French boutique Europanel Research & Alternative Asset Management (Eraam) has soft-launched the Eraam Premia Low Vol fund on 29 December 2016, InvestmentEurope can reveal.
This diversified fund aims to outperform Eonia +0.20% or +0.50 depending of the share class, over a three-year period.
It seeks to catch risk premia through long and short positions in a number of asset classes, including equities, bonds, currencies, commodities. The fund will also look at risk premia related to risk factor and management styles (value, momentum, defensive, short term reversal, trend, implied volatility premium).
The strategy is managed by Cyril Lureau, head of Risk Premia Strategies and partner at Eraam.
It relies on models developed by Newsky, a research firm that applies scientific and mathematics theories to the financial sector. Eraam’s management team takes its decisions independently from Newsky’s models.
Exposure to equity markets will be comprised between -25% and 75% of the fund’s net assets while that to corporate and government bonds will evolve on a -7/+12 range.
The exposure of the Eraam Premia Low Fund to commodities and currencies will vary from -50% to 50%.
Eraam has been established in 1998.