Wed, Oct 1, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

IMQ seeds Romanesco's Persistence Program

Monday, March 11, 2013
Opalesque Industry Update - With investors looking for strategies with low equity correlation and high liquidity, coupled with exposure to both currency and commodity markets, early-stage seeding specialist IMQ has seeded a new systematic trading strategy, the Persistence Program, from Romanesco Capital Management.

The Romanesco strategy will be available via the Deutsche Bank dbSelect managed investment platform, which has been subject to an ISAE 3402 assurance audit. The high-quality institutional controls and other efficiencies offered by dbSelect can assist in reducing operational risk and help to enhance the attractiveness of new managers to all investors.

Romanesco’s portfolio is broadly diversified across 45 liquid futures markets comprising currencies, bonds, equity indices, and commodities that are implemented across the different geographical regions on a 24-hour basis with the help of a proprietary developed automated execution algorithm. The algorithmic models look for break-outs from trading ranges, and aim to reduce exposure after spikes in volatility.

The trading models can be long, short or flat in each market. As such, Romanesco is more selective than most CTAs in deciding when to be exposed to particular markets.

IMQ’s CEO and Founder, Jeroen Tielman, comments: “The strategy fits into our portfolio as it is not correlated with equity and adds diversification versus existing IMQ managers. This is the first seed deal where we will apply high definition open line technology to implement a "virtual co-location," so that the team can stay where they are. This will not conflict with our basic principle of close guiding and monitoring."

Correlation patterns against key benchmarks suggest strong diversification benefits, as Romanesco exhibits a negative correlation against both equities and hedge funds, and a slight positive correlation against bonds and managed futures. Romanesco produced one of its best years on record in 2012 and has averaged more than 14% per annum since 2005 with a standard deviation around 13%. The benefits of Romanesco’s short term asymmetrical strategies are shown by its strong alpha, positive up-capture and negative down-capture against The Newedge Trend.

Of the wider market, Tielman added: “Emerging hedge fund managers deserve to form a core element of any alpha generation strategy. Time and time again, academic studies confirm the outperformance of newer and smaller hedge funds as the entrepreneurial spirit shines through bull and bear markets. The long-only bias of most institutional investors is ill-equipped to meet their growing liabilities. Only absolute returns, ahead of zero, can hope to meet these liabilities, which have no real link to conventional asset classes. Against this challenging landscape, skill based, absolute return investing is a pre-requisite.”

Press release

bc

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   

Banner

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. Socially responsible investments grow in demand, but performance questions persist[more]

    Komfie Manalo, Opalesque Asia: A study by financial services firm TIAA-CREF showed that interest in socially responsible investing (SRI) is increasing rapidly, but investors are still asking if investing in an SRI strategy

  2. Regulatory - Ireland launches structure for passporting loan origination funds within EU[more]

    From Asiaasset.com: The Irish Funds Industry Association (IFIA) has introduced new loan origination capabilities that will offer Asian managers and investors a new structure under the European Union’s (EU’s) Alternative Investment Fund Managers Directive (AIFMD). The new structure will allow the mar

  3. Europe - Ed Miliband's war on hedge funds could damage City of London[more]

    From Telegraph.co.uk: Ed Miliband’s plans to wage war on hedge funds could be potentially more damaging to the City of London than even the financial transaction tax (FTT), senior banking sources warned on Tuesday night. The Leader of the Opposition took aim at a number of industries as part of his

  4. News Briefs - SEC probes Pimco ETF over pricing irregularities, BEPs: Action plan released and UK first to adopt country-by-country reporting[more]

    SEC probes Pimco ETF over pricing irregularities The Securities and Exchange Commission is investigating Pimco’s pricing of exchange traded funds, the latest cloud to hang over the world’s largest bond manager, which has been dogged by poor performance and management infighting. Pimco on

  5. CalPERS’ move might alter hedge fund fees for good[more]

    Benedicte Gravrand, Opalesque Geneva: When CalPERS, the California Public Employees’ Retirement System, announced on September 15th that it was unwinding its hedge-fund portfolio, it was seen by many as is a significant blow to the sector’s appeal. The Fund is