Fortem Capital launches managed futures fund

Fortem Capital has launched an alternatives fund offering investors efficient access to managed futures.

The Fortem Capital Managed Futures fund is a daily dealing UCITS strategy that uses DBi’s managed futures replication framework. It aims to capture the core return drivers of the CTA industry in a liquid, low-cost format in a bid to reduce both cost drag and manager selection risk.

By using a targeted convex overlay the fund seeks to improve behaviour during fast, equity-led dislocations, when traditional trend-following strategies have typically been less reliable.

The overlay is funded from a portion of the efficiency gains generated by the replication approach and is designed to provide what Fortem refers to as ‘Armageddon Alpha’; targeted convexity in the most severe equity dislocations, rather than continuous protection against every market setback.

Kevin Gray, CIO at Fortem Capital, said: “We have long viewed managed futures as one of the most effective diversifiers available to investors. The challenge has never been the return premia itself, but the efficiency with which it is accessed.

“Managed futures replication already forms a core component of our Liquid Alternatives Fund, so this is not a theoretical exercise for us. Replication allows investors to retain the characteristics that make managed futures valuable while materially reducing cost and manager selection risk.

“We have then used part of those efficiency gains to design a strategy specifically around the role we believe managed futures should play within a broader portfolio.

He added: “The objective wasn't to reinvent managed futures, but to deliver a more efficient implementation designed specifically around the needs of the end investor.”