According to the announcement, the US absolute return strategy seeks to add 20% alpha on an annual basis, above the Citigroup three-month US Treasury Bill Index using exchange-traded equity futures, government bond futures and currency forward contracts. The offshore strategy targets a 15% return above the Citigroup three-month US Treasury Bill Index.
The strategies are for US and non-US institutional investors that use the integrated Global Alpha Platform (iGAP). The iGAP strategy is designed to add uncorrelated, consistent excess return to portfolios by taking advantage of inefficiencies in country equity and bonds, yield curve and currency markets around the world and uses a multi-manager, multi-style approach. It has generated excess return in each of the last six calendar years, the announcement said.
“Investors are increasingly looking for transparent, liquid alternative investments with consistent returns,” said Janet Campagna, Global Head of Deutsche Asset Management’s Quantitative Strategies Group, in the announcement. “The new iGAP strategies offer our institutional clients capital-efficient access to high levels of potential alpha from multiple sources through a single strategy with a high level of liquidity and transparency.”