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Alternative Market Briefing

The Monsoon Asia-Pacific Systematic program posts strong +5.9% returns in May despite market worries

Thursday, June 21, 2012

Gautam A. Prakash
From Komfie Manalo, Opalesque Asia:

Bethesda, Maryland-based Monsoon Capital defied the volatile markets in May as its Monsoon Asia-Pacific Systematic (MAPS) program closed the month up +5.9% net of fees (-5.4% YTD), compared to the MSCI Asia-Pacific Index which fell by -9.8% during the same month (-0.07% YTD).

"Generally speaking, we do well when Asian markets trend up or down, typically by more than 5% and for more than one week," Gautam A. Prakash, founder and senior managing director of Monsoon Capital in an exclusive interview with Opalesque. "Conversely, we do poorly in range-bound and choppy markets, say when markets go back-and-forth in a 3-5% range multiple times a month. Fortunately, we have seen more of the former than the latter since we launched 19 months ago and therefore the strategy is faring well. "

Indeed Monsoon Capital has done well since the launch of its Asia CTA program in November 2010. From the initial $500,000 at launch on November 2010, the strategy now has an estimated $100m in assets under management as at end of May – while the firm manages around $350m overall.

"While we are focused on communicating the strategy to investors, we are also focused on continued research into new models. For example, we are working on additional mean reversion models (which will help smoothen out the return profile even more) as well as shorter-duration models......................

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