Over 90% of the fund’s portfolio is now in listed derivative instruments, giving the manager the ability to turn around the portfolio in one day.
The fund seeks global investment opportunities using a top down approach. When we spoke to Moerman he was overweight equities and underweight commodities. He had spent the whole year overweight credit, using CDS exposure, and invested into good quality corporate debt stories.
Equity exposure is achieved mostly via indices, for example using a high dividend basket to express this theme. Much of the fund’s activity in this respect is in G10 markets although there is some emerging markets exposure as well.
The average time horizon for a trade is between three and six months out to 12 months. “We’re not trying to call the market,” explains Moerman. “We have long-term views but we use market sentiment to take profit or enter into a specific trade.” Each trade is examined from valuation, macro, technical and qualitative perspectives. Each will be given an equal weight within the portfolio if it has a green light across all these criteria.
A specific VaR is also attached to each trade: “If we have a trade we’re positive on, we can allocate a higher percentage of our risk target to that trade,” says Moerman.
The fund is supported by a team of five people. It sits within a multi-asset group in Aegon that includes all the alternative investment strategies the insurance company manages. It allows the managers to discuss markets views with other macro-oriented teams as well as specialist fund managers. “We have a lot of input into the house view, so we rarely find that this is contradictory,” says Moerman.
About the managers
The fund is managed by a team of five, with Olaf van den Heuvel as the lead portfolio manager. Gerard Moerman acts as deputy head of the team.
Key details
Fund name Aegon Global Opportunities Fund
Management company Aegon Asset Management
Promoter Aegon
Status Open
Inception date 23rd December 2009
Strategy
Kind of fund Hedge Fund
Strategy group Macro
Region Global All
Asset classes Equities, Currencies, Interest rates, Sovereign bonds, Credit, Commodities, Volatility (options)
Particulars
Currency EUR, GBP
Share class name Class B Euro (Accumulating Shares)
Bloomberg ticker AEGBEUR ID
Domicile Ireland
Listing Irish Stock Exchange
Fund structure Investment Company with Variable Capital
NAV calculation Daily
Liquidity Daily
Notice (banking days) 1
Minimum investment 100,000
Minimum retail 100
Min. investment currency EUR
Fees
Entry fee 0%
Exit fee 0%
Management fee 1.5%
Performance fee 20%
High water mark Yes
Hurdle rate Yes
Hurdle Euribor 3m
Analysis
Current YTD 1.68%
Annualised return 1.89%
Annualised volatility 4.49%
Sharpe ratio (2%) -0.02
Correlation to S&P 500 26.36%
Correlation to iBoxx 42.34%
Service providers
Administrator Citi Hedge Fund Servies
Custodian Citibank
Auditor Ernst & Young
