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Alternative Market Briefing

Andreani quantitative long/short equity program returns 2.39% in first four months

Thursday, October 03, 2013

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Alexandre M. Andreani
Benedicte Gravrand, Opalesque Geneva for New Managers:

Andreani & Associés’s new quantitative long/short equity program, the COPS program (currently a managed account on Interactive Brokers), has returned 2.39% since its June 3rd inception, through to October 1st, 2013 (unleveraged version).

According to Andreani, during the same period (June 3rd to October 1st, 2013), the Lyxor L/S Equity Variables Bias Tracker Eur index was up 1.23%, the Lyxor L/S Equity Market Neutral Tracker index was down 5.94% and the Lyxor Hedge Funds Tracker index -1.02%. Furthermore, the BlackRock UK Equity Hedge Fund was down 0.49%, the Melchior European Fund was down 3.43%, the BlackRock Eos Equity Market Neutral Fund was up 0.72%, the Sabre Style Arbitrage Fund down 0.03%, the Old Mutual Global Statistical Arbitrage Fund down 1.46%, the Marshall Wace Tops European Fund up 1.04% and the Martin Currie Europe Fund up 1.90%.

Otherwise, the Newedge CTA Index is down 0.74% MTD (through to Sept. 30th) and down 2.46% YTD. And the HFRX EH: Quantitative Directional Index is up 4.91% YTD (to end-August).

Andreani's managed account runs a ......................

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