Fortem Capital has launched a managed futures fund, offering daily dealing in a UCITS structure.
The fund uses DBi’s managed futures replication framework to capture the return drivers of the commodities trading adviser (CTA) industry in “a liquid, low-cost format.” CTAs specialise in managing portfolios through derivatives, including futures, options and forex contracts.
This approach seeks to reduce both cost and manager selection risk.
The fund incorporates a targeted convex overlay designed to improve behaviour during “fast, equity-led dislocations”.
The overlay is funded from a portion of the efficiency gains generated by the replication approach, and is designed to provide what Fortem refers to as “armageddon alpha”.
In other words; targeted convexity in the most severe equity dislocations, rather than continuous protection against every market setback.
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Kevin Gray, chief investment officer at Fortem Capital (pictured), said: “We have long viewed managed futures as one of the most effective diversifiers available to investors. The challenge has never been the return premia itself, but the efficiency with which it is accessed.
“Managed futures replication already forms a core component of our liquid alternatives fund, so this is not a theoretical exercise for us.
“Replication allows investors to retain the characteristics that make managed futures valuable while materially reducing cost and manager selection risk.
Andrew Beer, co-founder and managing member at DBi, added: “With this launch, Fortem brings a sophisticated and unique strategy to market: the proven diversification benefits of managed futures combined with prudent risk mitigation, all in a liquid, accessible, fee efficient fund structure. From an allocator’s perspective, this is a big leap forward.”
