Vincent Batailler, founder and managing partner of Paris-based advisory firm Iodda Advisors, has looked into multi-factor based investment strategies and their proliferation in recent years.
Pointing that three years ago, only around 20 alt-Ucits funds were running a multi-factor based approach with assets under management of €10bn in the firm’s research database of about 500 names, Batailler says that Iodda Advisors currently monitors 71 of these strategies totalling €45bn of AUM.
In Batailler’s view, it is mainstream to say that alt-Ucits fundamental global macro and equity market neutral funds have been disappointing so far. He adds that perhaps even some investors have been upset by some of their investments in these fields.
“Still, on a 3-year time horizon, considering the funds constituting Iodda Advisors’ database, 80% of the multi-assets top 10 performers and 70% of the equity market neutral’s one are fundamental investment processes. Should we conclude that fundamental strategies are actually more effective than factor-based ones? Of course not,” he argues.
Iodda Advisors’ latest whitepaper analyses factors, track records, performances, drawdowns and alpha components of multi-factor based strategies. Read it here: Altucits at a Glance – n°5 – Jan. 2018.