WEST PALM BEACH, Fla., April 26, 2011 /PRNewswire/ -- INTECH Investment Management LLC (INTECH) today announced the launch of its Alpha Capture Index strategy, a passive alternative to capitalization-weighted indexing. INTECH's research demonstrates that over the long term its Alpha Capture Index has the potential to provide a performance advantage when compared to a market-capitalization-weighted index, and is more stable than an equal-weighted portfolio.
This passive alternative essentially combines an equal-weighted index and a cap-weighted index using a patented investment process and incorporating proprietary trading innovations. The result is a portfolio combination that is more efficient than either index independently. The INTECH Alpha Capture Index strategy seeks to generate approximately 50-to-60 basis points of excess return annualized over the cap-weighted index gross of fees, to have low portfolio turnover (approximately 8% per year over the long term), to have low implementation costs and fees, and a tracking error of approximately 1.5% to 2.0% per year gross of fees over the long term to the capitalization-weighted alternative. Currently, the strategy can be managed against three benchmarks: the S&P 500 Index, Russell 1000 Index, and MSCI World Index. INTECH owns the license to the patented investment process upon which the Alpha Capture Index is based.
In announcing the launch of its Alpha Capture Index strategy, Jennifer Young, CFA, President and Co-CEO of INTECH said, "Unlike INTECH's active strategies, the Alpha Capture Index strategy is a pure passive approach based on Stochastic Portfolio Theory. It allows investors the opportunity to potentially outperform a cap-weighted benchmark with low tracking error, and is an alternative to cap-weighted passive indexes as well as other 'semi-passive' offerings. For almost 24 years, INTECH has been an innovator and leader in the research and development of mathematically based volatility-capture portfolios, which have enabled INTECH to generate alpha over time. INTECH's Alpha Capture Index strategy is another extension of that research into passive space."
Added INTECH's Co-Chief Investment Officer, Adrian Banner, Ph.D., "INTECH's Alpha Capture Index strategy is an original approach to beta exposure, with an opportunity for some alpha. This innovative and patented integration of a cap-weighted index with an equal-weighted index allows INTECH to identify a potentially more-efficient target weight for every position in the index resulting in a robust implementation of INTECH's volatility-capture process in a passive framework."
This new offering complements INTECH's existing product line of actively managed large-cap U.S. equity, global and international equity, long/short equity as well as its custom-solutions platform tailored to the needs of institutional investors.
Headed by Chairman and Co-Chief Executive Officer Robert A. Garvy, INTECH was founded in 1987 following research undertaken by Dr. E. Robert Fernholz, the company's Co-Chief Investment Officer, and the publication of his paper in 1982 on mathematical investment processes titled "Stochastic Portfolio Theory and Stock Market Equilibrium." The company's global headquarters is located in West Palm Beach, Florida and has offices in Princeton, New Jersey and London, England. As of March 31, 2011, INTECH had approximately $44.2 billion under management and 85 employees. INTECH is an independently managed subsidiary of Janus Capital Group, based in Denver, Colorado.
About Janus Capital Group Inc.
Janus Capital Group Inc. (JCG) is a global investment firm offering strategies from three individual investment boutiques: Janus Capital Management LLC (Janus), INTECH Investment Management LLC (INTECH) and Perkins Investment Management LLC (Perkins). Each manager employs a research-intensive approach that is distinct within its respective asset class. This multi-boutique approach enables the firm to provide style-specific expertise across an array of strategies, including growth, value and risk-managed equities, fixed income and alternatives through one common distribution platform. At the end of March 2011, JCG managed $173.5 billion in assets for shareholders, clients and institutions around the globe. Based in Denver, JCG also has offices in London, Milan, Munich, Singapore, Hong Kong, Tokyo and Melbourne.
Contact: Kelsea Michael: 212.279.3115, ext. 231
SOURCE INTECH Investment Management LLC