U.S. & Canada:
Hewes Communications, Inc.
JPES Partners (London)
Phone: +44 (0) 20 7520 7620
NEWPORT BEACH, California (October 23, 2015) —The Pension Protection Fund (PPF) has appointed Legal & General Investment Management (LGIM) to implement a FTSE RAFI™ Low Volatility strategy which aims to increase risk-adjusted returns through both improved performance and reduced risk.
The smart beta strategy is designed to measure the performance of a basket of low volatility stocks screened for value. It employs a fundamental weighting methodology whereby constituent weights are determined using fundamental measures of company size rather than market capitalisation. The strategy’s rules-based construction seeks to avoid overvalued stocks while diversifying across sectors and countries. In addition, it breaks the link between portfolio weight and price by using fundamental measures of company size. This results in a portfolio that has lower turnover and higher liquidity and capacity. The FTSE RAFI Low Volatility mandate is the first of its kind in Europe.
Caroline O’Shaughnessy, Global Head of Sales and Marketing for FTSE Russell, says: “For over ten years the FTSE RAFI partnership has developed innovative smart beta solutions that meet the increasingly sophisticated needs of market participants around the world. This global expertise is underpinned by FTSE Russell’s strong emphasis on replicability and governance. We are delighted that PPF has chosen one of our benchmarks for this mandate.”
Jason Hsu (pictured), Co-Founder and Vice Chairman, of Research Affiliates, says: “All investors are different and have varying needs. With many markets richly valued, some are looking for an efficient way to de-risk the equity exposures within their portfolios. For these investors, a low volatility approach—like the FTSE RAFI Low Volatility strategy—may make a lot of sense.”
Adam Willis, Head of Index Fund Distribution at LGIM, says: ‘In times of economic turbulence the strategy is designed to give surety and meet specific performance criteria required by the PPF. The strategy is the first of its kind in Europe at the moment and I would expect it to generate significant further interest.”
For further information, please contact:
Head of Group Corporate Communications
Phone: +44 (0) 203 124 2095
Legal & General Investment Management Limited
Registered Office: One Coleman Street London EC2R 5AA
Registered in England No 02091894
About Legal & General Investment Management
Legal & General Investment Management (LGIM) is one of Europe’s largest institutional asset managers and a major global investor. LGIM manages £714.6 billion in total assets for more than 3,000 clients.* Throughout the past 40 years we have built our business through understanding what matters most to our clients and transforming this insight into valuable, accessible investment products and solutions. We provide investment expertise across a full spectrum of asset classes including equities, fixed income, commercial property and cash. Our capabilities range from index-tracking and active strategies to liquidity management and liability-based risk management solutions.
*As at 30 June 2015; total assets include assets under management, notional derivative positions and advisory assets.
About Research Affiliates, LLC
Research Affiliates, LLC, is a global leader in smart beta and asset allocation. Dedicated to creating value for investors, we seek to have a profound impact on the global investment community through our insights and products. Our firm is built on a strong research base and we deliver solutions in partnership with some of the world’s leading financial institutions. As of June 30, 2015 over $173 billion of assets are managed worldwide using investment strategies developed by us. Research Affiliates, LLC is headquartered in Newport Beach, California.
The trademarks Fundamental Index™, RAFI™, Research Affiliates Equity™, RAETM and the Research Affiliates™ trademark and corporate name and all related logos are the exclusive intellectual property of Research Affiliates, LLC and in some cases are registered trademarks in the U.S. and other countries. Various features of the Fundamental Index™ methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC. (See all applicable US Patents, Patent Publications, Patent Pending intellectual property and protected trademarks located at https://www.researchaffiliates.com/en_us/about-us/legal.html#patent-trademarks-copyright, which are fully incorporated herein.) Any use of these trademarks, logos, patented or patent pending methodologies without the prior written permission of Research Affiliates, LLC, is expressly prohibited. Research Affiliates, LLC, reserves the right to take any and all necessary action to preserve all of its rights, title, and interest in and to these marks, patents or pending patents.