Frankfurt am Main, July 27 2015
German absolute return equity strategy mitigates general market risk
Special quantitative strategy targets 8 per cent return per annum
Also suited to conservative investors thanks to low correlations with equities and bonds
The fund targets 8% p.a. and has a target volatility of 12%. The maximum drawdown should be limited to 13%. These objectives make the fund an interesting proposition not only for equity investors but also, more particularly, for conservative investors seeking a moderate risk/return profile.
The fund follows a rule-based and market neutral investment approach and combines an equity portfolio with the sale of futures contracts.
“The mathematical engines behind this fund are highly complex, however the resulting fund structure is very simple,” explains Dr. Wilhelm Berghorn, CEO of Mandelbrot Asset Management. The fund typically holds cash as well as 15 German DAX, MDAX and TecDAX stocks. “We will hold a corresponding short position in the DAX future to minimise market risk. At the end of the day, the investor receives the performance differential between the equity portfolio and the equity market,” sums up Berghorn. Positions in the fund are typically rotated monthly.
The investment strategy is based on state-of-the-art findings on the momentum effect. Modern analytical tools (wavelets and fractals) allowed its derivation from a vision of the mathematician Benoît Mandelbrot. According to the market model that has been named after Mandelbrot, it is possible to outperform the market long-term and structurally even though the traditional capital market theory claims otherwise. This finding has already been proven based on factor analysis for instance by MSCI.
“The portfolio can make positive contributions to almost every existing portfolio since it has low expected correlations with the equity and fixed income markets,” says Berghorn. Stocks are selected via regular, proprietary trend assessments and a subsequent ranking and rebalancing of positions. Up to 100 percent of the fund volume can be held in cash at bank during market phases in which the trend analysis does not suggest positive returns. The system of trend evaluation can also be reversed (contrarian strategy).
Fund name: Mandelbrot Market Neutral Germany
Fund partner: Mandelbrot Asset Management GmbH, Munich
Investment company: Universal-Investment Gesellschaft mbH, Frankfurt am Main
Custodian: Joh. Berenberg, Gossler & Co. KG, Hamburg
Fund category: Equity fund
Fund currency: Euro (EUR)
WKN / ISIN: A14N8Q / DE000A14N8Q7
Unit type: Distributing
Ongoing charges (estimate): 2 % p.a.
Minimum initial investment: None
Initial charge: Up to 5 %
Performance fee: Up to 10% of the return generated in excess of the reference value (absolute positive return with high watermark) during the accounting period.
Munich-based Mandelbrot Asset Management GmbH develops modern investment solutions based on new capital market findings. Dr. Wilhelm Berghorn is the partner and founder of the company. The qualified computer scientist and mathematician has been working with the so-called wavelet analysis for industrial and financial services applications for over 20 years. Two proven experts, Prof. Dr. Heinz-Otto Peitgen and Dr. Sascha Otto, form the scientific advisory committee of Mandelbrot Asset Management GmbH. Peitgen is a mathematician and chaos researcher. His books on chaos theory and fractal geometry have been global bestsellers for almost two decades. Otto graduated in business administration. After completing his PhD, Otto held various positions in different banks, most recently as head of securities and portfolio management at Sparkasse Bremen.
Further information can be found at www.mandelbrot.de