14/09/2011 Author: Kirstie Brewer

Select Asset Management adds AQR fund to portfolio

Select Asset Management, which manages around A$650m ($686m) in assets on behalf of Australian investors, including retirement funds, has added the AQR Managed Futures fund to its select alternatives portfolio, amid a flurry of potential investment searches.

An initial allocation of A$5m ($5.3m) has been made to the systematic trading fund, supplementing an existing investment in the CFS Aspect Diversified Futures Fund, in a move that Robert Graham-Smith, head of portfolio management at Select, described as “a toe in the water”.   

“We have had exposure to a range of trend-following and managed futures strategies for a number of years now and have tended to diversify across medium-term trend followers, short-term systematic trading strategies and discretionary global macro strategies,” Graham-Smith explained.

“We see AQR Managed Futures more in the medium-term trend-following space and, as such, as diversifying exposures to various existing managers and implementing the strategy in a very cost-effective way.”  

Select is also poised to hire an Australian agricultural and commodities fund within the next month or so and will be making a decision on possible long-volatility investments shortly after, HFMWeek can exclusively reveal.

“We are currently evaluating a range of discretionary macro managers, some long/short commodity futures managers, and are always on the look out for decent liquid multi-strategy managers that are fairly diversified in their own right,” Graham-Smith said.     

“We have also been doing a detailed project on more long volatility and thematic tail hedging products as well,” he added.

AQR Managed Futures is a sub component of the AQR DELTA fund, a hedge fund beta strategy with exposure to nine underlying strategies, to which Select currently allocates A$25m ($26m).

Select, which typically makes initial allocations of between A$5m-$10m ($5.3m- $10.5m), classifies 30% of its alternatives portfolio as hedge funds and 15% as trading/managed futures.