Tue, Oct 25, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Start-up fund's proprietary model finds value in the S&P 500

Monday, August 13, 2012

Wayne Himelsein
By Beverly Chandler, Opalesque London:

Logica Capital Advisers's proprietary quantitative model enables this relative value arbitrage fund to achieve outperformance in long/short equities drawn from the S&P 500 universe, regardless of market conditions.

In an interview with Opalesque, Logica's president and chief investment officer Wayne Himelsein says: "The greatest thing is that it generally doesn't matter what is going on externally, what sort of environment we are in, the robustness of the model is that it is independent, such that it can outperform in any environment."

The fund launched in December 2011 and has $3.5m of the founding partners' capital under management and has achieved performance of 17.3% as of July 31, 2012. The firm also conducted robust historical testing, running their system from to 1967 to present. This exercise demonstrated that the fund would have been up 18.26% in 2007 and down just 9% in 2008 when the S&P was down almost 40% on the year.

Himelsein explains that the firm built a model that scans the S&P 500 for trading behaviour, looking for internal strengths or weaknesses based on supply and demand characteristics. "There is always somewhere where money is flowing to" he says. "Even in the worst environment, some stocks, utilities for example, can benefit. When the crowds are in a flight to safety, the edge would be to get to safety first!"

The program scans for certain trading......................

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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From Thisismoney.co.uk: The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From CNBC.com: Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Marketwatch.com: Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Forbes.com: Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa