The portfolio, which was launched in December 2001 as a fund of zero dividend preference shares, broadened its remit in February after adopting wider investment powers under Ucits III.
At the time of launch, many splits were significantly undervalued, dogged by problems in the splitcap market but there are fewer zeroes now, leading Close to target other listed vehicles.
Close says it is finding a considerable number of funds of hedge funds and absolute return funds, which are both defensive and undervalued.
The company says alth-ough many managers have adopted the wider investment powers of Ucits III, few use these tools or have the capability to use them effectively. It says it has used futures and options since it was established in 1995.
A spokesman says: “The reserve equity fund was obviously launched in the eye of the storm in terms of the markets. The split-cap debacle led to negative sentiment and a lot of investors were turned off by the sector but the returns show the benefit of zeros. There are not as many zeros as there used to be so we expanded our investment remit to look elsewhere.”