The insurer method

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Julien Moutier (pictured), senior portfolio manager and analyst at Groupama Asset Management, details the company’s fund selection process.

In France, Groupama positions itself as key player in the insurance sector. Its advertising character Cerise has even become a public figure.

In asset management, Groupama claimed €92.1bn of assets as at end September 2015. Here, the multi-management division of Groupama AM led by Henri Chabadel and Servane Duforest manages around €1.7bn of assets over a range of 10 funds.

Some €1.4bn are invested in seven flexible absolute return funds, €250m in an emerging debt total return fund of funds, and the remaining assets in an emerging equities fund and a high yield global fund.

Supporting the multi-management is a fund selection process that relies on internal expertise to seek out asset classes. The three members of the selection unit each follow some 100 managers and analyse 50 funds annually to propose a final buy list of 40 funds in which ETFs remain a rarity.

The unit applies the constant proportion portfolio insurance method to determine the allocation to both risk and “risk free” assets. By setting a floor below which the value of the portfolio must not fall – to guarantee capital – a “cushion” value is obtained by the subtraction of the portfolio and the floor values.

The team then applies a multiplier to the cushion value that will set the portfolio exposure to different assets.

The more the underlying risk asset performs, the higher is the multiplier and the more assets are allocated to it, and vice-versa.

Both quantitative and qualitative analysis are conducted. However, an operational due diligence only applies to boutiques.

“We do not run database screenings as a starting point for our fund selection process. We rely on our respective knowledge in order to include fund managers we already know within small peer groups,” explains Moutier.

“We perhaps miss a very good manager, but we avoid lots of serial underperformers as well. Being a team of three, we cannot analyse 2,000 funds a year,” he adds.

The team invests in a fund for at least a full market cycle and remains faithful to managers it knows even though doors are not closed for new ones.


Groupama’s selectors look at indicators such as adjusted risk performance, risk management and tracking error when picking a fund.

A manager with short track record would be considered if he previously had a long track record in another company.

But Moutier argues this experience is only valuable if the manager can achieve same performances in his new company with similar conditions and means.

“Motivation is a key factor in the industry. We look very early at managers that are moving and launching their own boutiques, because at the start of the adventure the motivation is real and that makes the difference,” he points out.

The way the portfolio is built matters as well as the identification by the manager of all biases and risk factors dwelling in the portfolio.

Managers with strong convictions are rather avoided: too risky because of over-concentrated portfolios and a stock drop would potentially bring the fund down, Moutier sums up.

Reasons to exit funds include reallocation and pure selection decisions such as unsatisfying performance compared to the benchmark or a peer group, a long period of underperformance, as well as changes in the style or the process.

“We try not to remove the underlying fund when it is possible to do so. Most of the time, we reallocate assets through futures as we do not want to destroy the alpha process of the manager,” Moutier says.


When it comes to fund selection challenges, Moutier ranks liquidity first.

“The liquidity issue resulting from the volatility and banks’ prudential ratios restricts possibilities for banks to hold books, especially on the credit and the emerging debt segments. Each selloff has caused bloodshed,” he says.

Moreover, Groupama’s senior portfolio manager estimates ETFs are not shielded from the liquidity issue.

“ETFs tracking benchmarks are the first to drop when the market plunges. We try to position ourselves on managers that provide liquidity and keep a cash bucket in order to be sheltered.”

“We also ‘purchase’ liquidity in order to be liquidity providers ourselves and take advantage of the situation,” he says.

About clients, Moutier feels they ever more understand that fund performances must be observed over the long term.

“That said, it would be hard to tell them that we can achieve some 8-9% returns because it will be too risky and probabilities are high that we would disappoint them. We try to not oversell products.

“Some 3-4% yield in the current low rate environment remains quite good returns. Achieving performance through risky assets has been difficult all along 2015 whatever the geographical area. Times have been tough for asset allocation,” Moutier assesses.


Julien Moutier

Julien Moutier joined Groupama AM as senior portfolio manager and analyst at the end of 2012.

Formerly, he served as senior portfolio manager focused on fixed income and absolute return strategies at BNPP IP affiliate FundQuest from 2007 to 2012.

Prior to that, he was head of Portfolio Management at Cortal Consors Fund Management, another subsidiary of BNP Group, from 2001 to 2007.

Moutier started his career in 1998 as balanced and fixed income manager at Banque Scalbert-Dupont Gestion, owned by CIC Group, before being appointed forex and fixed income trader in 2001.

Moutier graduated from IESEG business school.