(Reuters) - UK-based Fulcrum Asset Management has launched a fund designed to tap the growing demand for active commodities strategies from investors unhappy with the returns from commodity index trackers.
Institutional investors have been switching to active strategies in greater numbers as passive plays have disappointed in volatile markets.
Fulcrum, which was founded in 2004 by two ex-Goldman Sachs executives and now manages over $1 billion (626 million pounds), has made the commodity part of its macro fund, Fulcrum Alpha, separately available in response to demand for strategies that will preserve capital during major sell offs.
"Investors want commodities as a core allocation for the long term with sensible risk management so they don't do poorly from the inevitable air pockets that can occur," Andrew Stevens, chief executive of Fulcrum, and a former investment manager at Goldman Sachs, said in an interview.
As well as a maximum drawdown constraint of 25 percent, which kicks in when markets become more volatile, there are limits on the amount of each commodity that can be owned. The aim is to control risk and outperform in down markets by getting out of positions quickly when prices plummet.
Returns are generated from systematic trading strategies based on prices, volatility, backwardation and contango, inventory data and mean reversion, investing across some 24 commodities.
Established in November as a UCITS III fund -- a European structure which also imposes certain concentration limits on managers -- the fund is being rolled out this quarter.
It is targeting an annual return of 15-20 percent with investors able to withdraw their money at a day's notice.
Stevens said the fund could reach several billion under management as it should appeal to a range of investors including asset allocators, private banks, pension funds, endowments, foundations and funds of funds.
Gavyn Davies, chairman of Fulcrum and a former chief economist of Goldman Sachs, said a similar strategy had run with real money since 2006 and was up the equivalent of 96 percent on a cumulative basis since inception.
Davies said the fund was currently market neutral, as the price and volatility signals are mildly positive but signals related to inventory levels are negative. "The other models are giving us long positions in some of the industrial metals and short positions in energy," he said.
Fulcrum has also just opened a New York office headed by Tom Dempsey, who spent time at Goldman Sachs Asset Management as head of product strategy for the U.S. quantitative equity group.
"He will add to the investment process, and build the business in North America," said Stevens, adding that he hoped to have two or three people in the office by summer.
No comments:
Post a Comment