AMP Capital Investors allocated A$2.8 billion (US$3 billion) to two quantitative managers as part of a restructuring of the Australian money manager’s A$5 billion global enhanced index equity fund, part of its multimanager Future Directions Funds.
The manager allocated A$1.6 billion to AQR Capital Management and A$1.2 billion to Enhanced Investment Technologies, a spokeswoman for the manager confirmed.
Until now, Henderson Global Investors was managing the full A$5 billion in the fund. The new subadviser hirings were made to diversify the portfolio and help generate a tracking error of between 60 and 70 basis points.
Henderson, which manages A$2.2 billion under the new structure, runs a primarily indexed fund but gains some risk exposure by tilting to a separate multiasset class strategy.
AQR was mandated to deliver a 1% tracking error against the benchmark MSCI World, which it would achieve through a modest skew toward value and momentum factors.
Enhanced Investment Technologies was hired to run a strategy aiming to capitalize on relative volatilities and expected correlations.
Simon Mumme is editor of I&T News, Sydney.