Parametric Portfolio Associates, an affiliate of Eaton Vance, has launched Parametric Research Affiliates Systematic Alternative Risk Premia Fund.
The Fund is co-managed by two Parametric investment professionals: Thomas Lee, Managing Director of Investment Strategy & Research, and Christopher Haskamp, Senior Portfolio Manager. Eaton Vance Management is the Fund’s investment adviser and Parametric serves as the Fund’s subadviser. Research Affiliates, LLC (Research Affiliates) also subadvises the Fund on a nondiscretionary basis.
The Fund’s investment objective is total return. The Fund seeks to provide market exposures across four asset classes – equities, fixed income, commodities and currencies – by taking long and short positions in derivative instruments.
“Risk premia” are the returns assets are expected to generate in excess of the return of a risk-free investment as compensation for taking risk.
The Fund’s strategy focuses on so-called alternative risk premia that are not commonly considered in the management of portfolios investing primarily in securities on a long-only and unlevered basis.
Various factors are drivers of risk premia. The Fund seeks to generate positive returns from exposure to carry, value and momentum factor risk premia. Depending on market conditions, the Fund may also seek to generate positive returns from exposure to the equity volatility factor risk premium.
Lee said: “Our systematic, disciplined approach incorporates factors extensively studied by Research Affiliates that we believe are exploitable across all asset classes.
“We are excited for the opportunity to deliver a strategy that is expected to exhibit low correlation to traditional assets and offers the potential to capture meaningful excess total returns with broad diversification.”
Research Affiliates research director Shane Shepherd said: “With low return prospects across most asset classes, diversifying return drivers becomes increasingly important. Our goal with systematic alternative risk premia is to deliver strong uncorrelated returns in excess of cash within a relatively transparent strategy.”
Parametric, a subsidiary of Eaton Vance Corp., is a leading systematic asset manager focused on delivering elevated, transparent, repeatable investment outcomes by bringing clarity and accessibility to investment science.
Parametric’s solutions apply ingenuity and scientific rigor to manage risks and controls costs across three main categories: better beta, nontraditional alpha and efficient portfolio implementation.
As of June 30, 2018, Parametric managed $231.3 billion assets on behalf of institutions, high-net-worth individuals and fund investors in the U.S. and internationally. Parametric operates from investment centers in Seattle, WA, Minneapolis, MN and Westport, CT.
Research Affiliates, LLC, is a global leader in smart beta and asset allocation. Founded in 2002 and based in Newport Beach, California, Research Affiliates is dedicated to creating value for investors and seeking to have a profound impact on the global investment community through its insights and products.
The firm’s investment strategies are built on a strong research base and are led by Rob Arnott and Chris Brightman. Research Affiliates delivers solutions in partnership with some of the world’s leading financial institutions through its offerings of mutual funds, ETFs, separately managed accounts and/or commingled accounts.
As of June 30, 2018, about $197 billion in assets are managed worldwide using investment strategies developed by Research Affiliates.
Source: Company Press Release