Bankers Trust Corporation
) has launched the Quantitative Equity Fund, the first enhanced index mutual fund that seeks to outperform the S&P 500 by using a quantitative investment approach to merger-related activity.
The new fund, based on an institutional strategy launched in 1990, provides exposure to U.S. large-capitalization stocks by investing in stocks of the S&P 500, futures, and related instruments. To pursue its objective of exceeding the return of the S&P 500, the fund uses a proprietary quantitative model to invest in merger stocks. This strategy seeks to profit from the successful completion of proposed mergers, acquisitions, and other corporate reorganizations.
"Bankers Trust has offered this strategy to institutional investors since 1990," said Sid Hoots
, portfolio manager of the fund and managing director of Bankers Trust's Structured Investment Management group. "Now, we are excited to make available to advisors this core fund that provides exposure to the broad market with the opportunity to outperform the benchmark."
BT reports that its research shows that this strategy's standard deviation closely tracked that of the S&P 500 for the three, five- and nine-years ended December 31, 1998. The strategy also had a slightly lower correlation to U.S. small- and mid- capitalization stocks, international stocks, and fixed-income securities than the S&P 500, indicating that it may better enhance overall portfolio diversification than an S&P 500 Index fund.
"We conducted extensive research with our advisor clients," said Ray DeAngelo
, head of marketing to the advisor market. "And we heard a strong message that advisors and their clients would be very attracted to this fund as a core holding for both taxable and retirement accounts. With its unique blend of exposure to the S&P 500 and a tested, quantitative discipline of merger arbitrage investing, this fund seeks to outperform the majority of enhanced equity funds over a market cycle."
Created for advisors, this no-load fund will be available on institutional platforms with a transaction fee and an investment minimum of $10,000. Total annual fees and expenses for the fund are 0.90%.
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