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Lionel Tapiero Benedicte Gravrand, Opalesque Geneva for New Managers: Logica Capital Advisers, a Los Angeles-based asset manager formed in 2011, has combined a long/short momentum Fund, which had good upside capture but too much downside volatility, with a multi-strategy account, which had low volatility but low return, to create a new fund.
"Late last year, we had an epiphany when realizing that we should combine the two and get the "best of both worlds", i.e. higher returns, lower vol," Lionel Tapiero and Wayne Himelsein, partners at Logica, told Opalesque.
The Logica team spent the rest of the year infusing the multi-strategy managed account infrastructure into their Fund. They convinced the SMA investor to become an LP, thus enabling the Fund’s assets to jump from $10m to $25m. The balancing act involved applying rigorous quant work done over the past many years, as they had to find which of the 30 strategies they had in their SMA book would be optimally suited for their fund portfolio. The goal was to balance out various factors and sensitivities to be profitable regardless of market regimes.
"To pair with the momentum strategies, we wanted mean reversion, etc. across every sensitivity and exposure we could identify where we sought to offset the sensitivities," Tapiero explains. "And above ...................... To view our full article Click here
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