PGIM Investments has added a new liquid alternatives fund to its UCITs platform – the PGIM QMAW Keynes Systematic Absolute Return Fund – the first fund from Wadhwani Asset Management since its acquisition by PGIM in January 2019.
The fund launched on 24 September 2019 with seed capital of USD30 million.
QMAW’s systematic, quantitative approach seeks a return of LIBOR plus 5 per cent for the fund, while simultaneously attempting to limit the risk of capital loss. The strategy on which the Fund is based is calculated from January 2015 and has returned 20.9 per cent net-of-fees year to date (as of 31 Aug. 2019) and an annualizsd net return of 6.4 per cent since inception.
Dr Sushil Wadhwani, CBE, chief investment officer of QMA Wadhwani and lead portfolio manager of the fund, has 31 years of investment experience, which includes work in academia and the financial sector, as well as several years on the Bank of England’s Monetary Policy Committee.
“The Fund seeks multiple sources of alpha, using a research-based, systematic approach. Asset positions are driven by factors such as macro-economic developments, valuation, carry, inter-market linkages and sentiment,” says Wadhwani. “We employ an agile approach, dynamically tilting and timing our exposures and combining signals in a non-linear fashion to try to limit portfolio drawdowns, with risk management integral to the way we construct portfolios. Both long and short positions can be taken. The Fund has a low volatility, around half of equities, and a low equity beta, providing diversification and risk mitigation for traditional portfolios.”
Kimberly LaPointe, head of PGIM Investments International, explained: “In a market environment with increased volatility and lower return expectations, given high equity valuations and low bond yields, global macro strategies offer a compelling way for investors to generate attractive risk-adjusted returns to complement their existing portfolios. QMAW’s combination of academic, macro, policy and financial market experience helps the firm construct strategies, such as Systematic Absolute Return, that can succeed in real-world conditions.
“This Fund, like the others on our platform, draws from PGIM’s multi-manager model, bringing PGIM Investments’ and QMA Wadhwani’s capabilities together, satisfying a significant need for systematic products from global clients.”
The current UCITS platform, launched in 2013, has grown to 28 funds. Domiciled in Ireland, the UCITS platform spans multiple sectors in fixed income, equity and real estate and has risen to $4.5 billion in assets under management as of 17 Sept. 2019, growing 41 per cent annually since January 2016.
This is a sub-fund of the Irish-domiciled UCITS fund umbrella, PGIM Funds plc. It is registered for sale in the UK and across Europe.
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