Swiss boutique Fisch Asset Management has transferred the CHF20m (€16.3m) in the Pensionskasse for its employees to a new fund that it is now opening for other pension funds.

The multi-asset fund will start with investments in convertibles – which will comprise 50% of its portfolio to begin with – money market instruments, government bonds, corporate bonds (both investment grade and high yield) and managed futures, according to Patrick Gügi, chief executive at Fisch.

Equities will “mainly be avoided”, as Gügi said he was convinced investors were “insufficiently compensated for the high volatility” in this asset class.

He cited studies such as the ‘Equity Premium Puzzle’ and ‘Triumph of the Optimists’ on the return of equities since 1900 for his caution.

Similarly, commodities and currency exposure were “not part of the strategic asset allocation”, as again, investors were “not sufficiently compensated for the risk in these asset classes over the long term”, he said.

However, equities, commodities and currency exposure can be added on a tactical level to the Fisch MultiAsset Manta Plus fund, which seeks a return of 4% above money market annually over the long-term and a positive return over each three-year period, Gügi said.

“For example, it can make sense for a euro-investor to have a tactical exposure to Swiss francs over certain periods,” he added.

Gügi said Fisch would not consider real estate or infrastructure at the moment, as the risk premium with these asset classes such as liquidity and economic growth could be “invested cheaper via other asset classes”.

He confirmed the fund, which is to be launched at the beginning of June for Swiss and foreign investors, will start with around CHF30m.

The Fisch Pensionskasse, launched in 2007, is currently 108% funded and was so far “invested using a similar approach” to that of the fund.

However, Fisch noted it did not have “clean return statistics” for the Pensionskasse to correctly depict flows in the pension fund.