Russell Investments has been appointed to manage a large “stable momentum” mandate, totalling £700 million (€831 million) in size, for RPMI Railpen.
The proprietary systematic strategy was designed in collaboration with Railpen’s investment team, and draws upon Russell Investments’ research into both single and multi-factor investing.
The portfolio has been designed to mitigate the severity of momentum crashes, by looking beyond 12-month returns and identifying stocks that have delivered strong returns with high levels of consistency.
By identifying companies with consistently strong performance patterns it increases the likelihood of the returns persisting in the future, Russell says.
Pascal Duval, Europe, Middle East and Africa chief executive at Russell Investments, said the firm believes factor investment portfolios can complement actively managed multi-asset, multi-manager portfolios, as prevalent levels of volatility in markets require.
As of March 31, 2016, the firm managed £28 billion in rules-based investment strategies, representing 16% of its total assets under management.
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