CSOP debuts ‘global quant mixed-asset’ index

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The firm’s private fund, which includes proprietary money from CSOP and UBS, is benchmarked against the index.

CSOP Asset Management in Hong Kong has launched a global multi-asset allocation quantitative index, according to a statement from the firm.

The index will be based on the UBS CSOP Global Asset Momentum Allocation (GAMA) Index, which was developed in October last year.

The GAMA Index is a rule-based quantitative investment strategy that invests in 16 different asset classes, including equities, fixed income and commodities. It aims to keep volatility within a minimal range on par with US treasury bonds, according to the statement.

Last November, the firm introduced a private fund that invests in the index, with initial funding coming from the proprietary investments of UBS and CSOP and other professional investors. The private fund has since raised $550m, according to a Hong Kong-based CSOP spokesman.

“The performance of the index is delivered to investors by the index-linked notes issued by UBS which can deliver [up to] 17 times leverage performance of the GAMA Index. With that, we can launch a number of different structured funds with totally different risk and return preference,” the spokesman said.

The spokesman noted that the GAMA index was developed by its index CIO, Xu Xiaoxi. CSOP leads the distribution and sales of products benchmarked to the index, while UBS plays as a partner that provides the index-linked notes.

Separately, for high net worth investors, CSOP recently launched another private fund aiming to achieve stable returns with a majority of the investment in bonds and only a small portion linked to the GAMA Index, he added.

The firm claims that the annualised return of the GAMA Index has been 4.91% with volatility of 4.26%, during a hypothetical back-testing period of 1 March 2002 to 15 March 2019, according to the statement.

China-based CSOP Asset Management has four actively-managed funds and 14 ETFs registered for sale in Hong Kong, which includes leveraged & inverse products.

The last SFC-authorised product the firm launched was a Hong Kong Dollar Money Market ETF, which debuted last year.

 

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