Fulcrum Asset Management (Fulcrum) has launched the Fulcrum Risk Premia Fund (UCITS) with USD70 million of initial capital with a further USD1.1 billion in the strategy across a Cayman fund and separately managed accounts. The strategy is designed to give investors access to attractive risk-adjusted returns with historically low correlations to traditional assets, while meeting its return objectives in different market environments. It does so by combining a highly diversified portfolio of return streams, focused on macro premia and excluding any exposure to single name equities or equity factors. The Fund is an absolute return product with a target volatility of 8 per cent and offers daily liquidity with no performance fees and complete transparency.
The launch of the Luxemburg-domiciled UCITS vehicle is the culmination of over two years of in-depth research following over a decade of actual investing in alternative risk premia. The strategy packages together Fulcrum’s multi-asset, macro risk premia expertise in trend following, carry, volatility, and value, investing across commodities, currencies, equity indices, credit indices and fixed income (again, no exposure to single name equities).
The strategy in its current form has been running live since 1 January 2019 and will, following this launch, replace the Fulcrum Alternative Beta Plus Fund. This announcement follows the registration and successful launch of the Fulcrum Risk Premia Fund in the Cayman Islands on 4 November 2019, which has grown to USD295 million.
In 2019, the strategy returned over 11 per cent (after all fees) with a 5 per cent volatility exposure; the volatility target has been increased to 8 per cent as of January 2020.
The dedicated systematic research team led by Dr Phil Strother, who joined Fulcrum in 2015 after 14 years in the industry, has been bolstered over the last two years by the addition of three highly regarded new team members, culminating in the appointment of Dr Panos Dafas, previously of Aspect Capital, as Research Director. The team is further supported by Fulcrum’s 30-strong research and investment team.
Barry McCaldin, Director Systematic Sales, Fulcrum Asset Management, says: “Fulcrum Risk Premia offers a fully liquid and transparent approach to multi-asset risk premia. It provides exposure to robust and repeatable macro risk premia, researched and developed by our quantitative, academic and collaborative team. We have successfully built and managed risk premia solutions for over 10 years and continue to leverage our macro research expertise to deliver consistent performance throughout the economic cycle.
“In our view we are now closer to the end of the bull market cycle than the beginning, and as the Fund is uncorrelated to traditional assets, we believe it could be a diversifier within a traditional portfolio or used as a core or satellite holding within an alternatives portfolio.”
Andrew Stevens, CEO of Fulcrum Asset Management, says: “The demand for liquid alternative risk premia strategies is gaining momentum as investors are seeking greater diversification and risk-adjusted returns. We continue to drive the industry towards greater transparency and more aligned client manager fee ratios. We remain true to our core strength which is macro investing with distinct expertise in macro drivers.”
