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Alternative Market Briefing

Silverhorn Dynamic Relative Value Fund still finds opportunity in Asian equities

Thursday, July 04, 2013

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Jessica McCarroll
Bailey McCann, Opalesque New York:

Jessica McCarroll is the Co-Chief Investment Officer of Silverhorn Investment Advisors, an Asian focused firm that is still finding returns despite the risk on/ risk off trading environment. She recently sat down for an Opalesque TV interview where she explained that being small, and nimble in a limited universe of Asian equities still provides opportunity.

The newly launched Silverhorn Dynamic Relative Value Fund is a quantitative relative value fund that seeks to exploit anomalies between payers of equities in the Asia-Pacific region.

"We have a quantitative stock selection model that we developed ourselves about three years ago, and we really look to isolate payers of stocks in the same sector, the same country, the same exchange, that have diverted from the mains. So we are looking for a reversion to the mean strategy," she explains.

Historically in Asian markets, mean reversion strategies have had a hard time with liquidity. McCarroll’s team employs a risk on/risk off strategy that allows the fund to provide weekly liquidity and help to make returns more consistent for investors during the risk off periods which are typically more difficult for mean reversion funds.

"What we do is we go to cash in our mean reverting long/short strategy and we put up to 5% of NAV into options premium. Options premium, is very sim......................

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