The fund has also been designed to meet client expectations surrounding high excess returns at limited risk, coupled with solid risk management, and high levels of transparency and liquidity.
Launched in 2006, this fund is likely the first CTA to be launched in a UCITS wrapper, and at time of writing, it is the largest UCITS-compliant CTA with €1.35 billion in AUM.
It is a long/short vehicle with a three month investment horizon and invests 95% of the cash in highly liquid, short-term paper and uses the remaining 5% as collateral for taking directional positions in highly liquid futures. The managers emphasise that illiquidity is a major source of risk for hedge funds and hence avoid all but the most liquid instruments to express their views. Indeed, the fund’s cash component is invested in short-term government debt with maturities of up to one year.
The fund trades between 40 and 45 instruments on a quantitative basis, and avoids single commodity contracts; commodities exposure is indirect, via the S&P GSCI, and limited to no more than 15% of NAV. The managers have deliberately chosen to avoid a swap solution. Risk management is carried out on a systematic basis.
The flagship fund targets a volatility of approximately 10%. Different risk profiles are enshrined in different funds rather than different share classes (apart from SEB Asset Selection, the strategy has Defensive and Opportunities variants with lower and higher target risk/return profiles respectively).
Although not deliberately designed as a CTA fund, SEB Asset Selection has a correlation of 0.66 to the managed futures/CTA universe.
About the managers
The fund is managed by a five-strong quantitative team headed up by Hans-Olov Bornemann, a former managing director from Deutsche Bank. The team has remained together for over seven years. SEB
Asset Management runs over €100 billion in assets.
Key details
Fund name SEB Asset Selection Fund
Management company SEB Asset Management
Promoter SEB Asset Management
Status Open
Inception date 3rd October 2006
Strategy
Kind of fund Hedge Fund
Strategy group Macro
Sub-strategy group Discretionary
Region Global All
Asset classes Equities, currencies, interest rates, sovereign bonds, credit, commodities
Particulars
Currency EUR, USD, GBP, SEK
Share class name IC(EUR)
ISIN LU0256624742
NAV calculation Daily
Liquidity Daily
Notice (banking days) 0
Minimum investment 100,000
Minimum retail 100
Min. investment currency USD
Fees
Exit fee 1%
Management fee 1.75%
Performance fee 20%
High water mark Yes
Hurdle rate Yes
Hurdle Treasury Bill 3m
Analysis
2010 return 2.0%
Annualised return 7.79%
Annualised volatility (monthly data) 9.77%
Sharpe ratio (2%) (monthly data) 0.59
Correlation to S&P 500 (monthly data) -8.67%
Correlation to iBoxx (monthly data) 14.89%
Service providers
Administrator SEB Securities Services
Custodian SEB Securities Services
Auditor PricewaterhouseCoopers
Lawyer Arendt & Medernach
