OMGI Seeds New Systematica Alternative Risk Premia Fund

Nov 13 2017 | 4:54pm ET

Leda Braga’s quant-driven Systematica Investments hedge fund has launched an UCITS-compliant version of its alternative risk premia strategy backed by $122 million in seed capital from Old Mutual Global Investors (OMGI).

The new fund will offer daily liquidity and is the second strategy on Systematica’s Dublin-domiciled ICAV, according to a statement. The parent fund, named the Systematica Alternative Risk Premia (SARP) strategy, was launched in March and utilizes various value, momentum, carry and defensive characteristics to invest in equity and futures markets and allocating them widely across strategies and asset classes to maximize fund diversification and minimize the need to actively hedge. The fund targets annualized volatility of 8%-10% and net returns of 6%-8% over a market cycle, according to the statement. 

OMGI’s allocation is reportedly being made through its multi-asset Cirilium group of portfolios as a complementary source of return exhibiting low or negative correlation to broader markets.

The new fund is available in USD, euros, Swiss francs, sterling, Australian dollars, Hong Kong dollars, Yen and Singapore dollars, the company said, and will be initially registered for sale the UK, Netherlands, Italy, Luxembourg, Spain and Greece. Passporting applications will also be made in Switzerland, Australia, Singapore and others. 

‘Within the class of hedge fund strategies, it is well known that systematic strategies provide attractive diversification benefits to global equity markets,” Braga said in the statement. “SARP demonstrates strong diversification benefits, and is largely uncorrelated to a composite hedge fund portfolio as well.”

Jersey-based Systematica was founded by Brega in January 2015 as a spin off from Michael Platt’s famed BlueCrest Capital Management. The company manages approximately $8 billion across primarily trend-following and equity market-neutral strategies focused on systematic and quantitative investing.

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