Old Mutual Global Investors (OMGI), part of Old Mutual Wealth, yesterday launched the Old Mutual Systematic Positive Skew Fund (the “Fund”), targeting sophisticated 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. OMGI currently manages over $8.7bn in the liquid alternatives space. This launch is designed to meet the demand from sophisticated investors for a higher volatility alternative strategy that complements OMGI’s existing range.
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 sophisticated 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. Mark has extensive experience in trading options and other derivatives for major banks, latterly at RBS as managing director for inflation options and exotics across all currencies. Mark has also managed the inflation desk at Rand Merchant Bank in South Africa. While in South Africa, he sat on the Bond Exchange of South Africa Index Committee, designing and maintaining fixed interest and inflation bond indices. Mark joined OMGI in November 2015. During his time with the business Mark has helped develop the volatility trading capability of the absolute return government bond strategy in Edinburgh.
Mark Greenwood comments:
“The Old Mutual Systematic Positive Skew Fund is a theory-led systematic investment strategy. Old Mutual Global Investors is the ideal environment to research and implement such a strategy. We believe that grounding our systematic strategies with our market insights and experience will help us avoid the data mining bias that concerns many investors in systematic strategies.”
Paul Simpson, director of investments, Old Mutual Global Investors, comments:
“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.”
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.