KCGI Asset Management said on the 27th that it has launched an active EMP (ETF Managed Portfolio) fund that diversifies investments across global exchange-traded funds (ETFs).
The product is a fund-of-funds EMP fund that targets stock, sector, and theme ETFs worldwide, using a quantitative model-based "dual momentum" strategy to select and invest in ETFs on an upward trend. On the 24th of this month, its launch date, more than 10 billion won flowed into the fund.
According to KCGI Asset Management, the core of the fund's management is a two-stage screening strategy that combines absolute momentum and relative momentum. First, through absolute momentum, assets that maintain an upward trend based on recent returns keep their weightings, while investment weightings are gradually reduced as downward trends strengthen. Assets that fall below a certain level are converted to cash to defend against expanding losses.
Then, relative momentum is applied to the ETFs that pass the absolute momentum screening, incorporating the top-performing ETFs by mid- to long-term performance at equal weightings. For highly correlated similar ETFs, only representative assets are included to reduce duplicate investment, and the company plans to manage unnecessary trading turnover and transaction costs by adjusting the criteria for adding and removing assets.
KCGI Asset Management decided to partially reflect the managers' judgment to complement the limitations of the momentum strategy. Considering that signals can be delayed during a "V-shaped" rebound after a sharp fall or during trend reversal periods, it incorporates new themes into the investment universe. In addition to regular rebalancing, it plans to adjust the weighting of risk assets through periodic reviews.
"The recent global trend is not about holding many ETFs, but systematically selecting ETFs with a high probability of rising to pursue excess returns," a KCGI Asset Management official said. "We plan to manage the fund with the goal of generating stable excess returns through rule-based asset selection, rather than market outlook forecasts or individual stock judgments."
Meanwhile, the fund is operated as a currency-exposed product without currency hedging, and invests more than 60% of the parent fund's assets in ETFs. With an open-end, additional-purchase structure, it has no restrictions on early redemption and no redemption fees.
