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PGIM adds liquid alternatives fund to Ucits platform

QMAW Keynes Systematic Absolute Return Fund seeks a return of Libor plus 5%, while seeking to limit risk of capital loss


David Robinson

PGIM Investments has expanded its global platform with the addition of the first QMA Wadhwani (QMAW) Ucits Fund since the acquisition of Wadhwani Asset Management in January.

The PGIM QMAW Keynes Systematic Absolute Return Fund launched in September with seed capital of US$30m (€27.4m).

PGIM Investments is the global manufacturer and fund distributor of Prudential Financial.

QMAW’s systematic, quantitative approach seeks a return of Libor plus 5% 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% net-of-fees year to end August and an annualised net return of 6.4% since inception.

Dr Sushil Wadhwani, 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.

“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,” Dr Wadhwani said.

Kimberly LaPointe, head of PGIM Investments International, said: “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.”

The current Ucits platform, launched in 2013, has grown to 28 funds. The fund is a sub-fund of the Irish-domiciled Ucits fund umbrella, PGIM Funds. It is registered for sale in the UK and across Europe.