Pengana launches market-neutral fund

Product to help manage risk

By Christine St Anne
Tue 01 Jun 2010

Pengana Capital has hired a portfolio manager to its team as it launches a market-neutral fund.

Fund manager Pengana Capital has launched a market-neutral fund for institutional investors.

The fund is managed by Phillip Boustridge, who previously worked at Barclays Global Investors in London.

Boustridge joined the fund manager in 2007 and has since developed the market-neutral fund.

"We are ready to take the fund to the market. We think the split between alpha and beta funds is gaining pace now," he said.

"Investors have traditionally used long-only managers for 80 per cent of their portfolio with 20 per cent dedicated to long/short strategies.

"Under this strategy problems with tracking error emerge, the portfolio becomes overpriced and you don't get the diversification you need." 

The fund adopts a fundamental quantitative approach across stocks in the Australian Securities Exchange top 300.

Investment risk is managed by holding many stocks with smaller portfolio weightings.

"Market-neutral investing helps you manage risk while not sacrificing return," Boustridge said.

The fund has been in incubation for two-and-a-half years and is open to seed investors.

It will initially be offered to institutional investors.

Pengana was planning to offer the fund to platforms through model portfolios and multi-manager products, Pengana executive director John Hamer said.

"We are also looking for more seed investors for the fund," Hamer said.

The firm has also recently hired Miriam Herold to help manage the fund. Herold previously held analyst roles and was most recently with JP Morgan as a performance analyst.

Systems engineer Paul Ramsay is also employed by the market-neutral team to provide computer systems that run quantitative modelling and backtesting.

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