- Advertisement -
- Advertisement -

Related

‘Quant Winter’ Brings Down Factor Fund

Industry Report

- Advertisement -

Stockholm (HedgeNordic) – Alternative risk premia funds, which employ a rules-based approach to harvest risk premia such as value, quality, or momentum, have struggled to deliver on their promise of strong risk-adjusted returns with low correlation to traditional asset classes in a liquid, cost-efficient and transparent form. One casualty of the recent underperformance is the Evli Factor Premia Fund.

Finnish asset manager Evli has announced the closure of its market-neutral factor fund, Evli Factor Premia. “On November 4, 2021, the Board of Directors of Evli Fund Management Company Ltd decided to terminate the operations of the Special Investment Fund Evli Factor Premium,” Evli writes in an announcement. The asset manager’s three long-only factor funds, which oversee a combined €517.3 million in assets under management, have performed strongly in recent years and will continue to capture sources of extra return stemming from risk factors such as value, low volatility, momentum and quality.

“The Evli Factor Premia Fund is getting closed, unfortunately.”

“The Evli Factor Premia Fund is getting closed, unfortunately,” confirms Peter Lindahl, who is heading Evli’s factor fund team. “Despite being a top relative performer in the Alternative Risk Premia peer group over the past 3-4 years, the absolute performance has been far from great,” continues Lindahl. Evli Factor Premia accumulated a cumulative loss of about 11 percent since launching in late 2017 after booking a loss of 12.4 percent in 2018, a difficult period for many alternative risk premia funds as several factors underperformed in unison.

“Hopefully, ARP strategies will make a comeback at some point, since I still believe it makes sense to harvest factor risk premia in a long-short fashion.”

“The fund is too small and we have not been able to grow it over the past years,” Lindahl comments on the decision to close the Evli Risk Premia Fund. “As someone called 2018-20 the “quant winter,” it has certainly felt like,” he adds. “Hopefully, ARP strategies will make a comeback at some point, since I still believe it makes sense to harvest factor risk premia in a long-short fashion,” emphasizes Lindahl. “I also believe factor risk premia works as a great diversifier in a traditional 60/40 portfolio.”

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

Latest Articles

Formue Highlights Private Credit’s Role in New Economic Era

Nordic wealth manager Formue has long prided itself on delivering institutional-grade investment solutions to high-net-worth individuals. As global economic conditions shift, Formue sees an important role...

Chelonia Select Builds on Solid 2024

Stock-picking hedge fund Chelonia Select is off to a strong start in 2025 with an 8.3 percent gain through the end of May, building...

CABA Capital Expands the Flex Series

Danish fixed-income boutique CABA Capital has launched the third vintage of its leveraged, closed-end fixed income strategy: CABA Flex3. The fund aims to deliver...

Aegon AM Launches Capital Call Finance Fund

Aegon Asset Management has launched the Aegon Capital Call Finance Fund, providing institutional investors with access to the capital call finance market – a...

Evli’s Co-Investment Strategy: Opening the Door to Direct Private Equity Deals

Co-investing alongside private equity funds has become increasingly important for institutional investors seeking greater control, reduced fees, and selective deal exposure. Once reserved for...

From Loans to Layers: Navigating the CLO Capital Stack

Collateralized Loan Obligations (CLOs) play an important role in credit markets by bridging the capital needs of corporate borrowers with the return objectives of...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -
HedgeNordic
Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.