Solactive releases innovative Global Equity Index with Research Company CIMalgo AB
Solactive is pleased to announce the release of its latest innovation in complex Index development. The Solactive CIMalgo Wedge R100 Index uses sophisticated algorithms that reduce the portfolio’s beta and volatility while keeping exposure to the global equity market.
After the release of a series of thematic indices with various asset managers, Frankfurt’s multi-asset index shop, Solactive, releases a novum in complex indexing: The Solactive CIMalgo Wedge R100 Index contains a scientific approach that intends to track the price movements of a portfolio of 100 equally weighted stocks, selected from a universe of the 2000 largest corporations globally.
CIMalgo’s quantitative strategies refute conventional portfolio theory, which suggests that a reduction of a portfolio’s risk goes in line with a sacrifice in returns. By applying to the base universe a Binary Differential Evolution Algorithm – which is a powerful, fast, and robust optimizer – least qualified securities for the portfolio are filtered from the initial basket. To further refine the index constituents, the methodology utilizes statistical change-point detection when calculating the variance-covariance matrix to identify high volatility amplitudes. The final index results in a portfolio selection avoiding drawdowns without compromising its upside potential.
“A whole universe of complex and elaborated strategies is developed holistically within Solactive,” says Timo Pfeiffer, Head of Research at Solactive. ”The collaboration with CIMalgo was very fruitful since both Solactive and CMIalgo share the same methodological approach towards indexing.”
André L Havas, Senior Partner at CIMalgo, comments: “CIMalgo has developed an investment technique that allows for investors to have exposure towards global equities with superior risk mitigation in place. A consequence of this, in a world of low-interest rates and scarce asset allocation plays, is that the investor can avoid large drawdowns in portfolios without making calls on the global equity market. Any liability or payout-driven investor will be able to hold equities and their inherent superior returns to a higher degree for a longer duration of time with CIMalgo’s technique for mitigating volatility without giving up the upside. For CIMalgo to partner up with Solactive was a natural choice given the sophistication and understanding of complex investment matter, being a true innovator as well as having a global commercial reach.”
Leif G Bohman, CEO & Founder CIMalgo comments: “The objective of the Solactive CIMalgo Wedge R100 index is to significantly outperform leading global indices by an optimized covariation model to deliver sustainable Alpha by reducing the model’s Beta and volatility from a global universe of 2000 Blue-Chip high liquidity stocks and without any market or sector bias.”