Mon, Sep 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Old Park launches systematic trading program Maestro Fund

Tuesday, September 02, 2014

Komfie Manalo, Opalesque Asia:

London-based Old Park Capital announced the launch of its Cayman Island-domiciled fund, Old Park Capital Maestro Fund Limited, that will be managed according to the Maestro strategy.

Hugo van Kuffeler, Chief Operating Officer at Old Park Capital said the firm is now running $250m on the Maestro strategy. He added that the new fund has chosen Goldman Sachs as the prime broker while Centaur Fund Services will be its administrator.

Van Kuffeler said in a statement, "The Maestro strategy has been extended to the S&P500 futures in a way that dynamically optimizes the use of capital (the notional exposure that is not used for a Eurostoxx position is made available to an S&P position and vice versa) and makes full use of the complementarities of the futures trading windows (the S&P activation window begins when the Eurostoxx activation window ends)."

The strategy combining Eurostoxx and S&P has proved:

    to be resilient in times of decreasing volatility;
  • to generate returns when volatility is stable (even at very low levels as is currently the case), with +2.15% in April, +2.23% in May & +3.24% in June;
  • to generate outsized returns when volatility is increasing.

He said that the S&P component of the strategy has worked well by boosting the Maestro’s activation frequency (the main driver of the performance as the wining ratio when the s......................

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. North America - Acela fight splits hedge fund Connecticut and old money enclaves[more]

    From Bloomberg.com: Connecticut’s residential coastline is two worlds, the one of newcomer millionaires and one whose wealth and New England roots span generations. Now, their differences over a rail route threaten to gum up plans for the U.S. Northeast’s fastest-ever trains. About 30 miles from Man

  2. Activist News - Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership, Activist investors double chance of CEO exits[more]

    Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership From Calvinayre.com: Casino operator Caesars Entertainment has improved its offer to junior creditors to over $5b, but the offer is only good until Friday. On Wednesday, Caesars added an extra $1.6b to the $

  3. Opalesque Exclusive: Modern investor tools (2): A platform that does the job for you[more]

    Benedicte Gravrand, Opalesque Geneva: A new series on technology providers that assist asset allocators. There is disruption in the investor part of the world of hedge funds, coming from platforms that can replace traditionally-run search and analysis. Here is one of them. L

  4. Hedge funds saw four consecutive months of outflows in August, but assets still up by $17.6bn YTD[more]

    Komfie Manalo, Opalesque Asia: Hedge funds witnessed four consecutive months of outflows with investor redemptions totaling $23.8bn as of end of August, data provider Eurekahedge said in its monthly report. But total hedge fund assets grew by

  5. Trend reversals lead to losses as managed futures drops 1.52% in August[more]

    Komfie Manalo, Opalesque Asia: Trend reversals in August have led managed futures traders to lose 1.52% last month according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 0.62% year to dat