Alternative Market Briefing

Rehn Capital Management launches new multi-futures approach

Monday, February 20, 2012

Bailey McCann, Opalesque New York:

Gerald Rehn has weathered difficult markets. He started at Fidelity in 1999, moving into their NASDAQ trading team in 2000, worked at Lehman Brothers until 2008 and eventually became a Senior Vice President at the Abu Dhabi Investment Company. In 2011, he formed Rehn Capital Management leveraging his experience to provide CTA investment strategies and allocations guidance for investors. I spoke with Mr. Rehn about Rehn Capital Management and his investment approach.

"I’ve worked with fund of funds, institutions and individuals that saw big losses in 2008. At that time, it was part of the general approach to overweight equity derivative strategies which people thought were uncorrelated to the broader market, but it turned out that they were quite correlated. I’ve seen a lot of investors make mistakes like this so I started testing a lot of ideas and pushed into CTAs because some of the strategies are truly uncorrelated, even under stressful market conditions," Rehn says.

To this end, he’s created an in-house portfolio allocation combining CTA strategies with long-only stocks, bonds, volatility and other strategies to produce absolute returns. The strategies vary in order to mitigate risk and support diversification. The portfolio is then rebalanced on a strict quarterly timeline.

To get here, Rehn started looking at asset class risk weightings along with correlations during go......................

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