Old Mutual Global Investors (OMGI) has launched the Old Mutual Systematic Positive Skew fund, targeting institutional investors.
The Irish-domiciled Qualified Investor Alternative Investment Fund (QIAIF) is the latest alternative launch from OMGI addressing the demands of institutional investors for funds offering uncorrelated absolute returns, designed to counterbalance the severe volatility within equity and bond markets.
The long/short fund aims to deliver a positive total return uncorrelated to bond and equity markets. The fund will make pure systematic investments in futures markets based on novel sources of information, such as options markets, but will only invest in the underlying futures market. By adopting a market insight approach, using OMGI’s quantitative analysis tools, the fund will aim to avoid over-reliance on historic data patterns, thus addressing the data mining bias often cited as a concern about systematic strategies.
The fund will be managed with an expected volatility of 12%. It will hold both long and short positions in each of the major futures markets, with sectoral allocation between rates, FX, equity index and commodity futures markets. By adjusting the positions on a daily basis, with an average holding time of around 10 days, the fund will concentrate risk towards assets expected to provide positively skewed returns. This means, over the long term, investors will benefit from a greater chance of sustained growth.
Mark Greenwood, a portfolio manager on OMGI’s absolute return government bond desk, will be the lead fund manager.
Early investors may have access to a founder fee share class with an annual management charge of 0.5% and a 10% performance fee. The performance fee hurdle rate for the base currency (USD) share class is the Federal Funds Effective Overnight Rate.
“Demand from institutional investors for sophisticated means of diversifying portfolios is on the rise. Old Mutual Global Investors has a long history of managing successful quantitative strategies, with the Old Mutual Systematic Positive Skew fund addressing the gap in our stable for a higher volatility fund. By launching this strategy, we believe we can offer our growing institutional client base a flexible investment strategy, run by a highly experienced manager,” said Paul Simpson, director of investments at OMGI.