London, 7 January 2020 – Fulcrum announces the launch of the Fulcrum Risk Premia Fund (UCITS) with $70m of initial capital with a further $1.1bn in the Strategy across a Cayman fund and separately managed accounts. The Strategy is designed to give investors access to attractive risk-adjusted returns with historically low correlations to traditional assets, while meeting its return objectives in different market environments. It does so by combining a highly diversified portfolio of return streams, focused on macro premia and excluding any exposure to single name equities or equity factors. The Fund is an absolute return product with a target volatility of 8% and offers daily liquidity with no performance fees and complete transparency.
The launch of the Luxemburg-domiciled UCITS vehicle is the culmination of over two years of in-depth research following over a decade of actual investing in alternative risk premia. The Strategy packages together Fulcrum’s multi-asset, macro risk premia expertise in trend following, carry, volatility, and value, investing across commodities, currencies, equity indices, credit indices and fixed income (again, no exposure to single name equities).
The Strategy in its current form has been running live since 1st January 2019 and will, following this launch, replace the Fulcrum Alternative Beta Plus Fund. This announcement follows the registration and successful launch of the Fulcrum Risk Premia Fund in the Cayman Islands on 4th November 2019, which has grown to $295m.
In 2019, the Strategy returned over 11% (after all fees) with a 5% volatility exposure; the volatility target has been increased to 8% as of January 2020.
The dedicated systematic research team led by Dr Phil Strother, who joined Fulcrum in 2015 after 14 years in the industry, has been bolstered over the last 2 years by the addition of 3 highly regarded new team members, culminating in the appointment of Dr Panos Dafas, previously of Aspect Capital, as Research Director. The team is further supported by Fulcrum’s 30-strong research and investment team.
Sam Emery/Emma Murphy