Equities

Efficient Investing in equities

In standard indices equities are weighted according to size (market cap). Research in financial markets confirms that these indices lie below the efficient frontier and do not exhibit an optimal ratio of return to risk. Portfolios can be composed more efficiently.

OLZ portfolio optimisation means efficient implementation of the asset class ‘equities’.

Within an equity universe, OLZ predicts the risk properties (volatilities, correlations) for each individual equity and derives an optimally diversified portfolio. The target portfolio is the ex-ante minimum variance portfolio.

Thanks to its optimal diversification, our portfolio optimisation leads to more stability, which is manifested in lower volatility and lower maximal losses.

In addition, the minimum variance portfolio optimally captures the low volatility premium. Research in financial markets shows that equities with low volatility generate above average returns - known as the low volatility premium.

OLZ minimum variance optimisation is available as funds for a range of investment segments. Direct mandates with client-specific requirements and restrictions are available upon request.

Investment process

OLZ systematically follows a 3-step rule-based investment process without discretionary range for portfolio management.