Deutsche Asset Management Launches New Absolute Return Global Macro Strategies

Strategic Insights -

Deutsche Asset Management has introduced two new absolute return global macro strategies for US and non-US investors, utilizing the integrated Global Alpha Platform (iGAP) to generate excess return or alpha. The US strategy aims to add 20% alpha annually, while the non-US strategy targets a 15% return above the Citigroup three-month US Treasury Bill Index. These strategies leverage exchange-traded equity futures, government bond futures, and currency forward contracts to capitalize on inefficiencies in country equity and bond markets.

Key Takeaways:

  • The US absolute return strategy seeks to add 20% alpha on an annual basis, above the Citigroup three-month US Treasury Bill Index.
  • The offshore strategy targets a 15% return above the Citigroup three-month US Treasury Bill Index.
  • The iGAP strategy has generated excess return in each of the last six calendar years.
  • The strategies utilize a multi-manager, multi-style approach to take advantage of market inefficiencies.
  • The US absolute return strategy has already attracted a major corporate pension plan with $130 million invested.
  • Deutsche Asset Management's Quantitative Strategies Group manages $60 billion in assets as of April 30, 2006.
  • The Group's active large cap equity strategies have outperformed industry results since inception, ranking in the 7th, 5th, and 9th percentiles for the Large Cap Growth, Large Cap Value, and Large Cap Core strategies, respectively.

Statistics:

  • $130 million invested in the US absolute return strategy by a major corporate pension plan.
  • $50 million invested in the offshore strategy by a large non-US public pension plan.
  • $60 billion in assets managed by Deutsche Bank Asset Management's Quantitative Strategies Group as of April 30, 2006.
  • 300 to 400 basis points annual outperformance goal for the Large Cap Growth and Large Cap Value strategies over rolling three-year cycles.

Sources:

  • (1) Deutsche Asset Management press release, announcing the launch of two new absolute return global macro strategies.
  • (2) Deutsche Bank Asset Management's Quantitative Strategies Group, detailing the five-year performance of the Large Cap Growth, Large Cap Value, and Large Cap Core strategies.
  • (3) Deutsche Bank Asset Management's Quantitative Strategies Group, outlining the investment objectives of the Large Cap Growth and Large Cap Value strategies.
  • (4) Deutsche Bank Asset Management's Quantitative Strategies Group, reporting the assets under management as of April 30, 2006.