SGAM AI’s new Ucits fund replicates hedge funds

SGAM Alternative Investments (SGAM AI) has launched a Ucits-III compliant mutual fund using the concept of the T-Rex (Total Return Exposure) strategy, which replicates synthetically the performance of the Hedge Funds Research (HFR) Index. This is achieved with a managed portfolio of liquid financial instruments such as futures on the major assets, including equities, bonds and currencies.

The allocation process of the fund is based on a quantitative model, created by SGAM AI’s structured asset management team. The model calculates the allocation that offers a high correlation to the performance of more than 2000 hedge funds tracked in the HFR database without the subjective input of a fund manager. In order to maintain this high degree of correlation, positions are re-weighted every month.

The Ucits-III compliant fund offers daily liquidity and transparency as the portfolio