The Ucits III diversified alpha plus investment fund allows European investors to hold a multi-asset class investment portfolio with exposure to a range of alpha sources while maintaining high portfolio diversification.
The fund can be used to diversify an existing portfolio or as a stand-alone investment and has a investment universe that includes currencies via forward and non-deliverable forward contracts; equities via futures and total return swaps and fixed-income via swaps. Long and short positions can be taken and commodities exposure can be obtained via a long position in a Morgan Stanley commodities strategy.
The fund is managed by the Morgan Stanley quantitative GTAA strategy team and uses the global tactical asset allocation philosophy to invest in liquid instruments in multiple asset classes with frequent portfolio rebalances. The team uses proprietary investment signals that seek out alpha-generating strategies across a broad investment universe to insulate portfolio returns from global risk factors.
Morgan Stanley quantitative GTAA global head Bernd Scherer says: “Our proprietary investment strategies allow us to employ a systematic quantitative process to seek out and forecast uncorrelated sources of alpha, identifying and exploiting market-neutral opportunities within each asset class. Using valuation, momentum and carry-driven strategies, the diversified alpha plus strategy searches for alpha across equities, fixed income, foreign exchange and commodity markets.”