Fund adviser SwissQuant offers asset strategy

* Offers pension funds active allocation strategy

* Quant-driven strategy uses volatility limits

* Company says this can ease risk budgeting for PFs

By Martin de Sa'Pinto

ZURICH, June 10 (Reuters) - SwissQuant Group has launched a computer-driven asset allocation strategy aimed at pension funds wanting to invest in a range of asset classes while limiting volatility, it said on Wednesday.

The company said the model will initially be used by pension funds adviser Prisma Foundation and for allocations within the alternative asset segment of pension fund portfolios.

"Pension funds need low-risk asset allocation strategies and long-term positive returns. We offer them a controlled strategy which allocates away from asset classes when volatility exceeds defined levels," said swissQuant's Felix Roudier, one of the strategy developers.

Roudier said the group, spun off in 2005 from ETH, the Swiss Federal Institute of Technology, currently advises on several hundred million francs of assets and has around 80 clients worldwide, of which 60 are in Switzerland.

It will allocate away from asset classes when volatility reaches certain levels that clients set according to their risk tolerance. "Because of the high market volatility in 2008, our model indicated a 100 percent allocation to cash for much of the year," said Roudier.

The strategy invests in the most liquid products to ensure transparency and flexibility, so redemptions don't cost a huge liquidity premium, Roudier said.

There are no performance fees, nor are there the hidden fees many funds pay to invest in structured products. Allocations are to the most liquid instruments and contracts, so trading fees are limited and spreads narrow, he said.

In back-testing from 2000 to 2008 the strategy returned almost 60 percent, against around 17 percent for the Pictet LPP 25 index, a standard benchmark for Swiss pension funds. (Editing by David Holmes)