Allianz Global Investors has introduced its first portable-alpha open-ended fund for professional investors in Hong Kong, Taiwan, Singapore and Europe.
The RCM Hong Kong Alpha Fund combines RCM's research-driven Hong Kong equity strategy with a futures overlay to extract alpha and deliver an absolute-return investment profile with diversifying characteristics.
The new fund is domiciled in the Cayman Islands and is available only to professional investors such as funds of funds. It hedges the fund using Hong Hong market futures, and aims to maintain a market-neutral net exposure, with most out-performance driven by stockpicking.
Simulated performance from January 2002 to December 2004 suggests a compound annualised absolute return of over 15 per cent with a Sharpe ratio of 1.49, versus portfolio beta of 0.13, while tracking error is estimated at 8-9per cent.
The minimum investment amount is USD 2 million and the fund has a management fee of 1per cent plus a 15 per cent performance fee with a high watermark.
For more information on single manager funds please click here