Wed, Jul 27, 2016
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   |   
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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New