Taiwan’s BLF opens tender for US$1.5 billion multi-factor mandate
Asia Asset Management
November 21, 2018
Taiwan’s Bureau of Labor Funds (BLF), which supervises the island state’s labour pensions, is calling for bids for its first multi-factor mandate, with total funding of US$1.5 billion.
The BLF is looking for five fund managers to oversee the Enhanced Global Emerging Markets Dynamic Multi-Factor Equity mandate for the Labor Pension Fund, Taiwan’s largest public retirement plan.
The mandate is benchmarked against the iEdge Rayliant EM Dynamic Multi-Factor Index, which comprises all emerging markets except Taiwan, and is calculated by the Singapore Exchange.
According to a spokesman for Rayliant Global Advisors, provider of multi-factor strategy for the benchmark for the new BLF mandate, behavioural factors work “especially well” in emerging markets, which is “especially attractive as a beta source for BLF” because stocks in these markets are currently trading at low valuations, and the BLF has less exposure to them in its portfolio.
Emerging markets tend to have high participation by retail investors and therefore exhibit more behavioural biases which can be captured through behavioural factors.
“We have worked with BLF and the Taiwan Stock Exchange on a number of customised indexes already, most of which have been environmental, corporate and governance (ESG) oriented,” the spokesman tells Asia Asset Management. “As a quantitative manager, we are particularly experienced in working with index calculators to translate quant strategies into indexes.”