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Investment Model ARABESQUE SUSTAINABLE GLOBAL EQUITY Investment Model AUGUST 2019 Contents Introduction .............................................................................................................................................................................. 2 History of the Investment Model ........................................................................................................................................ 3 Investment Process ................................................................................................................................................................ 4 Arabesque Investment Universe .................................................................................................................................... 4 Portfolio Construction Process ....................................................................................................................................... 5 Sustainable Global Equity Performance ......................................................................................................................... 12 Comparison of Sustainable Global Equity to Arabesque Systematic ................................................................ 14 Model Behaviour in Bear Markets .................................................................................................................................... 16 Example: Financial Crisis ................................................................................................................................................. 16 Example: Dot-Com Bubble ............................................................................................................................................ 18 1 | P a g e Introduction Arabesque Sustainable Global Equity is an equity investment strategy that combines fundamental financial data, material sustainability information and a rules-based portfolio construction process. As a quantitative strategy, the portfolio construction is determined by a rules-based approach. The strategy incorporates analysis of company fundamentals, earnings, and price momentum, alongside sector and country specific analysis. Arabesque Sustainable Global Equity undertakes weekly trading. Arabesque Sustainable Global Equity is a 100% invested evolution of the Arabesque Systematic strategy. The Systematic strategy has been adapted based on the needs of existing investors who desire a permanent exposure to markets. The goal of reducing the maximum drawdowns in Arabesque Systematic was replaced by maximizing the information ratio in the Arabesque Sustainable Global Equity strategy. This document describes the different steps and components of the Sustainable Global Equity investment model: • The Investment Universe construction (Arabesque Investment Universe), which uses Arabesque S- Ray® to select a universe of liquid and sustainable stocks that form the basis of the Sustainable Global Equity strategy. • The Portfolio Construction Process combines the Momentum Score, Earnings Pressure Score, F/G- Scores and Risk affinity to select stocks for the portfolio. The document further analyses the performance of the Sustainable Global Equity by: • Comparing it to that of the performance of the Arabesque Systematic strategy’s equity allocation and; • Examining the model’s behaviour in recent bear markets. 2 | P a g e History of the Investment Model Initial Research During his PhD studies, Dr Hans-Robert Arndt, now CIO and Head of Quantitative Research at Arabesque, started investigating systematic trading concepts. He began with static models, gaining insight into the risk-return profiles of different trading strategies. From his initial experience, the momentum following paradigm was found most appealing and guided later developments. Development at Barclays The first advanced models were built within Barclays Capital and most of the investment technology behind these models is currently used by Arabesque. Within Barclays Capital the most important developments were the CVaR (Conditional Value at Risk) optimization to control risk across multiple assets and the dynamic parameter calibration to overcome the problem of back-fitting. Individual parts of such technologies were also applied in client projects. Development of Systematic Investment Strategy at Arabesque In order to combine the developed technology with a sustainable equity screening process, the model was improved to handle a dynamic asset universe (previously only a static universe of futures contracts had been used). Furthermore, the backtesting-engine was rebuilt to ensure correctness by design, i.e. the software architecture prevents over-optimization and time travelers. The result of this development was Arabesque’s first strategy employed in a UCITS fund: Arabesque SICAV - Arabesque Systematic. This strategy was launched in August 2014 and has more than 300mn USD under management. Arabesque SICAV – Arabesque Systematic and Arabesque Q3.17 SICAV – Arabesque Q3.17 Systematic received a Morningstar RatingTM of 5 stars. Systematic’s focus on limiting the maximum drawdown for investors by applying a dynamic cash allocation (of up to 100%) geared it towards wealth management and HNW-oriented client groups. Development of Sustainable Global Equity Investment Strategy at Arabesque Given the performance of Arabesque Systematic and institutional client demand for stable risk exposures, the strategy was adapted to be always fully invested in equities. 3 | P a g e Investment Process Arabesque Investment Universe To determine the universe of eligible stocks, we employ a rigorous screening procedure which combines the following: • Liquidity analysis (Free Float > 10%; Market cap > USD 1bn; Average daily turnover over the past 6 months > USD 3mn); • Environmental, social and governance (ESG) issues (the bottom 30% ESG performers per sector are removed); • Alignment with UN principles (the companies with the worst 5% GC Score are excluded); • Business involvement screenings (Depending on clients’ values and preferences, companies involved in specific activities can be excluded. These exclusions can be customized, e.g. in the Arabesque SICAV – Arabesque Systematic universe companies with significant revenues (>5%) coming from alcohol, tobacco, weapons, gambling and coal are excluded). In doing so, Arabesque leverages its S-Ray® tool which monitors the sustainability of over 7,000 of the world’s corporations by combining over 200 environmental, social and governance (ESG) metrics with news signals from over 30,000 sources published in over 170 countries. The inclusion of extra non-financial criteria (ESG Score and GC Score) into the screening process is intended to reduce portfolio risks and generate performance, for example: • Excluding companies that align poorly with the universally appealing values of the UN Global Compact (UNGC) is intended to reduce reputational risks. • The integration of ESG criteria (which is the 1st principle of the UN Principles for Responsible Investment) may help identify firms with lower overall risk and which may have the potential to outperform over the medium- to long-term. Outperformance may be generated through growth related to sustainable products, cost savings with regard to sustainability-related innovation, and reduced operational, regulatory and reputational risks. Through its selection process, Arabesque aims to identify strong investment universes with lower probabilities for tail-risk events and high scores for sustainability criteria. This process is repeated on a quarterly basis. The investment universe is subject to the stock selection approach described in the following sections. 4 | P a g e Portfolio Construction Process The strategy defines the portfolio’s target function as a combined measure of the following: Positive in target function: • Momentum: positive Momentum Score is associated with positive expected return; • Quality: positive Earnings Pressure Score (EP) is associated with positive expected return; • High-Quality Value and Sustained Growth: higher F-Scores and G-G-Scores indicate quality value and sustained growth, and thus are associated with positive expected return. Negative in target function: • Trading costs: the expected return is negatively affected by trading costs for stocks not currently in the portfolio; • Sector pull: transactions that bring the portfolio further away from the investment universe sector allocation are penalized proportionally to the current deviation. Other: • Stock Risk: depending on the market’s direction, the volatility of a stock is treated as a positive or negative factor in the target function. Once the Arabesque Investment Universe is formed, scores (Momentum, EP, F-Score, G-Score) are calculated for each stock in the Investment Universe. These scores are used in the strategy’s target function in determining which stocks compose the portfolio. The overall risk affinity (preference for stock risk) of the portfolio is driven by the average momentum score of the Arabesque Investment Universe. This stands in contrast to the Systematic strategy where the average momentum score is used to determine the equity- cash allocation. The portfolio optimization then selects the portfolio with the highest target function given several constraints (minimum position size, sector exposure, portfolio risk (CVaR), liquidity requirements. Momentum Score At the initial stage of the Arabesque Systematic strategy development, the price momentum following paradigm
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