Intech Investment Management has launched its first enhanced global equity strategy.
It has been seeded with funding by one of Europe’s largest pension funds.
The strategy is an extension of both Intech’s global core and enhanced index strategies.
As of 30 November 2009 Global Core has returned 3.88 per cent, annualized and gross of fees, since its inception on 1 January 2005, outperforming its benchmark, the MSCI World Index, by 1.65 per cent.
Enhanced index has returned 2.98 per cent, annualized and gross of fees since its inception on 1 April 1998, outperforming its benchmark, the S&P 500 Index, by 1.28 per cent.
The new strategy is managed using Intech’s mathematical, risk-managed investment process designed to seek long-term returns in excess of the target benchmark. This builds on the same volatility capture strategy the firm has implemented since 1987.
The investment objective of enhanced global is to achieve an excess return above its benchmark, the MSCI Developed World Gross Index, by approximately 1.25 per cent to 1.35 per cent (annualized and gross of fees) over a three-to-five year time period. The tracking error is expected to approximate 1.35 per cent to 1.50 per cent annually over the long term, gross of fees and the information ratio is targeted to be above 0.75.
“The Intech process is designed to target specific levels of excess return over time. This target level of outperformance can be ‘dialed up’ or ‘dialed down,’ according to a client’s risk tolerance,” says Robert A. Garvy (pictured), chairman and chief executive officer of Intech. “The result is an investment approach that has historically delivered high information ratios, a key measure of risk-adjusted excess return, investment efficiency, and consistency long term.”
Intech is an independently managed subsidiary of Janus Capital Group.
