Stockholm (HedgeNordic) – Norwegian boutique investment firm Global Assets has launched Global Assets Dynamic, a quantitatively-managed equity fund that mitigates portfolio downside risk using VIX-based products. Launched as a UCITS fund on September 27, Global Assets Dynamic caters to both retail and professional investors.
“We at Global Assets are pleased to announce that we are going live with our fund,” the team at Global Assets led by co-founder and CIO Lars Semb Maalen-Johansen announces on LinkedIn. “Now it’s just a matter of our team at Global Assets delivering value and returns to our customers in these turbulent times.”
“We at Global Assets are pleased to announce that we are going live with our fund.”
“The Global Assets Dynamic Fund is an equity fund with hedging instruments,” explains the Global Assets team on LinkedIn. The fund combines a quant-driven long-only equity strategy and a continuous but dynamic exposure to VIX futures designed to protect against sharp market drawdowns. “This combination creates an asymmetrical return profile for the fund,” Maalen-Johansen told HedgeNordic around the turn of the year. “The downside risk is going to be a lot lower than the upside potential.” Global Assets Dynamic can allocate up to 20 percent of its portfolio to VIX futures, with the allocation increasing as current implied volatility in the market decreases relative to historical volatility and vice versa.
The long-only leg of Global Assets Dynamic relies on a quantiative strategy that selects a factor style that has the best short-term momentum and builds a portfolio stocks that offers exposure to that factor for the month ahead. “We have a proprietary factor model that screens the market every month to find the factor that is in the wind,” explains the Oslo-based team. “Right now, these are stocks with low volatility.”
Global Assets Dynamic also uses a proprietary model that ajusts the fund’s exposure to the so-called “fear gauge” via VIX futures. VIX futures enable the fund to gain exposure to expected market volatility and book gains as the VIX spikes during market turmoil. The long-only equity strategy is designed to deliver a market-like return over time, with the exposure to VIX futures acting as downside hedge during periods of extreme market volatility. “In addition to this, we have implemented stop-loss strategies and sector diversification so that we can reduce the risk in the portfolio,” further elaborates the team at Global Assets. “Our purpose is that this fund should be a core building element of a diversified fund portfolio.”
Picture by Martin Hall Larsen, E24.