IT'S A VOLATILE WORLD
Markets are vulnerable to shocks, ranging from political instability in the US and the EU, concerns over a slowdown in China, fluctuating oil and commodity prices – or simply another Black Swan event. In the past, markets have witnessed bouts of volatility during episodes like the Global Financial Crisis or the collapse in oil prices. Given the possibilities of such volatile conditions, many investors are seeking a core holding in low volatility strategies. These strategies target lower volatility, so prices need to recover less following a market sell down. And because these strategies typically lose less in a downturn, they deliver higher risk-adjusted returns across market cycles – outperforming more volatile indices.
WHY LOW VOLATILITY EQUITY INVESTING WORKS?
Over the last 10 years, the MSCI All Country World Minimum Volatility and Asia Pacific ex. Japan Minimum Volatility Indices have produced higher returns with lower risk. The low volatility result is due to lower drawdowns during adverse market conditions. A portfolio with lower drawdown helps to accumulate returns over the long term through gaining more by losing less.
Source: Eastspring Investments, Bloomberg, in USD as at 31 October 2017 Please note that there are limitations to the use of such indices (index) as proxies (a proxy) for the past performance in the respective asset classes/sector. The historical performance or forecast presented is not indicative of and should not be construed as being indicative of or otherwise used as a proxy for the future or likely performance.
OUR QUANTITATIVE INVESTMENT CAPABILITIES
Eastspring has been managing Asia Pacific ex Japan low volatility equities since 2013. As at 31 October 2017, the dedicated and experienced quantitative specialists with average of 17 years of industry experience was managing USD1.1 billion in Asian equities.
Our portfolio managers begin by analysing nearly 3,500 stocks in Asia and 11,000 in the Global portfolio; the MSCI Asia Pacific ex. Japan Index only has approximately 700 stocks while the MSCI All Country World Index only has approximately 2,500 stocks. This is then filtered for investability using minimum market cap thresholds. Our larger filtered universe allows us to draw on far greater number of potential low volatility candidates for our portfolio.
Portfolio construction and stock selection is largely quantitative, aiming at constructing a minimum volatility portfolio from an investable dividend yield focused universe. An optimisation process is applied to derive the optimal weights. A number of constraints – such as maximum individual stock weight, portfolio concentration, liquidity, sector, country and style exposures – are applied in order to manage systematic and idiosyncratic risk. These weights are selected not to maximize return, but to minimize portfolio volatility, a procedure which is less susceptible to forecasting errors and behavioural issues.
OUR FLAGSHIP FUNDS
QUANTITATIVE INVESTMENT TEAM
Benjamin Dunn, Head of Quantitative Solutions Group
Benjamin (Ben) joined Eastspring Investments, the Asian asset management business of Prudential plc, as Portfolio Strategist in June 2014. Ben is the Head of the Quantitative Solutions Group which incorporates all of Eastspring Investments quantitative activities.
Prior to joining Eastspring Investments, Ben has been a Quantitative Equity Portfolio Manager at Ankura Capital (a BNY Mellon subsidiary) for over 10 years managing both Australian and Japanese funds. He had previously held various roles spanning quantitative research, equity trading and software engineering at Queensland Investment Corporation (QIC) and Queensland Treasury Corporation (QTC). Ben has more than 19 years of financial industry experience.
Ben is a CFA charterholder and holds a Bachelors degree in Information Technology.
Kenneth Tan, Investment Director, Portfolio Manager
Kenneth Tan joined Eastspring Investments, the Asian asset management business of Prudential plc, in August 2015.
Kenneth is the Investment Director for Eastspring Investments Quantitative Investment Strategies and he is a portfolio manager for Eastspring’s Quantitative Equity Funds. He also participates in designing, implementing and managing other systematic equity funds and undertakes research and development of systematic alpha and smart beta investment strategies.
