Moreover, according to a press release, the new fund has been seeded with funding by one of Europe’s largest pension funds.
The investment objective of Enhanced Global is to achieve an excess return above its benchmark, the MSCI Developed World Gross Index, by approximately 1.25% to 1.35% (annualized and gross of fees) over a three-to-five year time period. The tracking error is expected to approximate 1.35% to 1.50% annually over the long term, gross of fees and the information ratio is targeted to be above 0.75.
The Enhanced Global Equity strategy is an extension of both INTECH’s Global Core and Enhanced Index strategies. As of November 30, 2009 Global Core has returned 3.88%, annualized and gross of fees, since its inception (January 1, 2005), and the Enhanced Index has returned 2.98%, annualized and gross of fees since its inception (April 1, 1998) through November 30, 2009, according to the announcement.
This new strategy is managed using INTECH’s mathematical, risk-managed investment process designed to seek long-term returns in excess of the target benchmark.
“The INTECH process is designed to target specific levels of excess return over time. This target level of outperformance can be ‘dialed up’ or ‘dialed down,’ according to a client’s risk tolerance,” said Robert A. Garvy, M.B.A., Chairman and Chief Executive Officer of INTECH, in the announcement. “The result is an investment approach that has historically delivered high information ratios, a key measure of risk-adjusted excess return, investment efficiency, and consistency long term.”
INTECH, an independently managed subsidiary of Janus Capital Group, was founded in 1987 following research undertaken by Dr. E. Robert Fernholz, the company’s Chief Investment Officer, and the publication of his paper in 1982, on mathematical investment processes titled “Stochastic Portfolio Theory and Stock Market Equilibrium.”
The company’s global headquarters is located in West Palm Beach, Florida and has offices in Princeton, New Jersey and London, England. As of September 30, 2009, INTECH had approximately $47.3 billion under management and 82 employees.