The fund is a levered version of the Jupiter Absolute Return fund, with positions sized at approximately 2X those of the existing fund. For those with a higher risk appetite, a more leveraged version of this strategy may have appeal, however investors should be cognisant that while leveraging an undeniably attractive track record looks compelling, there is no free lunch in investing and we would expect the proposed product to exhibit materially higher volatility than its predecessor.
The Systematica Alternative Risk Premia (SARP) strategy allocates to both market neutral equity and macro risk premia, investing across value, momentum, carry and defensive factors. Systematica has significant experience of trading across a broad range of asset classes and trading instruments, and by combining a diverse set of risk premia the team believe they can achieve an attractive return profile for investors. The newly launched UCITS fund targets an annualised volatility of 6-8% and a Sharpe ratio of over 0.8.
It is encouraging to see Emso's UCITS offering replicating the success it has enjoyed with its flagship offshore fund. Since launching in 2016 the UCITS fund has seen good traction (AUM $306m) while performance has been strong annualising at over 10%. At its heart this is a macro-driven Emerging Markets strategy that seeks to identify valuation anomalies in EM fixed income by focusing on idiosyncratic opportunities. These opportunities are identified using fundamental credit and political risk analysis.The strategy benefits from a 23 strong investment and research team which includes CIO, Mark Franklin, and John Hynes, the named portfolio manager on the UCITS vehicle.
A multi-asset strategy with a long-term investment horizon, seeking to benefit from the mean reversion of assets or securities whose prices have deviated from intrinsic fair value. The fund targets net annualised returns of G7 CPI +5% over a full market cycle, with capital preservation in difficult periods an important contributor to long term performance. Investors in the fund are required to have a sufficiently long investment horizon for the mean reversion of assets to materialise, with the possibility for shorter term returns to be behind target. However, we think that those who can focus on long term preservation and growth of capital will find GRRUF worthy of consideration.
Jupiter Global Levered Absolute Return
Systematica Alternative Risk Premia
Emso Emerging Markets AR Debt
GMO Global Real Return (UCITS) Fund
AH UCITS Index
|AH Global Index||0.85||-0.3||3.6||3.8||-0.6|
|AH Credit Index||0.27||-0.2||1.6||1.6||2.6|
|AH Equity Long / Short Index||0.90||0.0||6.5||7.0||-1.8|
|AH Event Driven Index||-0.12||-0.9||1.7||2.7||-0.8|
|AH FX Index||-0.82||-0.9||-2.3||-1.3||-0.3|
|AH Macro Index||0.45||-0.4||2.3||2.4||0.0|
|AH Managed Futures Index||3.17||-0.6||1.5||1.9||-1.3|
|AH Market Neutral Index||0.53||0.0||1.7||1.6||-3.6|
|AH Multi Asset Index||1.61||-0.3||5.5||4.8||2.7|