A sub-fund of the Luxembourg Sicav, the NN (L) Multi-Asset Factor Opportunities fund will be managed within the firm’s systematic strategies team.
It targets a return of one-month US Libor +6% over a rolling 12-month period with annualised volatility of 8%-12%.
Looking at track records dating back to 2005, the fund relies on such factors as value, carry, momentum, flow and volatility across all the major asset classes without leaning towards a long or short bias.
Authorised by the Commission de Surveillance du Secteur Financier in Luxembourg, the sub-fund is currently only registered in that jurisdiction. It is traded daily and Ucits compliant, officially opening on 22 March.
Constant development
Willem van Dommelen, head of multi-asset systematic strategies at NN IP, said: “This environment requires constant development and elaboration of new solutions which are flexible, adaptive and exploit global investment opportunities across multiple asset classes while limiting downside risk.
“Factor investing has become broadly accepted by the investment community. So far it has mostly been applied to tilt long-only portfolios.
“We believe that the added value of factor investing will be better utilised by applying it broad and pure. That’s why we apply it across multiple asset classes, invest in a broad set of factors and avoid long and short biases. With that we aim for a positive return in all market circumstances.”
