Frankfurt am Main, April 5 2017
This new, rules-based approach applies the same investment logic as that of the Mandelbrot Market Neutral Germany fund successfully launched nearly two years ago and the Mandelbrot Market Neutral US Technology fund. As with the existing product family, the stocks signalling the greatest performance potential are systematically selected, this time from the STOXX® 600 universe. “Unlike our two existing funds with the Mandelbrot Europe fund we rely on a directional investment approach that relies on the momentum effect,” explains Dr. Wilhelm Berghorn, Managing Director of Mandelbrot Asset Management, “in other words the systematic search for stocks most likely to profit disproportionately from rising markets”. This approach is especially suitable for diversifying strategies, in particular value strategies. The greatly diverging excess returns of the two models, as can be seen in the relevant literature, form the basis for this strategy.
“While the well-known momentum-factor strategies rely on the broadest possible market base, we focus on a portfolio of some 30 equities from the STOXX® 600 universe”, Berghorn continues. In combination with the innovative investment logic, the objective of this strategy is to generate far greater alpha from the momentum effect. “The extent to which this effect can be exploited is evidenced in our asset management since the launch of the strategy one and a half years ago", adds Marcel van Leeuwen from Deutsche Wertpapiertreuhand that also functions as the fund's liability umbrella. "While classic momentum factors managed to generate excess returns in the low single-digit region, the Mandelbrot strategy achieved far stronger results", van Leeuwen continues.
The investment approach relies on the latest findings on the momentum effect that can be attributed to a vision of the mathematician Benoît Mandelbrot using modern analysis methods. The Mandelbrot market model named after him offers an explanation for this effect and bases its theory on fractal markets.
Consistently strong demand for factor approaches
Ever more investors are turning to factor investments because they offer the possibility of diversifying investment style and because the method on which the investment process is based is completely transparent. Investors with market exposure and focus on factor strategies thus gain a key momentum component with the Mandelbrot Europe fund. "It is known that the excess returns from the various factors are slightly, and in the case of the momentum and value approaches, even strongly anticorrelated, enabling considerable diversification effects to be derived from a selective factor portfolio", explains Berghorn. The momentum factor is a particularly crucial component here as it allows comparatively high alpha to be generated at only slightly increased volatility relative to pure market investments.
Rules-based, directional long-only approach
Exploiting the opportunities from the momentum factor in Europe
Diversification possibility in relation to value strategies
Fund name: Mandelbrot Europe
Fund partner: Mandelbrot Asset Management GmbH, Munich / Germany
Investment management company: Universal-Investment-Gesellschaft mbH, Frankfurt am Main / Germany
Depositary: Joh. Berenberg, Gossler & Co. KG, Hamburg / Germany
Fund category: Balanced fund
Fund currency: EUR
Dividend type: Accumulating
WKN / ISIN: A2DHUE / DE000A2DHUE3
Ongoing charges (estimate): 2% p.a.
Minimum first investment: –
Subscription charge: Up to 5%
Performance-linked compensation: Up to 10% of the return generated in the accounting period above the reference value (absolute positive performance with high water mark)
Mandelbrot Asset Management GmbH develops modern investment solutions based on new capital market findings. Dr. Wilhelm Berghorn is the partner and founder of the company. The qualified computer scientist and mathematician has been working with the so-called wavelet analysis for industrial and financial services applications for over 20 years. Two proven experts, Profess. Dr. Heinz-Otto Peitgen and Dr. Sascha Otto, form the scientific advisory committee of Mandelbrot Asset Management GmbH. Peitgen is a mathematician and chaos researcher. His books on chaos theory and fractal geometry have been global bestsellers for almost two decades. Otto graduated in business administration. After completing his PhD, Otto held various positions in different banks, most recently as head of securities and portfolio management at Sparkasse Bremen.
For further information please refer to www.mandelbrot.de