Morgan Stanley Investment Management (MSIM) has launched the Diversified Alpha Plus fund.
The Luxembourg-domiciled SICAV, UCITS III fund allows European Investors to hold a multi-asset class investment portfolio with exposure to alpha sources while maintaining portfolio diversification uncorrelated to global risk factors, the firm said.
By investing in liquid instruments in multiple asset classes with frequent portfolio rebalances, the fund follows a Global Tactical Asset Allocation (GTAA) investment philosophy.
It will be managed by the Morgan Stanley Quantitative GTAA Strategy team.
Bernd Scherer, global head of Morgan Stanley GTAA said: “Our proprietary investment strategies allow us to employ a systematic quantitative process to seek out and forecast uncorrelated sources of alpha, identifying and exploiting market-neutral opportunities within each asset class.”
He believes the firm is well positioned to deliver stable and consistent absolute returns. “Using valuation, momentum and carry-driven strategies, the Diversified Alpha Plus Strategy searches for alpha across equities, fixed income, foreign exchange and commodity markets,” he added.
The investment universe includes currencies through forward and non-deliverable forward contracts, equities via futures and total return swaps and fixed-income by swaps. Long and short positions are taken, while commodities exposure is achieved through a long-position in a Morgan Stanley commodities strategy, the firm said.
The GTAA Strategy team uses an approach designed to exploit market inefficiencies generated by empirical market regularities that are well founded in macro and behavioral finance.
It seeks to insulate returns from global risk factors by using a series of proprietary investment signals that seek out alpha-generating strategies across a broad investment universe. Collectively the strategies yield a market neutral approach to investing, while multi-level risk filters ensure delivery of a pre-specified value-at-risk target.
The SICAV has management fees of 1.6% pa for class A and B shares and 2.4% for Class C, plus performance fees of 20% on returns above Euro overnight index average (EONIA).
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