New York-based Penso Capital Markets this month launched its Crisis Fund with $225 million in commitments. The new offering invests across equity, fixed-income, commodity and foreign-exchange markets.
As the name implies, the fund expects to post its best returns during market crises, such as the looming U.S. recession and upcoming elections, with lower and possibly negative returns in benign and bullish times. Ari Bergmann, managing principal, said the strategy is looking to separate the trees from the forest to unearth dislocations in the marketplace.
“The strategy of the fund is to find opportunities in the market for trades with negative correlation to the benchmark, the MSCI World Index,” Bergmann said. “The market does provide risk-adjusted return opportunities because there’s so much movement and dislocation. Things might make sense on a micro basis but on a macro basis things are just out of completely sync, and that’s where we see opportunities.”
The Crisis Fund will be added to the firm’s Select Opportunities platform, a collection of macro event-driven strategies, as a new share class. The fund, which Bergmann co-manages with Penso’s managing principal, Steve Gross, charges a 2% management and 15% performance fee with a high-water mark and a one-year lockup period.
Bergman said the strategy will “pause” when it reaches $500 million. The firm currently manages north of $400 million in total assets.