But should a strategy like GTAA really matter to a long term investor anyway? Does tinkering constantly at the margins matter in the long run? There seems to be only one word to answer that. Alpha.

The pundits are unanimous that beating market returns is the key for any long term investor whether it takes a short, medium, or long term strategy to do so. The other feature of a GTAA fund is it holds out the possibility of stellar performance where traditional investments do not. Its low correlation to equities and fixed interest can make it an attractive diversifier.

Industry superannuation fund Asset Super made its first foray into GTAA territory in May this year, splitting $55 million of its total $1.6 billion three ways between the GTAA funds of AQR, Mellon Capital and Barclay Global Investors. Asset chief investment officer John Paul says the board deliberated for some time before deciding to invest in the funds. “To be absolutely honest, we have a board who are fairly suspicious of hedge funds in the broad sense, but the global tactical asset allocation funds were recommended by Intech,” Paul says.

No other hedge funds hold a dollar of Asset’s capital, but the board was reassured by the recommendation from Intech given its deep research into the GTAA market. “The board saw it as an opportunity to put its tail in the water on hedge funds,” Paul says. “It’s a thematic investment. It’s across currencies and countries and the like so it behaves differently to stocks and those markets, so it’s a bit of a diversifier as well.” The performance, however, has varied across the three managers since May, and has Paul “both happy and unhappy”. “There’s been ups and downs – one [fund] does well while others don’t do so well, then that one does well while the others don’t. But that’s to be expected,” he says.

Intech, meanwhile, appears to simply be happy. Little more than a year ago it opened a fund of GTAA funds called the Global Tactical Strategies Trust (GTS). The consultant issued a media release to draw attention to the GTS’ returns over the volatile first quarter of the 2007 financial year.

While the general market was going under, GTS was buoyant. For the three months of June to August this year, while the MSCI World Index was getting deeper into negative territory, GTS was on a gradual incline. But the following month, September, the roles were reversed. Such behaviour is somewhat expected. And besides, the total return for the year to September 29, 2007 ended up at 16 per cent.

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