Today’s research is tomorrow’s performance
Investment research is a fundamental part of our company DNA and it underpins every aspect of our investment management process. Research helps us to adapt and refine our approach to stay one step ahead in today’s complex markets.
We believe that today’s research is tomorrow’s performance. It drives innovation, inspires new investment ideas and opens up different ways of thinking. For us, innovation is not about constantly launching new products, but about delivering solutions that meet our investors’ needs.
At Unigestion, we have a long tradition of applying scientific research methods to create sophisticated strategies for our clients. Our global Research Committee leverages specialist skillsets and knowledge from across the firm. We also collaborate with leading universities and industry practitioners to share and develop ideas.
Theory into practice
Research and academic discovery are central to our investment offering. Our risk-managed equity strategy was borne out of our pioneering research into the minimum variance anomaly, which showed that risk-efficient portfolios outperform over the long term. We delved deeper into existing academic theory and adapted it to the practicalities of financial markets. The result was an active, unconstrained strategy that aims to deliver long-term outperformance with reduced downside risk. Over the years, we have incorporated new equity research ideas to evolve and enhance our approach.
In the multi asset space, we developed a unique, macro risk-based allocation framework, following extensive research into active risk-based investing. Key to this process was the creation of our proprietary Nowcaster indicators, again inspired by academic studies. These sophisticated tools use real-time data to assess macroeconomic conditions. This allows us to dynamically adjust our portfolios to ensure they are optimally positioned throughout the cycle.
We also developed our own systematic alternative risk premia capability. Academic research revealed that much of hedge fund alpha could be attributed to the existence of differentiated risk premia. We conducted our own research to develop ways to access these uncorrelated sources of return. Our flagship alternative risk premia stategy uses our macro risk-based approach to deliver returns with limited sensitivity to global markets.
In private equity, we designed an advanced risk measure called Expected Cumulative Downside Absolute Deviation, in partnership with École Polytechnique Fédérale de Lausanne. Based on actual fund cash flows, it aims to quantify the risk that a fund will distribute less or later than expected. More recently, we developed a machine-driven scoring tool to substantiate our human decision-making in private equity fund selection.
Cross-fertilisation of research
Our company-wide Research Committee aims to deliver investable solutions by leveraging specialist skillsets from across the business. Cross-team working groups focus on delivering specific projects designed to enhance our investment processes or techniques. By sharing knowledge and continually challenging the status quo, we constantly seek new ways to improve. We believe this collaborative approach makes each of our investment teams stronger and more competitive than those focused on just one area.
Research is an integral part of working at Unigestion. We set an annual research agenda and all investment professionals are assessed and rewarded based on their contribution. We also organise internal seminars, led by external practitioners and academics, to inspire debate and support professional development. This stimulating and challenging research environment helps us to retain and hire knowledgeable experts.
Expanding the universe of ideas
Our approach to research is based on collaboration. We have built a strong, extended network of industry practitioners and academics to generate and develop ideas. Our Unigestion University Committee works with leading universities from across Europe to access the best students and academics in different scientific disciplines. Given our focus on research, the world of academia is a natural source of new ideas. The rigour of scientific inquiry also aligns well with the way we aim to run our investments.
The Unigestion University Committee includes members from all investment teams, plus external scientific advisers:
- Emmanuel Jurczenko, PhD (Professor of Finance at Glion Institute of Higher Education)
- Julien Penasse (Research Associate at the University of Luxembourg)
- Olivier Gottschalg, PhD (Professor at HEC Paris) on an ad hoc basis
We currently collaborate with a number of prestigious academic institutions, including:
- École Polytechnique Fédérale de Lausanne (EPFL)
- Imperial College Business School, London
- Université de Paris-Dauphine
- Quantitative Management Initiative (QMI), Paris
Recent initiatives include organising and sponsoring research-focused conferences and seminars to foster innovation, such as:
- Our flagship annual research conference ‘New Frontiers in Investment Research’ (organised in collaboration with Imperial College Business School, the Brevan Howard Centre for Financial Analysis, Université Paris-Dauphine and The Standards Board for Alternative Investments). Our 2020 conference focused on developments in machine learning in risk premia and ESG investing.
- Private Markets Research Conference (organised by Emmanuel Jurczenko) in 2019 and planned again for June 2020.
- Sponsoring a special session on ‘Alternative Risk Premia’ at the European Finance Association meeting in 2018.
- Annual Hedge Conference on Advances in the Analysis of Hedge Fund Strategies (organised with Imperial College Business School), focusing on machine learning.
- Alternative Risk Premia Academy Conference in 2019 and 2020, and Factor Investing Conference in 2017 (jointly with QMI). The Alternative Risk Premia Academy was launched by Paris-Dauphine House of Finance, in association with Unigestion. It aims to develop and showcase the very latest empirical and theoretical research on alternative risk premia.
Sharing our research with our investors
Sharing our research and ideas with our investors is a key part of the service we provide. It stimulates debate and is central to our ethos of working with our clients, not for them. We take a strategic approach to research and aim to ensure our research ideas benefit clients across all areas of expertise.
Our clients are our innovation partners. We often conduct bespoke research at our clients’ request to help them address a specific challenge or requirement. By discussing our research with clients, we are able to co-create investment solutions that better meet their needs.
We invite clients to our conferences and seminars, and we keep them informed of our latest projects through our annual research letter. We also regularly publish in peer-reviewed academic and practitioner journals to share our research with our investors and the broader investment community.
- Risk-based investing
- Liquid and illiquid alternative risk premia
- Macro newsflow (Nowcasting)
- Machine learning and big data
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We aim to inspire the next generation of new research talent by offering internships and academic prizes. Through our annual internship scheme, we work with some of the brightest Masters and PhD students on a range of stimulating projects. This research-led programme focuses on applying scientific theory and research methodologies to create practical investment solutions. We offer interns guidance and support from our highly experienced team as well as the opportunity to make a tangible difference.