Asset Selection Fund C (H-GBP)
Executive Summary
SEB ASSET SELECTION acts within the tactical asset allocation space. i.e. the team tries to generate positive returns by actively taking long and short positions in four different asset classes - equities, fixed income, and currencies . There are studies showing that asset allocation is responsible for some 90% of the returns of a normal portfolio and that only 10% is attributable to security selection decisions.
The Global Quant Team has developed their own systematic proprietary quant-model. The model is run on a daily basis and generates transactions on a daily basis. Individual transactions are never overridden by manual considerations or subjective views. Only extreme market circumstances would prompt the portfolio manager to interfere with the model. In case of interference, it would only be done to reduce risk, never to increase risk to a higher level than the model prescribes. Since inception of the fund, there has been one instance so far, when the portfolio risk was manually reduced (by scaling down all positions in a proportionate way).
The model is trying to forecast the 1-3 month development of some 40-50 futures instruments in four different asset classes. The model takes both long and short positions and has no default exposure to any of the four asset classes. The default position is in short term government debt instruments, i.e. instruments generating the risk free rate of return.
The model has been optimized to achieve a low correlation towards equities and bonds over time. The team estimates that the long term average correlations to both of these asset classes will be within the interval +/- 0.2. This way, the fund should be a very interesting complement in any kind of client portfolio.
Assets reported represent total assets traded in the strategy.
Note: EUR, USD and SEK share classes are included in the database. There are more share classes available, also in other currencies: CHF, JPY and NOK. Returns are available from the manager upon request.
Register to get access to the managed futures database
Get the Full Picture!
See detailed analysis of this investment, and gain access to our complete database where you can:
- Save Investments to a Watchlist and Follow Managers
- Build Portfolios and Create Custom Multi-Manager Blends
- Export Performance Data and Download Research Reports
Disclaimer Info
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
RCM may receive a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.
Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
See the full terms of use and risk disclaimer here.