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Investment approach

This is a Marketing Communication. For Professional Investors only. Not suitable for Retail Clients. Please refer to the SGMF Fund Prospectus for this UCITS Fund and the KIID before making an investment decision. Currency fluctuations may cause returns to increase or decrease.

We believe that hedge fund replication has the potential to deliver value without high fees, single manager risk, or illiquidity.  

Why replicate hedge funds?

Replication can capture strategic and opportunistic factor shifts, which have been an important source of alpha generation.

  • A key driver of Hedge Fund returns is dynamic asset allocation across broad asset classes. 
  • These asset classes are Equities, Fixed Income, and Currencies. 
  • Therefore, a replication solution attempts to match or exceed the returns of a portfolio of leading hedge funds, by using liquid instruments in a low cost UCITs structure.

The replication of pre-fee hedge funds returns works by:

  • Determining how target hedge funds are generating pre-fee returns today across equity, rates, currency through sophisticated, multi-factor models.
  • Investing in such exposures (“betas”) through liquid futures.
  • Dynamically rebalance weekly or monthly.

How the investment approach works

Replication can potentially deliver that value without high fees, single manager risk and illiquidity. The entire process seeks to mitigate three key investment risks: market structure (liquidity, trade crowding, counterparty), concentration (single fund, industry, geography), and human biases (selection bias, gambler’s fallacy, etc.)

Strategy design

DBi, a US-based boutique specialist in “hedge fund replication,” was selected in 2015 to manage the portfolio. DBi strategies start with product design, which combines rigorous statistical analysis with deep industry knowledge and experience.

  1. Select target: intuitive logic, diversification, quality of data
  2. Determine replicability: model speed, factor selection, persistence
  3. Set strategy constraints: futures vs. ETFs, long/short vs. long only, leverage/stop-losses
  4. Set product constraints: leverage limits, concentration limits, excluded assets, other regulatory constraints

Source: DBi

Strategy implementation

Once a strategy is live, rebalancing is entirely systematic (no discretionary overlays) and occurs either weekly for Managed Futures or monthly for Multi-Strategy/Equity Hedge.

SEI_Liquid_Alternative_Fund_Strategy_Implementation_Chart_final_230202.02-01

Achieve diversification through representative managers

The target portfolio consists of many leading hedge funds across the four main hedge fund strategies (Managed Futures, Equity Hedge, Relative Value, and Event Driven). Information correct as of 31 December 2024.

For more information on the Fund, contact the team today.



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You are visiting this website of your own accord and notwithstanding the notices above, SEI makes no representations or warranties in relation to the reliability, accuracy or completeness of the information including the availability of the Fund in your jurisdiction.

This website is not an offer to sell interests in the Fund and is not soliciting an offer to buy interests in the Fund in any jurisdiction where the offer or sale is not permitted.

This website is not to be interpreted as tax, investment, or legal advice and is not contractually binding. In the event of any inconsistencies between this website and the legal documents of the Fund, the descriptions and terms in the Fund’s legal documents shall prevail.

Estimates, trends, targets, forecasts, illustrations or opinions are based on SEI’s subjective opinions only at the date of publication and are subject to change. SEI makes no representation or warranty as to the accuracy of any information contained herein.

Past performance is not necessarily indicative of future results. There can be no assurance the Fund will achieve its objectives or avoid significant losses.

Please refer to the Fund documents including the Prospectus and Key Investor Information Document (KIID) for more information. The Prospectus and KIID are available from Fund documents | SEI (seic.com) in English.

If the management company decides to terminate its arrangement for marketing the Fund in any EEA country where it is registered for sale it will do so in accordance with the relevant implementation of the UCITS directive (2009/65/EC).

A summary of investor rights are available from Fund documents | SEI (seic.com) in English.

This website is presented to professional investors or institutional investors in the United Kingdom and each of Austria, Switzerland, Germany, Spain, France, Ireland, Italy, Luxembourg, the Netherlands and Singapore.

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