Deutsche installs US computer-driven hedge fund on Ucits platform
Deutsche Bank and computer-driven hedge fund manager Millburn Ridgefield Corporation are launching a Ucits III compliant version of Millburn’s Multi-Markets trading program, in a year that is proving difficult for onshore model-driven portfolios.
The DB Platinum IV dbX Millburn Multi-Markets Index fund will offer weekly liquidity and be available in various share classes including US dollar, euro, and sterling.
Millburn runs more than $2.3bn assets and has developed systematic, quantitative investment strategies for four decades, trading in more than 120 liquid markets including energies, base and precious metals, crops, stock indices, bonds, interest rates and currencies.
It holds some instruments for less than one day, others for several weeks or months.
The Multi-Markets program has generated average compound annual net returns of 12.4% since launch about six years ago.
Deutsche Bank’s European head of fund derivatives Tarun Nagpal, said: “There continues to be a strong shift in investor sentiment in Europe towards alternative Ucits and we are delighted to be at the forefront of the market by bringing leading hedge fund managers onto our platform.”
Deutsche has also launched on its platform Ucits products run by John Paulson and Barton Biggs, among other hedge fund managers.
Millburn’s executive vice president Barry Goodman, said: “We believe that our track record, which is one of the longest in the industry, combined with our demonstrated ability to innovate and evolve, can give our investors an edge and position our funds to take advantage of market dislocations across a wide range of time-frames.”
Deutsche Bank’s Platinum platform has €12.26bn under management.
Computer-driven hedge funds, often called CTAs, have had a hard time this year, making 0.46% by 8 June, according to data providers BarclayHedge. Last year they made 7.1%, and fell 0.1% in 2009.
This year, Ucits-compliant CTAs have performed worse than their hedge fund equivalents, falling 1.5% including a 2.1% decline in May, according to data providers Alix Capital. Last year, Ucits CTAs were flat.