Acadian Asset Management launches systematic global macro fund

Sydney – July 27, 2021  Acadian Asset Management LLC together with Equity Trustees have launched a new multi-asset absolute return fund in Australia for those seeking a consistent and diversifying stream of returns, with low correlations to equities and other asset classes, while maintaining a prudent and defensive level of risk.

The Acadian Global Macro Fund will be available for institutional and wholesale investors seeking a defensive alternatives exposure and uses Acadian’s well-established systematic approach to exploit inefficiencies across and within global markets. Acadian currently manages over A$2bn for global clients across a suite of multi-asset, absolute return strategies with varying risk profiles. The new fund aims to deliver a positive return above the S&P/ASX Bank Bill index with a target volatility of around 6 per cent over rolling three-year periods.

BT Investment Solutions (BTIS), through its BT Diversified Alternatives Fund, is the initial investor in the fund.

“Acadian’s Global Macro Fund is designed to seek absolute returns regardless of market conditions, by identifying and capturing diverse sources of return through portfolios that can endure severe market stress,” said Ilya Figelman, head of Acadian’s Multi-Asset Class Strategies team.

The strategy is implemented via long/short positions across five major asset classes including equity markets, bonds, FX, volatility, and 25+ underlying commodities. Portfolio construction takes into account the complexity of cross-asset relationships across the whole portfolio rather than being based on the concept of risk premia within asset class silos.

“We believe our approach provides a high level of differentiation, particularly compared to many standard Alternative Risk Premia type strategies,” Mr. Figelman added. “Successful multi-asset investing requires an appreciation of the complex and dynamic relationships across asset classes globally. We’ve sought to systematize many of the fundamental factors that drive asset class returns and as a result, the strategy includes a range of proprietary asset-class signals, particularly in commodities, as well as incorporating cross-asset macro factors and more established factors.”

“The result is a dynamic, well-diversified global markets portfolio that aims to deliver uncorrelated, defensive returns driven by a combination of market selection within asset classes and directional positioning at an asset-class level.”

Kunal Kotwal, Portfolio Manager – Alternatives from BT said the managers within its BT Diversified Alternatives Fund have “strong and persistent track records of successfully investing in risk premia which have clear barriers to entry, boast strong risk management skills, and possess a desire to evolve strategies as markets change.”

Equity Trustees is the responsible entity for the fund. Russell Beasley, Executive General Manager, Corporate Trustee Services, at Equity Trustees said the provider was pleased to add Acadian to its growing list of global clients. “We are delighted to be supporting a global asset manager of such scale. We have grown to become the market-leading responsible entity provider in Australia, offering the right support, expertise, and capability for asset managers like Acadian,” Mr. Beasley said. 

About Acadian Asset Management LLC
Acadian Asset Management LLC is a Boston, USA-based systematic investment manager that invests on behalf of institutional investors such as pension funds, endowments, governments, foundations, and individual investors, with approximately A$156 billion assets under management as of 30 June 2021. The firm uses an innovative array of disciplined, quantitative investment techniques and analytical models for active stock selection as well as macro, peer, and currency valuation. Acadian’s strategies include multi-asset, managed volatility, emerging markets, global equity, small-cap, long/short, and non-U.S. equity strategies. Acadian has wholly-owned affiliates in London, Singapore, and Sydney.