(The following statement was released by the rating agency)
Link to Fitch Ratings' Report: LO Funds - All Roads
PARIS/LONDON, February 26 (Fitch) Fitch Ratings has affirmed LO
Funds - All
Roads' (All Roads) 'Strong' Fund Quality Rating, a fund managed
by Lombard Odier
Investment Management (LOIM).
KEY RATING DRIVERS
All Roads is a sub-fund of LO Funds, Lombard Odier's Luxembourg
SICAV, which is
UCITS IV compliant. Launched in January 2012, All Roads is a
with EUR145m of assets as of end-December 2013.
The fund uses a risk parity approach, first developed in 2008,
implemented in a
robust manner through internal funds, futures and CDS
investments across five
asset classes to deliver an Eonia +5% performance while limiting
performance drawdowns to 10%.
The portfolio is rebalanced systematically against an equal risk
allocation derived from long-term asset correlations and
Risk parity is also applied in the equity and commodity buckets
weights are based on a fundamental scoring of indebtedness and
"smart beta" approach, pioneered by LOIM, improves back-tested
Sharpe ratios and
constitutes a competitive edge for the fund.
Risk discipline is strongly embedded in the investment
philosophy and model
parameters. The fund adjusts its overall risk budget based on
The fund is managed by the 20-staff Solutions team, with six
multi-assets. Pivotal to the process, a scalable proprietary
supports model testing and portfolio monitoring and rebalancing.
The fund also
benefits from LOIM's dedicated trading desk and overall risk
Since inception in January 2012, the fund has performed in line
risk parity peer group but is below its performance target. The
mandates managed under the same approach since 2009 have
delivered on their
absolute objective since inception. In 2013, risk parity funds
by duration and asset class correlation.
LOIM is the asset management division of the Swiss private bank
SCA (AA-/Stable/F1+). The company managed USD48bn as at December
USD8bn in risk-based strategies. The infrastructure is well
suited to the
The rating may be sensitive to material changes in the
investment or operational
processes, or resources dedicated to the fund. A material
adverse deviation from
Fitch's guidelines for any key rating driver could result in a
example, this may be manifested in significant structural
deterioration in the
fund's performance resulting from a model error or inadequacy,
as measured by
drawdown or underperformance relative to objective and peers.
there is currently limited potential for a positive rating
action due to the
fund's already high rating.
Fitch's Fund Quality Ratings combine Fitch's experience in
analysis with rankings and performance data from Lipper, a
company. Fitch's Fund Quality Ratings offer an independent,
assessment of a fund's key performance and risk attributes and
longer-term returns, relative to peer group or benchmarks. The
ratings focus on
the fund manager's investment process, key fund performance
management, and the quality of the fund's operational
For more information, see www.fundmanagement.fitchratings.com
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Fitch France S.A.S.
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Richard Woodrow, CFA
+44 20 3530 1388
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Media Relations: Hannah Huntly, London, Tel: +44 20 3530 1153,
Additional information is available at www.fitchratings.com.
Applicable criteria, 'Fund Quality Ratings Criteria', dated 19
are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Fund Quality Ratings Criteria: Assessing Fundsâ€™ Investment
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