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 Connectprogramme 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.
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).
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
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.