ShelteR Launches Landmark Alternative UCITS Fund of Funds

Apr 14 2016 | 12:05am ET

Luxembourg-based investment management company ShelteR has launched a novel fund-of-UCITS funds that aims to provide investors with access to a portfolio of alternative UCITS fund strategies.

The ShelteR Invest Best Alternative UCITS Fund is a Luxembourg UCITS fund that targets a gross annual return of 6% with volatility similar to bond markets, according to a statement by ShelteR (which intentionally capitalizes the R in its name). The fund manager believes the product is a true alternative to fixed income products where attractive returns are unlikely in today's low interest rate environment, the statement said.

The fund follows a four-step process. First, a qualitative approach is used to create and feed a pick list of target funds. Secondly, a quantitative risk-return approach is used to assess and score each target fund. Thirdly, a qualitative selection of the top ranked target funds and strategies is processed. Finally, a quantitative minimum variance optimization of the selected target funds allows ShelteR to compose the final portfolio. The factors used for the quantitative optimization may change over time but can include value-at-risk, volatility, maximum drawdown, etc. 

The fund management uses expertise of fund database provider LuxHedge, which offers a vast in-house database of more than 1,300 alternative UCITS funds. Alexandre Millet, portfolio manager at ShelteR and initiator of the LuxHedge database, is one of the managers. 

The new fund launched in mid-March. Its portfolio will diversify over core equity related and core bond related absolute return, noted the firm. Strategies as CTA/Managed Futures, commodity or currency arbitrage can complement the base positions. Market neutral makes up around 30% of the portfolio at the moment, followed by multi-strategy at 23.5%, fixed-income at 18.4% and long-short equity at 16.7%. Global macro and event-driven strategies round out the remainder, at 7.9% and 3.8%, respectively. 

ShelteR is a partnership between investment company Rego Partners and insurance boutique Securex, Other funds offered by ShelteR are Low Volatility, Short Term Income, Europe Factor Premium and Real Estate Low Volatility strategies.

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