PIMCO Launches UCITS Version of Quant Managed Futures Fund

Jul 15 2015 | 4:12pm ET

PIMCO has launched a UCITS-compliant version Vineer Bhansali’s managed futures strategy.

The PIMCO TRENDS Managed Futures Strategy was reportedly launched as a Dublin-domiciled fund in early July. The fund will replicate the existing onshore vehicle launched by Bhansali at the end of 2013.

The U.S. version of the fund reportedly has $432 million in assets under management.

Bhansali, a quantitative investment specialist and head of PIMCO’s Quantitative Portfolio Group, uses macroeconomic insights and quantitative research capabilities to capitalise on momentum-driven, short-term market moves through the use of futures contracts. 

In addition, as with the U.S. version, a portion of the fund’s assets will be allocated to a actively managed collateral portfolio of fixed income securities.

As one of the best-regarded bond managers in the world, PIMCO has a well-established program that will manage the fund’s underlying cash and the short- to intermediate-term bonds held as collateral on the derivatives contracts. Ideally, such active management of collateral results in additional sources of return without very much additional risk.

The PIMCO TRENDS Managed Futures Strategy was the first predominantly quant strategy offered by the company, and its first managed futures fund. It returned 20.60% in 2014 but has stumbled so far in 2015, dipping 4.62% in the first half of the year.

The new UCITS fund is passported for sale across Europe and the UK.

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