Skip to main content

Commerzbank launches Liquid Alt certificate tracking Elston index



Commerzbank launches a certificate that tracks Elston’s multi-asset Minimum Volatility Index to provide a “Liquid Alternative” investment strategy

The index was launched in December 2014 and has a two year track record

The strategy has delivered on its target of providing diversified, differentiated returns with minimised portfolio volatility

MEDIA RELEASE 3rd March 2017
ETF specialist Elston Consulting announces today that is has successfully licensed its Elston Strategic Beta Global Minimum Volatility index (ticker ESBGMV) to Commerzbank for the creation of an investable certificate that tracks this innovative index.  The certificate is issued with an initial notional of £10m.

Whereas most Min Volatility indices relate to a single asset class such as Global Equities, Elston’s approach was to launch an index that targeted the minimum volatility portfolio created from a globally diversified range of asset classes represented by low cost iShares® exchange traded funds (ETFs).

The objective of providing diversified, differentiated returns with downside risk mitigation makes this strategy similar in portfolio function to a hedge fund.  Constructing this alternative strategy using a dynamically rebalanced mix of ETFs brings the benefit of transparency, liquidity and lower cost.  

This is why strategies of this nature are sometimes referred to as “Liquid Alternatives”.

Transparency comes from the rules-based approach of the index.  Liquidity comes from the nature of the underlying securities, and lower cost comes from the use of ETFs as the building blocks of the strategy.

Whereas all Elston’s ETF Portfolio strategies are available for licensing to asset managers and financial advisers, the launch of a certificate by Commerzbank makes it convenient for those wishing to access this dynamic strategy with a single holding.

The certificate is available to private banks and discretionary investment managers seeking a lower cost more transparent and liquid alternative to hedge funds.
Ranye Lu, Quant & Index Strategist, Elston Consulting said:
“This index has been tested through some volatile times in the last two years, and we are satisfied that it has delivered in line with its design brief.  It is always important that the strategies we develop are readily investable, so we are delighted that Commerzbank is licensing the index to launch these certificates.”

Christopher Hughes, Head of Structured Solutions, Commerzbank said:
“We have been in discussions with Elston since this index launched, and are delighted to see it reach its two year anniversary.  Our certificate is issued under our popular German programme and the security gives investors a convenient way to access a dynamic multi-asset strategy through a single holding.  Additionally we have scope to hedge returns of the index into major currencies.”

Joe Parkin, Head of iShares Wealth & Retail UK Sales at BlackRock said:
“We aim to offer a broad range of ETFs with different characteristics as building blocks for smarter investment strategies.  We welcome innovation of this kind that makes alternative investment strategies more broadly and cost-efficiently available.”

About Elston Consulting
·         Elston Consulting is a research and development boutique incorporated in 2010.
·         Elston researches and develops portfolios and strategies on a proprietary or white-label basis for asset managers and financial advisers.
·         Multi-asset strategies developed for the UK market, include ETF Portfolios, Target Date Funds, Target Date Indices, and the Elston Strategic Beta® Indices
·         As an ETF specialist, Elston has been a member of BlackRock’s iShares Connect programme since April 2014.  The programme aims to connect ETF specialists with financial advisers looking to construct robust ETF Model Portfolios (EMPs).
·         Elston has worked with index providers such as FTSE and Solactive to create innovative investable indices using proprietary models underpinned by academic research.
www.elstonconsulting.co.uk

Information about the certificate
Information about the certificate is available at COSP867<Go>

Notes about the strategy
·         The Elston Strategic Beta Global Minimum Volatilty Index (ticker: ESBGMV) aims to provide a globally diversified multi-asset long-term growth strategy with minimised portfolio risk (volatility). 
·         The portfolio construction process uses Elston’s proprietary quantitative models for the screening, selection and optimisation of ETFs within the index.
·         Looking at performance of the index in backtest since 2004 and since launch in December 2014, the realised volatility is in line with objectives (see Rolling 12M Volatility chart), whilst the level and distribution of returns is higher and narrower relative to the major asset classes from which the strategy is constructed (see Kernel Density chart).


