BlackRock Strategic Funds has launched the Americas Diversified Equity Absolute Return fund.
The Luxembourg-domiciled sicav is co-managed by Raffaele Savi and Travis Cooke, both managing directors of the Scientific Active Equity team.
Savi and Cooke will aim to identify market inefficiencies and highlight those that are economically exploitable to predict active returns.
The fund has about 2,200 stock positions split equally between the long and the short side, but may hold up to 3,000 individual positions from the investment universe of 3,500.
Asset allocation is divided between longer horizon fundamental sub-strategies in American large-cap, American small-cap, Canadian and Latin American stocks and the statistical American mid horizon sub-strategy on a risk basis.
The risk allocation to the American mid horizon is about 25%, which is at the lower end of the expected range of 25%-50%.
“This reflects that the volatility in the US market has fallen significantly since the fourth quarter last year, with the Vix measure of implied volatility in the S&P 500 falling to almost 15 from over 35 in November,” Savi says.
“The market conditions are also reflected in the fund’s total gross exposure which is about 520%, towards the top end of its range of 200-600%, with net exposure of 0%.”
The minimum investment is $5,000 or about £3,180 with an initial charge of up to 5%, an annual management charge of up to 1.5% and a performance fee of 20% over the hurdle rate, with a high watermark. The fund is benchmarked against the three-month dollar London Interbank Offered Rate.