Tue, Jan 24, 2017
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. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  2. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  3. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  4. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik

  5. Opalesque Exclusive: Roxbury credit events UCITS gathers more assets[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The Roxbury Credit Events Fund, launched in September 2015, was up 4.24% in 2016, having returned seven positive months during the year. The managers raised