The $4.3 billion AUSCOAL Super has awarded $50 million to a global volatility manager for its alternatives portfolio.
The fund has committed a $50 million mandate to the Pengana Capital Global Volatility Fund, a vehicle that aims to exploit mispricings in the implied and historic volatilities of equity index futures, options and other instruments.
Bruce Watson, chief executive officer at AUSCOAL, said the fund saw the strategy as a source of returns uncorrelated to other asset classes.
“Our research has uncovered that the Pengana fund has a low correlation to equities and fixed interest,” Watson said.
Overall, AUSCOAL commits approximately 19 per cent of its assets to alternatives, of which 6 per cent is invested in hedge funds, Watson said.
The Pengana fund is managed from Chicago by Al Wilkinson and a team of traders, and has grown to more than $600 million under management since being seeded by the Queensland Investment Corporation in October 2007.