We are delighted to share with you our most recent research piece entitled: “TOBAM LBRTY® EM strategy: empirical facts”.
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TOBAM recently implemented LBRTY®, a strategy aiming to reduce direct and indirect exposure to the autocracy risk factor, understood as the risk associated with investing in autocratic regimes. This note discusses TOBAM LBRTY® Emerging Markets strategy, through 3 features: |
1. LBRTY® EM, contrary to its benchmark, tilts away from stocks linked to authoritarian regimes;
2. LBRTY® EM differs from a traditional factor portfolio: beta to factors exhibits variability over time, in both direction (sign) and size (magnitude);
3. Most of LBRTY’s excess return comes from limiting indirect exposure to autocracies.
We hope you will enjoy the read and welcome your feedback. Please contact [email protected] or your usual TOBAM contact for any requests.
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