Dans le contexte actuel caractérisé par des taux bas et un niveau élevé des valorisations des actions et des obligations, de nombreux investisseurs se retrouvent contraints d’accepter un niveau de risque trop élevé pour eux afin d’obtenir les rendements qu’ils souhaitent. C’est sur ce constat que nous avons décidé de développer notre stratégie d’investissement « equity premia » dont l’objectif est de générer des rendement stables, décorrélés des marchés actions et des fluctuations de taux d’intérêt.
Les premia sont des primes de risque qui présentent des caractéristiques distinctes (value, momentum, qualité, taille, sécurité, management) et qui offrent différentes sources de rémunération sur les marchés actions.
Pour atteindre notre objectif de rendements stables avec une volatilité modérée, nous exploitons six de ces premia, via une approche systématique basée sur le risque. Il en résulte des portefeuilles composés de positions "long" et "short" afin d’afficher un bêta proche de 0.
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