Tue, Dec 1, 2015
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

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. David Einhorn's hedge fund plunged 5.2% in November, set for 2015 loss[more]

    From Bloomberg.com: David Einhorn’s main hedge fund at Greenlight Capital fell 5.2 percent in November and is poised for only its second losing year in almost two decades. The losses bring the fund’s yearly drop to almost 21 percent, according to an e-mail sent to clients that was obtained by Bloomb

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From PIonline.com: Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From Bloomberg.com: It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  4. Regulatory - Major changes in partnership audit procedures contained in 2015 Budget Act[more]

    Contained in the Bipartisan Budget Act of 2015, signed by President Obama on November 2, is a rather complex provision that materially changes how partnerships are audited. Generally effective for tax years beginning after December 31, 2017, the so-called “TEFRA” and “Electing Large Partnership” rul

  5. Following review Yuan included in reserve currency basket[more]

    Bailey McCann, Opalesque New York: The International Monetary Fund has confirmed the inclusion of the Chinese Yuan in the reserve currency basket. This means that loans will be available in Yuan alongside other major currencies including the US Dollar and the Euro. The basket of reserve curr