term, while maintaining a level of volatility 20-30% below the Market Cap-weighted benchmark index.
Investor interest in "smart-beta"
Peter Ainsworth, Managing Director of EM Applications, said: "We are grateful to T&D and to Mr Takahashi for their confidence in our system and we are excited to have the opportunity to work with a firm of such high calibre. T&D's record of strong investment performance and the growth of its assets under management and its commitment to continual improvement shows that it is a company that is going places. We have been especially impressed with its adoption of the latest asset management thinking, efficiently capturing a market anomaly and integrating an understanding of risk into the investment process."
Katsunori Takahashi, Fund Manager of TDAM, said: "We were intrigued when we were told about EMA's FASTVaR risk model as it claimed to generate a forward-looking covariance matrix, theoretically the perfect fit for our low risk optimized strategy. We were very excited when, after extensive testing, it became clear to us that the model delivered on its promise, building reliably low-risk portfolios and outperforming the competing systems we measured it against. Our low risk fund is a key strategy for us as we believe it delivers what many investors are seeking – the potential of superior long-term returns offered by stock market exposure, but with a reduced level of volatility. With EMA's FASTVaR system in place supporting our portfolio construction we feel we are well equipped to satisfy our investors' objectives."
For interview requests, please contact Andrea Krug, tel. 07740 245 867, emapplications@
Notes to Editors
About EM Applications
EM Applications (www.emapplications.com)
About T&D Asset Management
T&D Asset Management ("TDAM") is a wholly owned asset management subsidiary of T&D Holdings Inc., which is the T&D Life Group's holding company for its three core life insurance companies: Taiyo Life Insurance Company, Daido Life Insurance Company, and T&D Financial Life Insurance Company. T&D Holdings was established in April 2004 and is listed in the 1st section of the Tokyo Stock Exchange. TDAM provides discretionary investment management and advisory services to both domestic and overseas pensions and institutions, and mutual funds to domestic retail clients. As an integrated asset management company, TDAM offers a wide range of products, from traditional asset classes to alternative strategies, but specializes in the management of Japanese asset classes, while forming strategic alliances with various global asset management companies for non-Japanese asset classes.
Peter Ainsworth, MD, + 44 207 148 6092
Page Updated Last on: May 16, 2017