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Industry sources told Opalesque the funds on the seeding platform Próxima Alpha (Vega as shareholder) enjoyed a good 2006. The Element Capital Fund (Macro Relative Value) continued to perform very well, up over 5% net in December (and over 19% for 2006). Emerging Alpha (Emerging Markets RV, +1.62% net, 8.88% for 2006) and the Anak set of funds (Equity Market Neutral, +1.09% through to +2.25% net, 7.16% in 2006 (US)) rose strongly. Linneaus (Global Macro, +1.09% net) and Nile (Equity Long/short, +1.00%) were also up on the month.
Element made money as the data in December further confirmed the view that the Fed will be on hold for the near future. This was good for the fund’s macro and macro-based volatility strategies. The fund also profited as the market priced in a more aggressive ECB for 2007 and continued to take advantage of very rich opportunities in volatility RV, primarily in the US. Emerging Alpha’s quant models had a very good month in December, with short term momentum and trend-oriented strategies working well.
On the active side of the portfolio most of the alpha came from a bias to receive rates in Brazil, Mexico, Hungary and Israel. In FX, a long Eastern European and Turkey bias vs the EUR produced excess returns. For Anak European, both value and momentum factors contributed to performance. The Anak Select Fund was helped by its market exposure in strong equity markets. For Anak North America both value and, to a lesser extent, momentum factors...................... To view our full article Click here
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