Natixis: Volatility & Correlations (How did effect in Philippine Economy)
Natixis affiliate Seeyond is the brains behind its actively managed Natixis Seeyond International Minimum Volatility ETF (MVIN), which looks to provide investors with long-term capital appreciation paired with lower volatility while investing in non-U.S. developed markets. Here, Seeyond’s Deputy CEO and CIO Nicolas Just and Head of Client Portfolio Management Alex Piré discuss the quantitative manager’s approach to markets and MVIN’s underlying thesis.
ETF.com: Would you talk about your firm’s perspective on investing?
Just: Seeyond is an active quantitative asset manager with assets under management of $10 billion. We try to use models not to predict the direction of markets; rather, we want to use models in order to understand what kind of risks we find in the markets, what's the structure of risk in the markets, and what kind of portfolios we should build in order to incorporate, integrate or exclude risk dimensions that we want to be exposed to, or not.
What we concentrate on is using correlations in the equity markets, trying to understand where investors see risks, basically, because we think that using statistics to measure risk dimensions can give us some ideas about the protection of investors in the markets. We don’t use the classic tools that 95% of all equity portfolio managers would use, which are essentially an economic scenario including macroeconomic growth, inflation, interest rates, EPS growth and a risk measure like valuations.
We want to look at equity markets from a microstructure point of view. That means we want to analyze every stock that we look at based on their risk profile, i.e., all the correlations that any stock can have with all the other stocks within a universe.