This multi-asset macro strategy has been managed by the global macro investment team, headed by James Elliot (CIO), since November 2012, with the UK OEIC launching in February 2013. The team sit within the wider Multi-Asset Solutions team at J.P. Morgan Asset Management, and leverage significant multi-asset class experience and macroeconomic research. The philosophy behind the process is that global macroeconomic trends are the principal driver of asset class returns, and the team look to dynamically exploit this with a thematic, risk-aware investment process. Since inception, the fund has delivered annualised returns of 7.0% with a volatility of just 7.5%. This is in line with the team’s primary objective of delivering a positive return over rolling 3 year periods in all market conditions. The fund is not calibrated to a specific target return, with the team’s focus on maximising returns in a robust and stable framework.
This European equity long short strategy is run by Malte Heininger, who was part of a team of four that joined Carmignac in January 2014 from SAC Capital Advisors to manage this fund. Malte took over the management of the fund in early 2016 after the previous co-portfolio manager left the firm. The strategy relies on fundamental stock picking and a high velocity of idea generation. The portfolio consists of core long and trading long positions, as well as short alpha positions and relative value / special situation short positions.Since taking over the fund at the beginning of 2016, performance has been very strong, with the fund generating annualised returns of 10.95% with a volatility of 6.52%.
The BlackRock UK Absolute Alpha fund was launched in 2005, and after its headline-grabbing return of 2.0% in 2008 was at its peak the largest equity long-short UCITS strategy in the market. Nigel Ridge (MD, UK equities) joined Nick Osborne as co-PM in early 2013 and they overhauled the investment process to leverage the deep pool of investment talent at BlackRock to deliver consistent absolute returns. The fund has an expected volatility range of between 5-7% with the portfolio constructed from three primary components – core longs, core shorts, and pair trades. With a peak to trough drawdown of just 3.3% since the team took over and a current net market exposure of c.15%, the fund should be well placed to conserve capital in a more challenging environment for equities.
With combined AUM of £48.9bn (across all UCITS vehicles), the trio of Standard Life Investments Global Absolute Return Strategies (GARS), Invesco Perpetual Global Targeted Returns (GTR), and Aviva Investors Multi-Strategy Target Returns (AIMS) have been the success story of the alternative UCITS space, at least from an asset raising perspective. In this research note we examine the returns of these three strategies, look at what may have driven these lower, and re-examine the investment proposition behind the funds.
JPM Global Macro Opportunities
Carmignac Portoflio Long Short European Equities
BlackRock UK Absolute Alpha
Strategy Research - Multi Asset Macro
AH UCITS Index
|AH Global Index||-1.94||0.1||-3.2||-3.2||3.6|
|AH Credit Index||-0.65||0.2||-1.6||-1.6||1.5|
|AH Equity Long / Short Index||-2.98||0.4||-2.5||-2.2||6.9|
|AH Event Driven Index||-1.24||0.7||-2.6||-2.8||1.5|
|AH FX Index||-0.95||-0.2||-1.7||-3.3||-3.8|
|AH Macro Index||-0.62||0.2||-3.3||-3.8||1.7|
|AH Managed Futures Index||-3.18||-1.5||-8.9||-7.9||2.6|
|AH Market Neutral Index||-0.99||0.0||-1.7||-2.1||1.4|
|AH Multi Asset Index||-3.36||0.4||-4.4||-3.8||6.2|
Top Funds Last 30 Days
|JL Equity Market Neutral||Market Neutral||7.0|
|F&C Global Equity Market Neutral||Market Neutral||5.8|
|TM Sanditon European Select||Equity Long / Short||5.1|
|H2O Global L/S Opportunities||Equity Long / Short||4.9|
Equity Long / Short
Equity Long / Short
Equity Long / Short