Thu, Oct 23, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Long volatility overlay helps HEI fund to profit when investors become more risk averse

Monday, March 29, 2010

From Sagar Chakraverty, Opalesque Asia:

Hedged Enhanced Income Fund (HEI), an $8.3m liquid multi-asset market neutral fund, was launched in March 2010 in an LP structure, after being a managed account between April-09 to Dec-09 and returning 12% then.

In Jan-10, the managed account trading returned 0.7%, after which trading was terminated in order to liquidate securities so as to transfer cash in HEI.

The fund’s investment advisor is New York and London-based Thomas Funds, a specialist in hedged multi-asset portfolios founded by Manit Rye and Glen Cremer.

HEI fund strategy Being market risk averse and targeting a return of 8% to 12%, the HEI portfolio follows two strategies – investing in hedged income generating assets and maintaining long option positions on multiple assets.

The hedged income strategy is invested in three kinds of portfolios, each having 75 to 100 securities. The first is a portfolio of high yielding dividend stocks with market and sector options. Then, there is a portfolio of high yield fixed income assets hedged with debt and equity options. And finally, there is a portfolio of Real Estate Investment Trusts hedged with sector options. This strategy targets a net return of 5% to 8%.

The multiple option overlay strategy allows investors to bet on price or volatility fluctuations in multiple-assets such as gold, commodities, emerging market equities, bon......................

To view our full article Click here

Banner

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t