Bantleon Systematic Equities

Bantleon Systematic Equities is an active quantitative equity strategy that aims to systematically manage broad equity universes in a risk-optimised manner. The result is an individual equity solution with systematic outperformance against the individually defined benchmark. The return target depends on the relative risk which can be defined individually. The overall solution recommended by Bantleon has a return target of 3.0% p.a. above the benchmark with a relative risk of max. 5%.

At the core of the strategy is the decomposition and subsequent active management of the risk and return factors of each individual stock. The investment strategy is measured against a benchmark that matches the investment universe and is defined by the investor, whereby the individual definition of the relative risk profile is just as possible as the efficient implementation of mandate-specific investment restrictions. Due to its high level of transparency, customisability and benchmark orientation, the strategy is suitable for both regulated and non-regulated investors who are looking for an active management approach with a clear definition of benefits. The strategy has a modular structure:

Core Module

  • Management of a broad equity market
  • Identification of individual company quality through systematic risk decomposition
  • Management of relative risk (e.g. 2% ex ante)
  • Implementation of individual investment restrictions

Module: Economic Cycle-based Allocation Management

In addition to the core module:

  • Management of the cyclical risk and return factors based on Bantleon’s economic forecasts
  • Management of the relative risk (e.g. core portfolio + 3% ex ante)

Modules: Overlay Management and Hedging Strategies

In addition to the core module:
(with or without economic cycle-based allocation management)

  • Management of overall market exposure based on proven models (-20%/+10%)
  • Alternative: hedging strategies

The core module consists of a broad equity universe whose individual stock weighting is based on the individual quality of the companies. However, this is not determined based on conventional profitability or balance sheet ratios, but on the alpha factor identified by Bantleon as part of the risk decomposition.

The core module can be enhanced with active economic cycle-based allocation management. Here, the cyclical factors identified during the risk decomposition – in particular market, interest rate, inflation, currency and commodity risks – are managed at individual stock level depending on the Bantleon’s economic forecasts. In simple terms, this means that in phases of economic upswing, cyclically sensitive companies are overweighted at an early stage at the expense of less cyclically sensitive companies – and vice versa.

In order to manage the overall equity market risk, the strategy can be enhanced by implementing an overlay management and/or a hedging strategy.


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