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Alternative Market Briefing

Ex-Tudor manager to launch global macro fund that bets on risk premia

Tuesday, January 22, 2013

Benedicte Gravrand, Opalesque Geneva:

Global macroeconomic uncertainty has driven bond yields to record low and global risk premia to all time highs. AlphaParity’s new fund, the All-Weather Strategy, which is to be launched this week, is designed to capture those very risk premia.

The fund is fundamental with a momentum bias, and it focuses on value, carry and momentum across the four major asset classes, namely equities, fixed income, FX and commodities through highly liquid exposures. It also has a Tail Opportunities Overlay to profit from extreme market dislocations. The goal is to generate a 1.2 net Sharpe ratio. The AuM cannot be disclosed but apparently there are some institutional backers and committed long-term locked-up money.

Steve Gross, the founder and CIO of the new firm, New York-based AlphaParity , is investing a significant portion of his net worth in his new business. He has twelve years of experience in the hedge fund industry; he was previously portfolio manager at Tudor Investments and before that, partner at Penso Capital Markets , and fund manager at Millennium. He founded AlphaParity based on a theory which he explained to Opalesque.

"In 1987, the market crashed and the next day the market changed the way it perceived and thus priced risk," he started. "P......................

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