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New Managers March 2018

PERSPECTIVES: Hedge fund launches take off in Asia, Gresham evolves - the long-only firm launches new hedged strategies

 

Gresham evolves - the longonly firm launches new hedged strategies

After years as a long-only commodities shop, Gresham Investment Management is changing its perspective. In addition to Gresham's wellknown commodities programs, J Scott Kerson, Gresham's head of systematic strategies has developed new long/short programs designed to take advantage of idiosyncratic parts of the commodities market.

"We spent a lot of time going through our history and also looking ahead at what might be accretive to our existing platform," says Douglas Hepworth, executive vice president, COO, and CRO at Gresham. "This undertaking essentially involved building a whole new software platform. But we think our investors see the value and there is a runway for future growth."

The hedged programs take two views of commodities markets. One strategy uses a factor based approach to commodities and the other is more quantitative. The quantitative program applies commodities trading algorithms to parts of the market that have less volume and aren't typically on the radar of other commodities managers. "The barriers to entry for what we are doing are very very high," Kerson says. "I feel comfortable saying we are one of the only CTAs with a singular focus on exotic commodities. It is very operationally intensive to do a strategy like this well and we have spent a lot of time on our infrastructure."

CTAs as a category have had a hard time with performance over the past several years. The category of funds posted its worth month on record in February. But Kerson is quick to point out that this strategy puts Gresham well outside cohort of vanilla trend followers. "One of the challenges with CTA investing is that if you build a portfolio of trend followers to capture a particular market......................

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This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
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