Fortem Capital has launched the Fortem Capital Managed Futures Fund, a daily-dealing UCITS strategy designed to provide investors with lower-cost access to managed futures while addressing some of the challenges associated with traditional CTA allocations.
The new fund combines managed futures replication technology developed by DBi with a targeted convex overlay intended to improve performance during sharp equity market sell-offs. The strategy seeks to capture the core return drivers of the broader CTA industry while reducing both manager selection risk and fee drag.
Managed futures have long been regarded as a valuable portfolio diversifier due to their low correlation to traditional asset classes and ability to perform during periods of market stress. However, investor outcomes can vary significantly between managers, while fees remain relatively high across the sector.
Kevin Gray, chief investment officer at Fortem Capital, said the firm has focused on delivering a more efficient implementation of managed futures rather than developing a new trend-following approach.
“Replication allows investors to retain the characteristics that make managed futures valuable while materially reducing cost and manager selection risk,” Gray said.
The fund uses DBi’s managed futures replication framework, which seeks to recreate the aggregate positioning of the CTA industry using liquid futures across equities, fixed income, currencies and commodities. Fortem has supplemented this with a convex protection overlay designed to provide targeted downside protection during severe equity market dislocations.
The strategy is available to professional and institutional investors through a UCITS structure and carries an ongoing charge below the broader CTA industry average.
Fortem Capital manages more than $3 billion across liquid alternatives strategies, while DBi oversees more than $4 billion in hedge fund replication assets
