The Canadian bank is seeking to deliver consistent yield through quantitative investment strategies (QIS).
RBC Capital Markets has been expanding its capabilities in the QIS space within the bank’s global markets business with several high-profile appointments over the last few months as part of the build out of its multi-asset strengths.
Our suite of strategies across asset classes, factors, indicators and methodologies continues to grow and evolve - Geoffroy Samarcq
The recent partnership with Bloomberg to launch new products linked to the Bloomberg US Large Cap VolMax, Bloomberg US Small Cap VolMax5 and the Bloomberg Versa 10 Index (BVERSA10), as well as the appointment of Geoffroy Samarcq (pictured below) as head of multi-asset QIS structuring based in New York and Elodie Nguyen Dinh in London to the newly created role of managing director, structuring infrastructure, mark a new phase of development in this space for RBC.
SRP spoke to Samarcq about the importance of QIS to bring differentiation to the market and the bank’s ambitions in this space.
How important are custom & strategy indices within your structured products offering?
Geoffroy Samarcq: RBC develops and enhances QIS and indices to meet the diverse needs of clients. Multi-asset exposures, including those incorporating embedded volatility targets or risk control mechanisms, are increasingly available in various formats to serve a wide range of objectives. As a result, their relevance and adoption continue to expand across client segments, geographies and underlying exposures.
We see a broadening range of distributor and wealth advisory clients utilizing these strategies through principal-protected, leveraged, or income-generating structured products to achieve more customized investment outcomes. Additionally, these indices can offer a compelling advantage over traditional benchmarks due to their potential for improved product economics. For instance, the S&P Market Agility series provides favorable options pricing, resulting in an increased potential return or participation in structured product formats compared to traditional benchmarks.
What kind of factor, QIS and systematic type of strategies are in the product development stage?
Geoffroy Samarcq: Our suite of strategies across asset classes, factors, indicators and methodologies continues to grow and evolve to address the diverse needs of our clients. We are exploring opportunities to leverage technology and AI across strategy content and our ability to deliver product and insights.
Within variable index annuities (VIA), fixed index annuities (FIA) and structured product applications, we see strong engagement around cross-asset strategies including RBC Polaris and S&P Market Agility, supporting investors as they navigate evolving market conditions. Furthermore, we are driving innovation in collaboration with key index partners, enabling the agile development and deployment of indices with broad applicability and appeal.
At the same time, we are advancing our institutional QIS offerings. With a growing number of strategies and a strong hedging and market-making platform, we are seeing growing interest from institutional investors, particularly in factor-based investing and risk management strategies. Hedge funds are increasingly engaging with these strategies, recognizing them as a flexible toolkit that complements their investment objectives.
Can you provide any examples of topics of interest within the QIS space?
Geoffroy Samarcq: Recognizing that QIS are part of the options and derivatives landscape, we are redeploying these techniques and approaches across both investment and hedging/risk management applications.
Amid the current macroeconomic landscape, tail risk hedging has been a topic of interest. Our flexible options and volatility framework mean we are well-equipped to originate and optimize solutions.
What is the most recent innovation around QIS you would highlight (intraday, decrement)?
Geoffroy Samarcq: The product capabilities continue to evolve, be that around asset classes or geographical markets. We consider the step-change to be around the way that products are originated, and though the use of technology and a strong infrastructure, how the time to originate, optimize and scale solutions has become compressed.
Data supports the methodologies embedded within indices, unlocking new and differentiated insights and more robustly and transparently documenting performance attribution.
What do you expect to see next around custom & strategy indexing?
Geoffroy Samarcq: We continue to observe the growing adoption of QIS, driven by education, targeted campaigns and client demand. QIS is increasingly becoming a valuable and flexible component of investor and advisor toolkits. Clients are showing greater appetite to explore opportunities across this toolkit as they navigate a balance of financial and non-financial objectives.
This trend reflects a "barbell" approach: on one end, more familiar and widely relevant products are seeing ever-broader adoption and deployment in a range of wrappers and internationally too. On the other end, we are identifying more specialized and nuanced solutions designed for niche applications.
RBC Capital Markets introduced its first high volatility strategy through structured notes co-developed with Bloomberg Indices earlier this year and is also the hedge provider for SILAC’s fixed index annuity (FIA) tracking the Bloomberg Versa 10 Index that went live in April.
This article is an abstract from the ‘SRP Index Report 2025: Custom & Strategy Indices’, which can be downloaded here.
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