RPMI Railpen, London, hired Russell Investments to manage a £700 million ($914 million) stable momentum allocation, said Craig Heron, senior investment manager at RPMI, in an e-mail.
The proprietary systematic strategy was designed in collaboration with the investment team at RPMI, the in-house money manager for the £22.4 billion Railways Pension Scheme.
The allocation draws upon research by Russell into single- and multifactor investing, said a Russell news release. It is designed to lessen the impact of momentum crashes, by looking beyond the previous 12-month return and identifying stocks that have not only delivered strong returns, but have also achieved these returns with a higher level of consistency. Russell said this increases the likelihood of returns persisting in the future.
Mr. Heron said RPMI executives identified a long list of potential strategies — whether index or quantitative equity managers — and then compiled a shortlist, before selecting its final implementation route.
“We are pleased to add Russell Investments to our alternative risk premia equity portfolio,” Mr. Heron said in the release. “We enjoyed working together to develop what we consider to be a robust approach to momentum investing.”
It's a matter of RPMI policy not to comment on allocations or funding, said a spokeswoman.