RPMI Railpen, manager of the UK’s £22bn (€28bn) Railways Pensions Scheme (RPS), is providing the seed capital for two multi-factor funds it has created with Unigestion.
One of the funds is a long-only active factor fund, the other a long/short factor fund.
The size of Railpen’s investment was not disclosed.
An RPMI spokesperson told IPE the investments marked the first time it has allocated assets to an equity strategy that includes short risk factor exposure but that the strategy itself would be market neutral.
It has had exposure to long/short and market neutral equity hedge funds in the past.
Unigestion said the factors chosen for the funds were defined taking into account market and/or industry characteristics, a departure from the usual implementation.
The “enhanced” definition sees the strategies allocating to higher-quality value stocks, less volatile momentum stocks, more diversified quality stocks and more stable small-cap stocks, according to the Geneva-based asset manager.
Steve Artingstall, senior investment manager at RPMI Railpen, said the manager decided to collaborate with Unigestion “due to our desire for transparent and effective factor exposure, and our high level of trust in Unigestion’s clear ability to carefully manage factor risk”.
The collaboration with Unigestion on the funds is part of a shift toward smart beta-style strategies that RPMI Railpen has been implementing since launching an investment transformation programme in 2013.
In December, RPMI hired Tony Guida, a former Unigestion portfolio analyst, to boost the research capacity within its alternative risk premia team.
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