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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......................

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