Los Angeles Capital manages a wide range of equity portfolios for leading institutions around the world. As the firm forecasts returns and risk on key equity securities globally, Los Angeles Capital can construct virtually any type of equity portfolio to meet specific investor requirements. The firm has aggregated products into broad categories such as Global, U.S., Emerging Markets, Managed Volatility, Absolute Return, Enhanced Equity, Active Extension, and Deep Value. Los Angeles Capital presently offers 23 equity strategies whose composite information, including performance and characteristics, can be found in numerous manager and consultant databases (click here for this composite list). Los Angeles Capital provides the returns and characteristics of these composites to most consultant and manager databases.
Customization – While each equity product has broad definitions, the firm’s portfolio managers work with clients to tailor each portfolio to specific benchmarks, risk budgets (e.g., tracking error or total risk levels, long/short restrictions, etc.) and investment restrictions (e.g., ESG, restricted lists etc.).
Note that all accounts and assets outlined below may be reported under more than one product category. Los Angeles Capital's total assets under management as of December 31, 2019 is $26.8 billion. All product totals below are as of December 31, 2019.
Los Angeles Capital’s global equity strategy recognizes the fact that risk premiums on factors not only change over time but may vary across regions of the world. This enables our process to dynamically allocate portfolio risk budgets to obtain the highest return for risk taken.
Los Angeles Capital manages $8.7 billion* in Global Equity portfolios for mandates such as:
- Global Equity – MSCI ACWI Index
- ACWI Ex-U.S. – MSCI ACWI EX-U.S. Index
- World Equity – MSCI World Index
- EAFE Equity – MSCI EAFE Index
- Europe Equity – MSCI Europe Index
- Asia Equity – MSCI Asia Index
- UK Only – FTSE All Share Index
funded mandates in bold
Social investment restrictions are acceptable as each portfolio is managed on a separate account basis. Commingled options are also available.
Los Angeles Capital’s longest track records are found with U.S. equity managed portfolios. The firm manages $15.4 billion* in U.S. equities utilizing Los Angeles Capital’s Dynamic Alpha Stock Selection Model® which has proven to be effective in generating returns in the efficient U.S. equity market. The firm's U.S. equity strategy enables investors to add incremental return above any core or style based benchmark in the U.S. equity market at a risk budget consistent with the client's risk tolerance. For large cap benchmarks, typical risk budgets range from 2% to 5%. For all cap and small cap benchmarks, risk budgets range from 3% to 6%. The investment universe includes every stock in the Russell 3000, therefore, applications may be customized to the unique goals and constraints of each investor. We impose rigorous risk controls where security bets are typically limited to +/- 2% relative to benchmark weights while sector bets are limited to +/- 3% of benchmark weights.
The firm manages a series of portfolios by size, style and risk including the following:
- All Cap – Russell 3000 Index, Wilshire 5000 Index
- Large Cap – Russell 1000 Index, S&P 500 Index, MSCI U.S. Index
- Large Cap Growth – Russell 1000 Growth Index
- Large Cap Value – Russell 1000 Value Index
- Mid Cap – S&P Mid Cap Index
- Small Cap – Russell 2000 Index, MSCI Small Cap U.S. Index
- Small Cap Growth – Russell 2000 Growth Index
- Small Cap Value – Russell 2000 Value Index
funded mandates in bold
Los Angeles Capital’s quantitative models are also effective in delivering strong Emerging Markets performance. After years of research and model development, Los Angeles Capital launched the Emerging Markets equity strategy in 2009. Today, Los Angeles Capital manages $2.8 billion* in Emerging Markets equity portfolios. The firm manages Emerging Markets portfolios against the MSCI Emerging Markets Index and includes all securities in the index as candidates in the portfolio.
The strategy is available to institutions in commingled (separate vehicles for U.S. and non-U.S. investors) form or via a separate account (subject to certain minimums on size).
Los Angeles Capital manages $2.4 billion* in strategies designed to maximize return and minimize total risk. The firm specifically forecasts the risk premium associated with volatility along with other factors associated with low volatility investing (e.g., sectors, leverage, and value). Utilizing these forecasts, the firm builds portfolios designed to capture the low volatility anomaly while also dynamically adjusting the volatility of the portfolio based on forward looking volatility estimates. Managed volatility strategies are available in the following mandates:
- Emerging Markets
- Single Country (U.S., UK etc.)
funded mandates in bold
The objective of the Managed Volatility strategy is to produce an improved Sharpe Ratio relative to a traditional benchmark oriented strategy. Through the firm's proprietary portfolio construction technology, each mandate is customized to balance the emphasis between low volatility and active management. Generally, the strategy maintains a consistent beta below the relevant capitalization weighted index and reduces the total risk by 20-30%.
Los Angeles Capital manages $129 million* in Absolute Return portfolios using long/short strategies to achieve return objectives. The firm utilizes long/short portfolio management to capture consistent absolute returns while actively managing the portfolio's beta. By removing the short constraint and typically maintaining dollar neutral portfolios to long and short securities, the portfolio optimization process identifies efficient portfolios that maximize expected absolute return subject to the client's risk tolerance. Industry, common factor and company specific risks are all tightly controlled to minimize the probability of unwanted downside risk.
