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Alternative Market Briefing

Start-up fund's proprietary model finds value in the S&P 500

Monday, August 13, 2012

amb
Wayne Himelsein
By Beverly Chandler, Opalesque London:

Logica Capital Advisers's proprietary quantitative model enables this relative value arbitrage fund to achieve outperformance in long/short equities drawn from the S&P 500 universe, regardless of market conditions.

In an interview with Opalesque, Logica's president and chief investment officer Wayne Himelsein says: "The greatest thing is that it generally doesn't matter what is going on externally, what sort of environment we are in, the robustness of the model is that it is independent, such that it can outperform in any environment."

The fund launched in December 2011 and has $3.5m of the founding partners' capital under management and has achieved performance of 17.3% as of July 31, 2012. The firm also conducted robust historical testing, running their system from to 1967 to present. This exercise demonstrated that the fund would have been up 18.26% in 2007 and down just 9% in 2008 when the S&P was down almost 40% on the year.

Himelsein explains that the firm built a model that scans the S&P 500 for trading behaviour, looking for internal strengths or weaknesses based on supply and demand characteristics. "There is always somewhere where money is flowing to" he says. "Even in the worst environment, some stocks, utilities for example, can benefit. When the crowds are in a flight to safety, the edge would be to get to safety first!"

The program scans for certain trading......................

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