BNP Paribas Asset Management has been among the leaders in factor-investing solutions, including low-volatility investing, since 2009 as we seek to serve investors keen to diversify portfolios and target higher risk-adjusted returns.
The objective of our low-volatility strategies is to improve risk-adjusted returns compared to traditional market capitalisation indices. We do this by systematically exploiting low-volatility alpha and mitigating investment risks over the long term.
Integrating sustainability objectives has become crucial in meeting investor expectations and needs.
That is why BNP Paribas Asset Management’s quantitative investment team has added two objectives to the exclusions already in place:
- Increase the portfolio’s score on environmental, social and governance (ESG) criteria relative to the ESG enhanced index (the benchmark minus the 20% of stocks with the worst ESG scores)
- Reduce the portfolios’ carbon footprint by 50% relative to the benchmark’s carbon footprint.
For our low-volatility strategies, sustainable investing can be treated as a third dimension. Investors can tailor their investments based on these objectives: The return they expect; the risk they are willing to take; and the sustainable objectives they seek.
For full analysis of our approach to low-volatility investing, read A practical guide to low-volatility investing