Fact sheet: LO AltRskPrmV300

Fund information
Fund name
LO Alternative Risk Premia v300 (USD) N
Fund manager company
Lombard Odier
Fund type
Offshore Fund
Fund managers
  • Laurent Jouesince 13/10/2016
  • Marc Pellaudsince 13/10/2016
Fund objective
LO Funds - Alternative Risk Premia v300 is a rule-based portfolio of long-short strategies launched in October 2016. It invests across multiple asset classes (equities, bonds, currencies, commodities, volatility) through liquid derivatives. It seeks to provide uncorrelated sources of returns to traditional asset classes and targets +1.5-2.5% (net of fees) annualized returns above cash with a volatility of 2-3%. Selected strategies are designed to be simple, stable and persistent with strong economic and financial rationales. They draw on two complementary sources of return: income and trend. Income tends to deliver a regular yield flow in stable and improving markets while trend premia have the ability to go against the market and aim to reduce exposure to market drawdowns. The team skill lies in using a risk-based framework to combine these sources of returns helping to create a robust portfolio across varying market cycles.
Benchmark
No data available.
Investment style
Quantitative
Investment method
Mixed
Quick stats
1 Year return
-
1 Year rank in sector
-
Sector
FO Hedge/Stru Prod - Mixed
Yield
-
Ongoing charge (OCF)
?A fund’s ongoing charges figure (OCF) is similar to the old-style total expense ratio. It reflects the annual charge to investors in the fund, in percentage terms, but does not include extra performance-related fees (where these are levied) or the fund’s trading expenses on its underlying investments.
0.97%
Fund size
£27m (£27m last year)
Top in this sector
Fund name1 Year
H2O MultiStrategies36.4%
Castellain Value26.2%
Garraway Fn Trds22.5%
GLG Mkt Neutral20.6%
Pimco GIS Stk Pl19.1%
...more in FO Hedge/Stru Prod - Mixed

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-0.4%0.1%1.7%---
Sector0.4%-0.1%1.8%1.9%3.1%7.1%
Rank within sector124 / 16178 / 17083 / 160---
Quartile4th2nd3rd
Calendar performance
 YTD - 20172016201520142013
Fund1.3%----
Sector1%-0.5%-0.6%5.1%1.4%
Rank within sector78 / 165----
Quartile2nd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
-
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
-
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
-
Price movement
52 week high10.23
52 week low9.96
Current bid price-
Current offer price-
Current mid price10.18
Region
No data available.
Industry sector
No data available.
Asset type
No data available.
Individual holdings
No data available.
Management
Fund manager group
Lombard Odier
Fund manager company
Lombard Odier
Fund type
Offshore Fund
Fund objective
LO Funds - Alternative Risk Premia v300 is a rule-based portfolio of long-short strategies launched in October 2016. It invests across multiple asset classes (equities, bonds, currencies, commodities, volatility) through liquid derivatives. It seeks to provide uncorrelated sources of returns to traditional asset classes and targets +1.5-2.5% (net of fees) annualized returns above cash with a volatility of 2-3%. Selected strategies are designed to be simple, stable and persistent with strong economic and financial rationales. They draw on two complementary sources of return: income and trend. Income tends to deliver a regular yield flow in stable and improving markets while trend premia have the ability to go against the market and aim to reduce exposure to market drawdowns. The team skill lies in using a risk-based framework to combine these sources of returns helping to create a robust portfolio across varying market cycles.
Benchmark
No data available.
Investment style
Quantitative
Investment method
Mixed
Fund managers
NameSinceBiography
Laurent Joue13/10/2016Laurent Joué was a management assistant at Géa from May 2005 to June 2008, where he specialized in developing management tools and quantitative reporting tools for management and sales, as well as analyzing the risks of funds of funds and optimizing portfolios (Riskdata FoFix). Mr. Joué has a Masters from the Institut Supérieur Européen de Gestion and a degree from the Ecole Supérieure de Commerce et de Gestion.
Marc Pellaud13/10/2016Marc Pellaud is a Portfolio Manager in the Systematic Investment Strategies unit. He joined Lombard Odier in 2007 in the Quantitative Analysis team. His previous works were in the field of numerical ecology with various academic and private partners. Marc Pellaud has a Ph.D. from the Swiss Institute of Technology - Lausanne.
Compliance
Transparent for Austrian Tax, UCITS IV Compliant, UCITS V Compliant
Domicile
No data available.
Fund for sale in
Austria, Belgium, Switzerland, Germany, Spain, Finland, France, United Kingdom, Italy, Liechtenstein, Luxembourg, Netherlands, Norway, Offshore, Sweden
LO Alternative Risk Premia v300 (CHF) Syst. Hdg N
Initial charge5%
Annual charge0.6%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.97%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price10.0352
CurrencyCHF
Price updated22/05/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeC1KO
LO Alternative Risk Premia v300 (EUR) Syst. Hdg PA Acc
Initial charge5%
Annual charge0.6%
Min single investment£3,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.6%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price10.0556
CurrencyEUR
Price updated22/05/2017
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeC25L
LO Alternative Risk Premia v300 (EUR) Syst. Hdg SA
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.08%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price10.0693
CurrencyEUR
Price updated22/05/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNWNX
LO Alternative Risk Premia v300 (JPY) Syst. Hdg X1 IA
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.88%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price-
CurrencyJPY
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeC1KM
LO Alternative Risk Premia v300 (USD) N
Initial charge5%
Annual charge0.6%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.97%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price10.1784
CurrencyUSD
Price updated22/05/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeC1KN
Data provided by

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