SEI Investments invested in a new portable alpha strategy managed by Smith Breeden Associates, said Anoop Kumar, a senior international equity portfolio manager at SEI. The strategy replicates the MSCI EAFE index via futures, and overlays that with a risk-controlled, short-duration bond portfolio designed to gain excess returns over LIBOR. Mr. Kumar declined to say how much the firm invested in the strategy.
"We've been working with them a lot over the past year, and the decision to invest in Smith Breeden was made toward the end of the last year," he said.
The new strategy will be offered as part of SEI's approximately $7.5 billion International Equity Fund, which includes seven managers in addition to Smith Breeden.