To restructure its $5 billion enhanced index portfolio of global equities, AMP Capital Investors has allocated $2.8 billion to two quantitative managers.
Within the enhanced index fund, part of its multi-manager Future Directions Funds, AMP Capital allocated $1.6 billion to AQR Capital Management and $1.2 billion to Enhanced Investment Technologies, an spokeswoman for the manager confirmed.
Until now, Henderson Global Investors was managing the full $5 billion in the fund. I&T News understands the new mandates were signed to diversify the portfolio and help generate a tracking error of between 60-70 basis points.
It’s understood Henderson, which manages $2.2 billion under the new structure, runs a primarily indexed fund but gains some risk exposure by tilting to a separate multi-asset class strategy.
AQR was mandated to deliver a 1 per cent tracking error against the benchmark MSCI World, which it would achieve through a modest skew towards value and momentum factors.
Enhanced Investment Technologies was hired to run a strategy aiming to capitalise on relative volatilities and expected correlations.