Brunel Pension Partnership has launched a £1.2 billion diversifying returns sub-fund, which aims to offer constituent pension funds downside protection in times of market stress.

The sub-fund was created in response to client requests for a portfolio that would provide meaningfully different exposures to others in their strategic asset allocations. It is designed to act as a stabiliser when returns in other client portfolios come under pressure.

The fund targets reasonable levels of absolute volatility, at below 10%, and uses the Sterling Overnight Index Average as its benchmark. It aims to beat this risk-free rate by between 3-5% annually.

The portfolio will be exposed to a wide range of risk premia via holdings in equity, credit, commodities, interest rates, currency, value, carry, momentum and quality risk premia.

“It’s gratifying to see the DRF being launched, as it reflects our desire for a fund that offers protective diversification within our investment strategy,” said Liz Woodyard, Investment Manager, Avon Pension fund, a Brunel constituent.

“However, we also wanted a fund that has the potential to provide equity-like returns and is relatively liquid. The diversifying returns fund has been forged to meet these various needs. As a result, it significantly enhances our capacity to provide for our members’ long-term retirement needs,” she added.

The fund will be co-managed by UBS Asset Management, William Blair, J.P. Morgan Asset Management and Lombard Odier Asset Management.


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Published: December 1, 2020
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