Sun, Dec 21, 2014
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. Investing - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  4. Opalesque Exclusive: U.S. legal receivables fund launched in August[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Investing in asset-backed receivables is a strategy that has been an integral part of the alternative investment space within the overall fixed income asset c

  5. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und