PGIM Wadhwani Keynes Systematic Absolute Return Fund

Investment Objective

The fund seeks a return of LIBOR plus 5% while targeting 7% volatility and simultaneously attempting to limit the risk of capital loss. Invests in exchange-traded equity index and bond futures and forward foreign exchange contracts. Uses macroeconomic, momentum, value, carry, sentiment and intermarket linkages within a systematic approach to determine asset allocation and employ advanced risk management techniques to limit drawdowns.

Latest Meeting Note

Meeting 20 Jan 2021

QMA is the quantitative equity and multi-asset specialist of PGIM which manages c. $110bn. In January 2019, QMA Wadhwani LLP, while remaining a separate legal entity, began operating as part of the QMA business. QMA Wadhwani was founded ... Read more

QMA is the quantitative equity and multi-asset specialist of PGIM which manages c. $110bn. In January 2019, QMA Wadhwani LLP, while remaining a separate legal entity, began operating as part of the QMA business. QMA Wadhwani was founded by Dr. Sushik Wadhwani (ex- member of BoE MPC, Goldman Sachs, lecturer at LSE), who is currently CIO and is supported by a team with extensive academic experience, containing mathematicians, AI experts and physicists. The systematic absolute return fund is a long/short, liquid, systematic multi-asset strategy with strong academic/empirical foundations. The portfolio is diversified across regions, asset classes, investment styles and time frames and is designed to have a low beta to traditional assets over a full market cycle. The investment process includes both directional (75%) and relative value (25%) strategies which seek to harvest risk premia in a non-linear fashion and emphasize drawdown avoidance. Macro, value, momentum and carry trades are accessed in a directional and RV manner, whilst the directional allocation also contains sentiment derived signals (used to identify biases such as panic, exuberance and crowding) and also intermarket linkages (where they explore linkages between asset classes that are supported by economic and market theory). During portfolio construction signals from different strategies are combined in a way that reward agreement and penalise disagreement, such that if two signals agree with each other, position sizing is increased whilst disagreement is used in risk managing positions. The fund targets an annual return of LIBOR +5% (net of fees) with a volatility of 7% (typically this has been closer to 6% across the life of the strategy). The fund is run with an attractive fee structure of 0.75% flat with no performance, at the institutional level.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 0.3 0.0 0.2 0.7 0.2 0.1 0.1 0.2 0.6 0.3 0.3 0.7 1.0
2021 0.7 0.5 0.1 0.4 0.9 0.4 0.5 1.0 1.0 0.7 0.2 0.1 0.2

or Register for Free

  • Access the full universe of UCITS Hedge Funds and Absolute Return Funds.
  • Build and curate a watchlist.
  • View the latest research.
Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.