Prior to joining Eastspring Investments, Kenneth was the Head of Asia Quantitative Research with UBS Investment Bank, Hong Kong, responsible for research and advisory on various aspects of the investment process including factor and style research, systematic investment strategies, portfolio construction and risk management. He led his team to second place for quantitative analysis in Asiamoney investor poll, and has individually ranked among the top five quantitative analysts in Asia by Asiamoney. Prior to that, Kenneth was a quantitative strategist with Morgan Stanley, London, and an investment officer at GIC. He has 17 years of financial industry experience.
Kenneth holds a MSc in Mathematics and Finance from Imperial College London and a BSc (Honours) in Actuarial Science from The London School of Economics and Political Science.
William Barbour, Head of Client Portfolio Managers
William (Bill) Barbour joined Eastspring Investments, the Asian asset management business of Prudential plc, as a Client Portfolio Manager (CPM) in June 2014.
Bill is the Head of Client Portfolio Managers where he is responsible for the management of our CPM team and works closely with the investment, sales, marketing and product development teams. He is also the CPM for Eastspring’s Quantitative Equity funds and Eastspring’s Global Asset Allocation team. He has over 36 years of investment experience in managing investments with an emphasis on global equities.
Prior to joining Eastspring Investments, Bill spent 11 years at Deutsche Asset Management Ltd (DeAM) where he was the Investment Specialist in Asia and MENA for DeAM’s global equity strategies. Prior to joining DeAM, he successfully managed Australian and global equity portfolios for Zurich Investment Management and was head of equity investment at two previous Australian investment organisations.
Bill has been a regular columnist in the Australian Financial Review where he contributed a monthly Economic Briefing column which focused on the global economy and related investment topics. He has also appeared in the print media throughout the Asia Pacific region and on business television programs including Bloomberg, CNBC, Sky News and Channel News Asia.
Chris Hughes, PhD, Portfolio Manager
Chris joined Eastspring Investments (Singapore) Limited in 2016 and has more than 16 years of industry experience.
Chris is a member of the Quantitative Investment Strategies (QIS) team and is a portfolio manager for QIS investment products. He also participates in designing and implementing systematic equity funds and undertakes research and development of systematic alpha and smart beta investment strategies.
Prior to joining Eastspring Investments, he worked with UBS Global Asset Management (London & Zurich) for 7 years as a Quantitative Analyst, where he managed multi-region portfolios of equity products, as well as data support for the team.
Prior to that, he was at Credit Suisse Asset Management in London for 2 years, also working in a quantitative investment strategies team.
Chris holds a PhD in Biochemistry and a BSc.(Honours) from Imperial College of Science Technology and Medicine, London and a MSc.(Distinction) from Kings College, London He is also a CFA charter holder.
Jie Lu, CFA, Portfolio Manager
Jie Lu joined Eastspring Investments, the Asian asset management business of Prudential plc, as Portfolio Manager, in April 2017.
He is part of the Quantitative Investment Strategies (QIS) team and is responsible for the Research and Development and management of QIS strategies and funds.
Prior to joining Eastspring Investments, Jie was a Portfolio Manager and Senior Vice President at Acadian Asset Management in Boston, where he worked for over 10 years. He has extensive experience in stock selection factor research for global equity markets as well as systematic country and industry allocation strategies. Jie helped design Acadian's factor backtesting framework and was a member of their investment policy committee overseeing changes to their investment models. In all, Jie has 12 years of investment industry experience.
Jie holds a PhD in Physics from the Massachusetts Institute of Technology and and a Financial Technology Option from MIT Sloan School of Management. Jie also holds an MSc and BSc in Physics from Tsinghua University. He is also a CFA charterholder.
About Eastspring Investments
Eastspring Investments is a leading asset manager in Asia that manages over USD 188 billion (as at 31 December 2017) of assets on behalf of institutional and retail clients. Operating in Asia since 1994, Eastspring is the Asian asset management business of Prudential plc, one of the world’s largest financial services companies.