LGIM to overhaul DART portfolio

Legal & General IM is to reposition its £529m Diversified Absolute Return Trust in a move which may see it change the fund’s name as well as its investment objective, Investment Week understands.

The fund has a different approach to most in the absolute return sector as it makes larger and more concentrated bets than its peers.

The changes will seek to re-emphasise DART focuses on global macro asset allocation strategies rather than the kind of relative value trades more common among absolute return funds.

However, the fund is likely to retain its absolute return capabilities, such as the ability to go net short, and remain within the IMA Absolute Return sector.

The fund had held an A-rating from Standard & Poor’s but the agency this month scrapped the rating “until the future direction of the mandate is clearer”.

S&P has since withdrawn the fund from its service.

Tom Becket, who holds the fund within his PSigma Balanced Managed fund of funds, said: “I do not perceive it to be an absolute return fund. I see it as backing a manager who has a proven ability to make the big macro calls. But it is one of the riskiest holdings in our portfolios.”

While it is top quartile over one year with a return of 16.6%, the fund, run by Ben Gill while manager David North is on extended sick leave, has lost 2.71% over six months and 7.23% over the past three months.

The most significant period of underperformance came in May 2010, when fears over the European sovereign debt crisis impacted the absolute return sector.

Thames River co-head of multi-manager Rob Burdett, who holds the fund within the Thames River Cautious Managed fund, said the jolt was “beyond what one would expect” but added DART has proven itself to be a successful fund on a longer-term basis.