IFM Active Equities: Research Recap 2020
The philosophy underlying our active large cap equity portfolios centres on the belief that listed equity markets are relatively efficient and that the best way to generate consistent value is to use a systematic (or quantitative) approach combined
with the judgment and skills of a fundamental overlay.
Proprietary empirical research and testing are key components of this approach. Through our own research, we seek to continuously evolve our investment process as markets change and existing opportunities are arbitraged away.
We believe the continual evolution of our investment approach through in-depth research has been critical to the team’s track record over the past 20 years.*
Lachlan Davis, Head of Active Large Cap Equities
2020 was a busy year for research, with the team delivering four in-depth whitepapers covering the track record of Concentrated Managers, Low Risk Active Funds, the pit-falls of over reliance on Tracking Error and Expectations @ Risk.
This article summarises the key findings of these research papers and outlines the implications for managing active equity portfolios.
* Past performance is not a reliable indicator of future performance.
About the author
Executive Director, Active Equities
Joined in 2016
Rob is a Senior Portfolio Manager for the Active Equities Team, responsible for stock analysis, systematic research and portfolio construction. He has also written and designed the team’s portfolio analytics software called Portfolio Interactive (PI). Rob has more than 20 years of investment experience and has an extensive background in systematic research and portfolio management. Rob brings a variety of experience spanning numerous roles across three funds management and three broking firms. Within broking, he has built detailed forecast stock valuation & financial statement models across a number of companies drawing on his accounting, fundamental skills and valuation techniques in addition to quantitative research. He also co-authored numerous strategy papers for Goldman Sachs and played a pivotal part in rolling out and managing a derivation of Stern Value Managements Economic Value Add (EVA) modelling. Robs fund management experience varies from being on the global portfolio construction committee at State Street Global advisors to researching and publishing white papers at AMP Capital. It also exposed him to a variety of asset class (FI, Cash, Infrastructure, Property, and Equities) and investment techniques (fundamental, passive, long short, minimum volatility, Asian equities). He joined IFM Investors from AMP Capital where he was Deputy Head of the Multi-Strategy Team.
About the author
Executive Director, Head of Large Cap Active Equities
Joined in 2016
Lachlan leads IFM Investors’ Large Cap Active Equities Team and has more than 20 years of experience in managing equity portfolios. He began his career as a graduate with Shell, then completed an MBA at the Australian Graduate School of Management, which included an exchange to the Stern Business School in New York. He joined AMP Investments in 1996, as part of the Investment Solutions team headed by Dr Jack Gray with a focus on delivering innovative solutions to large institutional clients across a wide range of asset classes. This included work across Equities, Fixed Income, Hedge Funds and infrastructure. In 1997 he joined the Active Quantitative Team in Australian Equities to develop a Long-Short strategy which was launched in 2001. He was responsible, along with Mark McClatchey, for driving a number of innovations including the integration of fundamental and quantitative techniques and further research and refinement of a factor based approach to investing. The team evolved to become the Multi-Strategy Team, which encompassed Enhanced Index, Value, Quantitative, Long-Short (130/30) and Asia-Pacific Market Neutral strategies. These strategies all used a common base of factor investing and were applied over different risk tolerances, horizons and investment markets and could be tailored to the individual institutions bespoke requirements. While at AMP, Lachlan was involved in quantitative research, risk management, portfolio construction, corporate assessment, stock research, business development and management. He was a member of the AMP Global Equities & Fixed Income leadership team and the AMP Investment Committee. At IFM Lachlan is a member of the IFM Risk Committee and Equities Leadership Group. Lachlan was a Director of Scallop Credit Union during his time at Shell and a Director of Gove Aluminium Finance, an AMP/CSR joint venture, during his time at AMP.