Sat, Feb 25, 2017
A A A
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

amb
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. Opalesque Exclusive: Swiss investors take fund seeding and acceleration into their own hands[more]

    Benedicte Gravrand, Opalesque Geneva: Banque Bonhote, a 200-year old Swiss private bank, last year launched a community of investors - heads of Swiss family and advisory offices and wealth managers - with the aim of co-investing in the kind of managers they wanted to invest in, either by way of s

  2. K2 Advisors : Why We Like Activist Hedge Fund Strategies and Some Thoughts on Alpha[more]

    Matthias Knab, Opalesque: Rob Christian, Senior Managing Director, Head of Research K2 Advisors, Franklin Templeton Solutions, writes on Harvest Exchange: When d

  3. Ex-Navy SEAL backed by Mario Gabelli, Jean-Marie Eveillard and other value giants off to strong start[more]

    From Valuewalk.com: Sententia Capital Management is not your average value focused hedge fund. The fund was founded by Michael Zapata, a former Navy Seal Team 6 Officer and has attracted funding from some of the best-known names in the value space. Mario Gabelli, Jean-Marie Eveillard from First Eagl

  4. Europe - 1 trillion euro non-performing loans are clogging EU lending channels[more]

    From Centralbanking.com: As much as 1 trillion euro of non-performing loans (NPLs) are still clogging the lending channel in the European Union. An EU asset management company (AMC) could address market failures in the secondary market for NPLs as part of a suite of measures designed to tackle the b

  5. Investing - Hedge funds' novel approach: investing for longer at lower returns, U.S. hedge fund Delta Partners lifts stake in Bellamy's, Hedge funds stockpile cobalt, electric carmakers on battery alert, Facebook is racking up the likes among the world's biggest hedge funds, Einhorn affirms gold on Trump uncertainty[more]

    Hedge funds' novel approach: investing for longer at lower returns From FNLondon.com: Hedge funds are known for making short-term bets, dipping quickly in and out of markets to take advantage of swings in prices. But, under pressure to innovate, some big-name managers are looking at ways