SGAM Alternative Investments (SGAM AI) is launching the first UCITS III compliant mutual fund under French law that targets a risk/return profile corresponding to the global hedge fund universe.
Using the concept of Alternative Beta*, the T-Rex (Total Return Exposure) strategy aims to replicate synthetically the performance of the Hedge Funds Research (HFR) Index, with a dynamically managed portfolio using liquid financial instruments, such as futures, on the major asset classes.
The allocation process of the fund is based on a quantitative model, created by SGAM AI’s Structured Asset Management team. The model automatically calculates the allocation offering a high correlation to the performance of over 2000 hedge funds tracked in the HFR database, without subjective input from a fund manager.