Brunel Pension Partnership, the Local Government Pension Scheme (LGPS) in the UK managing investment of the pension assets for the funds of Avon, Buckinghamshire, Cornwall, Devon, Dorset, Environment Agency, Gloucestershire, Oxfordshire, Somerset, and Wiltshire Funds, has confirmed a major investment of almost £1bn in the LGIM (Legal & General Investment Management Ltd) Diversified Multi-Factor Equity Fund backed by Scientific Beta indices. In April, Brunel announced the appointment of LGIM as its passive equity fund manager and has since been transitioning assets to the manager.
The LGIM Diversified Multi-Factor Equity Fund, launched in July 2017 as a commingled life fund for UK institutional clients, allocates between Scientific Beta indices according to regional weights determined by LGIM. The Scientific Beta High-Factor-Intensity Multi-Beta Multi-Strategy EW indices are custom indices that provide strong exposure to the rewarded risk factors (Low Volatility, Value, Low Investment and High Profitability) and a good level of diversification using an equal-weighted combination of the Maximum Deconcentration and Diversified Risk Weighted approaches.
"We looked at a range of approaches to multi factor smart beta investing and believe that the LGIM Diversified Multi-factor Equity fund product which incorporates factor data and research by Scientific-Beta has several distinct advantages, including relatively simple construction, purity of approach and excellent track record,” says Mark Mansley, CIO at Brunel Pension Partnership. “These are combined in a sensible way which avoids many of the issues of some multi-factor approaches. We regard it as a positive that LGIM has been actively involved in developing this product with Scientific-Beta."
"Brunel Pension Partnership's investment in the LGIM Diversified Multi-factor Equity fund is a major vote of confidence in our approach of offering exposure to long-term rewarded risk factors, ensuring a good reward for these factors through good diversification of unrewarded risk, and guaranteeing sound risk management of the investment by implementing risk allocation between well-diversified factor indices,” says Noël Amenc, CEO at ERI Scientific Beta. “We are delighted to see that this philosophy is appealing to one of the major institutional investors in the UK."
As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
ERI Scientific Beta, 1 George Street, #15-02, Singapore 049145. For further information, please contact: contact@scientificbeta.com, Web: www.scientificbeta.com.
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