Risk-Based Investments

Our main goal is consistency and risk control.

Based in Stamford, CT, our process integrates a proprietary technology that uses cutting-edge, risk-based weighting strategies.

We offer unconstrained solutions in a range of single and multi-asset classes including equity, fixed income and commodity, whilst providing a transparent, consistent and risk-based approach.

Our expertise

We provide efficient alternatives to conventional 'cap-weighted' (equity) or 'debt-weighted' (bond) portfolios, which can also be tailored to meet each investor's objectives.

Our approach uses risk contribution as the input in the model that determines weights, whereas market-cap weighting uses size as the input to define weights and treats risk contribution as a random consequence.

By using proprietary technology, we can deliver client-focused solutions with capabilities across asset classes. These solutions seek to outperform conventional approaches, while reducing volatility, limiting drawdowns and improving risk-adjusted returns.

We offer client-driven solutions, advising institutional investors on risk-based strategies that can be tailored to their investment needs. Solutions are available through model delivery and a variety of investment vehicles including separately managed accounts, mutual funds and ETFs.

Our philosophy

We offer an alternative to market capitalisation weighting with an effective risk-based approach to index construction. We aim to deliver attractive risk-adjusted returns, reducing significantly the volatility and the maximum drawdown compared with traditional market-capitalisation weighted portfolios.

Risk should inform portfolio allocation, not the other way around
In traditional weighting approaches, risk is an uncontrolled output of the constituent weights. We believe the weight of a portfolio constituent should reflect its contribution to portfolio risk.

Line-by-line analysis
We analyse volatility and cross-correlation on a line-by-line basis to assess the marginal risk contribution of each portfolio holding.

Simple and transparent
We strive for model robustness, while employing transparent and straight-forward processes.

Our indices

Our strategy aims to equalise risk contribution of index constituents and to maximise risk diversification - while overcoming excessive turnover and portfolio concentration.

Important Index Modification

New York, NY, June 5, 2019: Rothschild & Co Risk Based Investments LLC announces upcoming modifications to the methodologies of the Rothschild & Co Risk-Based Indices.

Effective with the rebalance scheduled for Friday, July 12, 2019 all Rothschild & Co Risk-Based Indices will make the following changes:

The rebalancing frequency will change from monthly to quarterly on the second Friday of each quarter* in January, April, July and October
A Buffer Rule will be instituted as part of the Indices quarterly equity universe ranking process that maintains a security as an index constituent if the security's risk score ranks within the bottom 10% of the 50% highest risk scores

These modifications are expected to have the positive effect of reducing the index component turnover.

Please note that the Rothschild & Co Risk-Based Indices Methodologies are being updated to reflect these changes.

^{*If the second Friday is not a business day, then the rebalance day is the next business day.}

R&Co Risk-Based Index Series – Methodology

R&Co Risk-Based Indices Methodology – Rulebook

R&Co Risk-Based Index Series - Weighting

R&Co Risk-Based Index Series - Indices

Disclaimer

R&CoRBI is the Index Sponsor of the R&Co Risk-Based Indices. The R&Co Risk-Based Indices are calculated by an independent Calculation Agent. All rights in the R&Co Risk-Based Indices vest in R&CoRBI. All information is provided for information purposes only. Every effort is made to ensure that all information given in these publications is accurate, but no responsibility or liability can be accepted by R&CoRBI or its licensors for any errors or for any loss from use of these publications. Neither R&CoRBI nor any of its licensors makes any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the R&Co Risk-Based Index Series or the fitness or suitability of the Index for any particular purpose to which it might be put. All figures and graphical representations in these publications refer to past performance and are sourced by R&CoRBI. Past performance is not a reliable indicator of future results. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of R&CoRBI. Distribution of R&CoRBI data and the use of R&CoRBI indices to create financial products require a licence with R&CoRBI and/or its licensors. R&CoRBI is not an investment adviser, and nothing herein constitutes financial or investment advice, or constitutes an offer or invitation to buy or sell any investment or participate in any investment activity.