Mercer’s multimanager funds have taken note of stellar performance from managed futures managers over the past year, making their first ever allocation to the asset class at the same time as helping break the mandate drought in global equities, awarding $400 million to RCM Global Investors and $300 million to Martin Currie.
Among three new alternative asset managers for Mercer is Winton Capital, a London-based managed futures specialist whose Global Alpha Fund returned 23.8 per cent net of fees for the 12 months to November 2008, off the back of a strategy which can long or short across 100 different markets including commodities, bonds, currencies, interest rates and equity indices.
Mercer’s chief investment officer, Russell Clarke, said the multimanager funds already housed GTAA managers, which execute exclusively via futures, but that managed futures was different becasue its practitioners took no account of fundamentals, instead focussing on technical aspects of investment like price trends, liquidity and overall portfolio volatility.
Managed futures managers have benefited hugley from the unprecedented levels of volatility in global markets for the past year.
The other alternatives managers hired were Global Commodities Ltd. for an agricultural commodities mandates – "there’s a real structural story underpinning that," Clarke said – and H3 Global Advisors for a general commodities mandate.
Meanwhile RCM and Martin Currie, often competitors for global equity mandates, have both been awarded one by Mercer, at the expense of Alliance Capital’s Global Research Growth strategy, Arrowstreet Capital’s quant approach and a long/short global shares mandate with Acadian Asset Management.
Clarke said Acadian itself was not to blame but that "as a general statement, long/short funds have not lived up to their expectations".
Clarke said the two new managers had more concentrated portfolios than the outgoing.
Martin Currie’s 30-45 stock portfolio is slanted towards high-quality companies enjoying a catalyst for positive change, while RCM’s 60-80 stock book has a growth bias with a firm eye on earnings risk.
The $700 million awarded to RCM and Martin Currie is approximately equivalent to the total withdrawn from Alliance, Arrowstreet and Acadian.
Mercer’s multimanager funds also recently added CBRE as a third offshore REIT manager, and Fidelity Investments as an additional overseas small caps manager.
