Pengana opens Market Neutral Fund for wholesale clients

Pengana Capital has announced its Australian Equities Market Neutral Fund is now open to new investors.

The fund is available to institutions and wholesale clients and has a minimum investment of $50,000. It aims to deliver between five and 10 per cent above the cash rate with a risk budget of around eight to 10 per cent per annum, according to Pengana.

The strategy promotes protection against market volatility by holding equally weighted long and short positions in the Australian equity market, the manager said.

Pengana chief executive Russel Pillemer said Pengana wanted to develop the most enhanced market neutral fund of its type, which would seek to gain from both upside and downside market movement. Pengana will be showing the fund to selected investors and is keen to win seed investors for this strategy, he said.

The fund has been incubating for two years, and for the 12 months to August 2010 produced a gross return of 16.07 per cent with a risk of 5.85 per cent against a market return of 2.73 per cent and risk of 15.2 per cent over the same period, and was achieved with pure alpha, according to Pengana.

Phil Boustridge, who has more than 16 years of investment experience in funds management, runs the fund. Systems engineer Paul Ramsay and Miriam Herold who has over 10 years of investment experience in funds management support him.

Since joining Pengana in late 2007 Boustridge developed a fundamental quantitative process for the fund.

The strategy aims to minimise exposure to market movements, sector and stock size and has a low correlation to the market index, he said.

“Without being tied to the movement of the overall market index, the performance of a market neutral portfolio is almost entirely made up of fund manager skill that cannot easily be replicated by a passive index strategy,” Boustridge said.