Vincent D's List: Alternative beta

Groupama to launch a fund based on risk premiums
Groupama Risk Premium distinguishes itself in the French market with its reliance on risk premiums to allocate its portfolio between the three main asset classes (equities, bonds, currencies).
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As a first result of the exclusive partnership formed with DPA Invest and announced last September, Groupama AM is offering a new expertise in its new fund, Groupama Risk Premium.

Groupama Risk Premium distinguishes itself in the French market with its reliance on risk premiums to allocate its portfolio between the three main asset classes (equities, bonds, currencies). The lynchpin of the fund’s strategy is to adjust dynamically the portfolio allocation as the value embedded in these asset classes, gauged by their risk premiums, vary.

Therefore, the management process revolves around three key principles: the estimation of the risk premiums of the different asset classes, reflecting their expected long-term returns; a regular review of the allocation, adjusted for changes in market prices or macro-economic scenarios; the diversification of investments (U.S. and European equities, U.S., European and Japanese bonds, Euro/USD and Yen/USD exchange rates) through highly liquid financial instruments.

Against a backdrop of sovereign debt crisis, Groupama Risk Premium is tailored to the needs of investors seeking to take advantage of the climatic levels reached by the risk premiums of these asset classes [1] . The fund is aimed at medium to long-term investors seeking to benefit from a highly reactive management strategy to optimise the return on their investments.

“Our objective is to outperform a benchmarked management style over the medium terms by adjusting the profolio to market cycles”, explain Olivier Davanne and Thierry Pujol, co-managers (DPA Invest) of Groupama Risk Premium.

At the end of October, since its creation in December 2006, the fund had largely outperformed [2] the Lipper and Europerformance diversified fund indices over 5 years