Source: Elston Consulting



Source: Elston Consulting

About BlackRock
BlackRock is a global leader in investment management, risk management and advisory services for institutional and retail clients.  At December 31, 2016, BlackRock’s AUM was $5.1 trillion. BlackRock helps clients around the world meet their goals and overcome challenges with a range of products that include separate accounts, mutual funds, iShares® (exchange-traded funds), and other pooled investment vehicles.  BlackRock also offers risk management, advisory and enterprise investment system services to a broad base of institutional investors through BlackRock Solutions®.  As of December 31, 2016, the firm had approximately 13,000 employees in more than 30 countries and a major presence in global markets, including North and South America, Europe, Asia, Australia and the Middle East and Africa. For additional information, please visit the Company’s website at www.blackrock.com| Twitter: @blackrock_news | Blog: www.blackrockblog.com| LinkedIn: www.linkedin.com/company/blackrock

About iShares
iShares® is a global leader in exchange-traded funds (ETFs), with more than a decade of expertise and commitment to individual and institutional investors of all sizes. With over 700 funds globally across multiple asset classes and strategies and more than $1 trillion in assets under management as of December 31, 2016, iShares helps clients around the world build the core of their portfolios, meet specific investment goals and implement market views. iShares funds are powered by the expert portfolio and risk management of BlackRock, trusted to manage more money than any other investment firm1.
1 Based on $5.147 trillion in AUM as of 12/31/16

iShares® and BlackRock® are registered trademarks of BlackRock, Inc. and its affiliates (“BlackRock”).  BlackRock makes no representations or warranties regarding the advisability of investing in any product or service offered by Elston Consulting or Commerzbank or any of their affiliates. BlackRock has no obligation or liability in connection with the operation, marketing, trading or sale of any product or service offered by Elston Consulting or Commerzbank or any of their affiliates.
Labels:

Comments

Post a Comment

Popular posts from this blog

The cost of Marmite, and Brexit’s quiet fear gauge

UK commentators are looking for data points that vindicate the Referendum result one way or the other Sterling’s slide and the FTSE 100 Index level together or in isolation are not the best indicators for a Brexit fear gauge The potential inflationary impact of a ‘hard Brexit’ has caused UK breakeven rates to spike, creating a real challenge for the Bank of England Give me a sign Just as high priests in Roman times, after slaughtering their offering, examined its entrails to gauge the Gods’ favour,  so too have UK commentators been searching for any statistical insight or market data point to declare whether the shock Brexit result is likely to lead to economic success or failure. The data point phoney war The data that has come out since the EU Referendum on 23 rd June 2016 is meaningless as we still don’t know what Brexit looks like.  It’s been a phoney war for headlines, as stunned commentators search for a gauge to measure policymakers by. When pol
Post a Comment
Read more

Market timing is a mug’s game

John Authers’ Long View article in the FT this weekend addresses market timing.  While he claims that just passive investors are such bad timers, we would go further: most are. Attempts to time the market (choosing the right moment to buy or sell into risk assets) are a mug’s game.  Great for brokerages that delight in investors’ fees levied to senselessly overtrade.  Bad for investor’s portfolio outcomes.  Despite the annual survey by Dalbar that investors’ attempts to time the market is really bad for their portfolio, people – including some portfolio managers – still try and have a go. The problem is that in timing the market, we become slaves to our behavioural biases around entry points, and the noise around market sentiment.  An investor fearing Brexit might have – out of emotion – sold everything to cash stocked up on gold sovereigns and run for the hills whilst tracing Irish ancestry.  The smart thing was to acknowledge sterling weakness and increase their alloca
1 comment
Read more

UK votes for Brexit

UK public votes 52% to 48% to leave the EU: the exit process could take 2 to 4 years. Regional differences will create further constitutional strain on the UK Pound plunging, and expect UK Equities to follow suit. Expect flight to safety away from risk assets as the market digests the potential for structural change. Brexit it is The UK public has voted to leave the European Union after 43 years in yesterday’s referendum. Leave has 51.7% of votes so far with 71.8% turnout (higher than pervious general election) suggests a vote for Brexit by a narrow margin. The leaving process could take a minimum of two years, and even Leave campaigners don’t expect the process to complete until 2020. Opinion polls were too close to call Polling pointed to a closer result and recent momentum for the Remain campaign which had given markets an element of (false) security: the final poll put 45% Leave, 44% Remain, 11% Don’t Know.  While the binary nature of the debate suggested tha
Post a Comment
Read more