Factor Driven Portfolios

A-Dex Active Indices are rules based portfolios that can be used to control factor exposures within a fund. A-Dex Active Indices are also constructed specifically to out-perform existing portfolios within a strategy, at a fraction of a traditional active management fee.

Having selected a top-down allocation to funds and rule-based portfolios, A-Dex provides a drilled-down Look-Thru® blend to track. The advantages of such a blend rather than investing in individual ETFs include:  the netting off of trades, a transparent view and performance attribution of the underlying and the seamless implementation of rebalancing that does not involve the dis- and reinvestment between different funds.

Our powerful object orientated Kraken engine is extremely flexible in the range of rules it can apply to portfolio construction. A-Dex has also developed proprietary technology in the Cascading Proportional Matching Method of turnover reduction. Risk and turnover optimised portfolio holdings are rebalanced for the client on a regular basis.

Active Index construction process

 

  • Filter universe by MV, liquidity, and blacklists

    • Rank by primary signal (can be multi-factor, dynamic, or constant signal of 1)

      • Select maximum number of shares and weight constraints

        • Apply sub-signal filters

          • Get to maximum number of shares

            • Apply risk optimisation and constraints

              • Apply turnover optimisation

                • Apply benchmark relative risk control

A-Dex’s Active Index Look-Thru Core® delivers specific fund management advantages over using an ETF

Complete transparency offering a holistic view with the ability to easily analyse the underlying holdings.

Seamless reweighting reducing disinvestments avoiding capital gains events

Risk measurement and control. Managers can explicitly set overall fund risk / tracking error levels and its composition.

Cheaper, through netting-off trades within a single portfolio and one fund administration fee, and no ETF fees.

A-Dex Active Indices deliver risk-optimised factors in a risk-optimised blend with unique top-down blend controls. Our Look-Thru Core® facilitates fund visualisation and control that Multi-Managers will almost certainly not be able to access utilising their existing service providers.

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