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Investment Features

A multi-asset strategy

• The Millenium Index covers Bonds, Equities, Commodities, Currencies, and Commercial Properties asset classes.
• It achieves geographical diversification offering exposure in European, US, Japanese, Chinese and global indices.
• Each underlying asset of the investment universe benefits from high liquidity. There are no credit-linked underlying assets.

Passive investment and cost efficiency

• Passive investment contributes to lower management charges and no performance fee i.e. potential for higher returns.
• Each underlying component is a representative benchmark of the relevant asset class.

A Dynamic Quantitative Allocation strategy to define the optimal portfolio mix under efficient frontier constraints

• Allocation to the nine underlying assets is adjusted every month with the aim of maximising expected performance in a risk efficient manner.
• The allocation is determined by a quantitative model based on realised return, volatility and correlation and therefore, there is no discretionary human intervention in the determination of the asset allocation.
• Risk control, following the Efficient Frontier concept of optimising the risk adjusted performance, is provided by an in-built volatility control mechanism9.

Ability to take Long and Short positions to benefit from both bullish and bearish market trends

• The weights of Asset Classes in the Strategy are constrained to fall within pre-determined ranges.
• The portfolio must be net Long.
• The sum of allocations over all of the nine asset classes must equal 100%.