The strategy may be managed for single market portfolios or it may be managed across economic regions to provide additional diversification. For global portfolios, optimizations may run independently within the U.S., Europe, and Japan where long and short positions are dollar matched within each region. Single market portfolios typically hold 250 long and 250 short positions and individual stock exposures are limited to 1%.
Both the portfolio construction and implementation process are managed dynamically to maintain portfolio efficiency. The portfolio's risk budget expands slightly when return opportunities improve but contracts as the market conditions become more volatile and the pricing of risk factors becomes less clear.
Los Angeles Capital has been managing enhanced index mandates since the firm’s inception with approximately $375 million* in U.S. enhanced mandates against large cap U.S. benchmarks. The Los Angeles Capital Dynamic Alpha Stock Selection Model® has produced positive and consistent results in this highly risk controlled strategy.
Social investment restrictions are acceptable as each portfolio is managed on a separate account basis. The Enhanced Equity strategy provides a good alternative for investors that want a slight return advantage relative to a passive index.
The firm's Active Extension strategy enables investors to seek higher levels of alpha without accepting lower expected information ratios. By removing the short constraint and maintaining a constant 100% net exposure to the equity market, the portfolio optimization process improves portfolio efficiency by enhancing the portfolio's ability to under-weight securities through short positions. Industry, common factor, and company specific risks are tightly controlled to minimize the probability of unwanted downside risk. The strategy may be run against U.S., European, or Global large or all cap benchmarks, typically with 130/30 extensions. U.S. large cap portfolios generally hold 200 long and 50-100 short positions and individual stock exposures are limited to benchmark weights +/-2%.
There are several unique aspects to Los Angeles Capital's Active Extension strategy. First, the opportunity set is generally limited to the benchmark constituents to better control active risk. Both the portfolio construction and implementation process are managed dynamically to limit unwanted risk during periods of higher uncertainty. The portfolio's risk budget expands slightly when return opportunities improve but contracts as the market conditions become more volatile and the pricing of risk factors becomes less clear.
Los Angeles Capital has been managing active extension strategies since 2006 with more than $1.0 million* under management and a proven track record. The strategy is available to institutions in commingled form or separate account (subject to certain minimums on size and prime brokerage relationship).
- S&P 500
- Large Value
funded mandates in bold
ESG criteria is integrated across all client portfolios through proprietary factors within the Firm’s quantitative stock selection Model. Through the Firm’s innovative factor modeling, portfolio construction techniques, risk management considerations, and active ownership the Firm takes a comprehensive approach to Responsible Investing. For investors seeking more targeted ESG objectives, the Firm constructs customized portfolio solutions.
- Sustainability-focused Objective
- Climate Considerations
- Exclusionary Screening
- Custom Benchmarks
Click here for more detail on our Responsible Investing approach.
Key Composite List
Los Angeles Capital maintains performance composites for key products. The following composites are included in most manager/consultant databases:
|Composite Name||Inception Date||Benchmark|
|LA Capital U.S. All Cap Equity||May-01||Russell 3000|
|LA Capital U.S. Large Cap Equity||Jul-00||Russell 1000|
|LA Capital U.S. Large Cap Growth Equity||Dec-99||Russell 1000 Growth|
|LA Capital U.S. Large Cap Value Equity||Dec-99||Russell 1000 Value|
|LA Capital U.S. Large Cap Enhanced Equity||Aug-01||S&P 500|
|LA Capital U.S. Large Cap Active Extension (130/30)||Oct-06||S&P 500|
|LA Capital U.S. Large Cap Value Equity (130/30)||Oct-13||Russell 1000 Value|
|LA Capital U.S. Mid Cap Equity||Nov-00||S&P Mid Cap|
|LA Capital U.S. Small Cap Equity||May-01||Russell 2000|
|LA Capital U.S. Small Cap Growth Equity||Dec-99||Russell 2000 Growth|
|LA Capital U.S. Small Cap Value Equity||Dec-99||Russell 2000 Value|
|LA Capital U.S. Deep Value Equity||Mar-15||Russell 3000 Value|
|LA Capital Europe Equity||Sep-07||MSCI Europe (EURO)|
|LA Capital Emerging Markets Equity||Dec-09||MSCI Emerging Markets (Net)|
|LA Capital UK Equity||Oct-11||FTSE All Share (Net)|
|LA Capital World Equity||Oct-11||MSCI World (Net)|
|LA Capital Global Managed Volatility Equity||Nov-11||MSCI ACWI (Net)|
|LA Capital EAFE Equity||Sep-12||MSCI EAFE (Net)|
|LA Capital EAFE Equity (130/30)||Oct-13||MSCI EAFE (Net)|
|LA Capital ACWI ex U.S. Equity||May-14||MSCI ACWI Ex U.S. (Net)|
|LA Capital World Ex US Equity||Aug-14||MSCI World Ex USA (Net)|
|LA Capital Global Equity||Feb-15||MSCI ACWI (Net)|
|LA Capital World Small Cap Equity||Mar-19||MSCI World Small Cap (Net)|
*As of December 31, 2019