|
Matthias Knab, Opalesque: 
During ABN AMRO Clearing's 10th Amsterdam Investor Forum (AIF) on 20 and 21 September 2022, Savin Multi-Strategy Arbitrage Fund by Savin Investment Partners was voted the AIF Factor 2022 winner. Erdem Yavuz successfully pitched their investment strategy and convinced a group of 200 delegates, comprising of investment managers, institutional investors, hedge funds allocators and high net worth individuals. The winner attracted a decisive 29,4% of the votes.
The AIF took place on 21st September 2022 at ABN AMRO's head office in Amsterdam.
The AIF has established itself as one of Europe's principal gatherings for traditional and alternative asset managers and allocators. Now in its 10th year, the forum brought together leading economists, senior hedge fund executives and financial services innovators to discuss the current opportunity set, evolving market backdrop and challenges facing the industry.
The AIF Factor competition invites alternative asset managers to pitch their propositions. The audience picked the winner from among these six shortlisted funds - see below for a written summary of the pitches:
Pitch 1: AlphaBee Commodity Arbitrage
AlphaBee Commodity Arbitrage (ACA) has been managed as an internal portfolio since 2019 and as a stand-alone fund since 2021, with realized net returns of 21% p.a., and a controlled standard deviation of 5.8%, in line with its goals of standard deviation between 5% and 10% p.a. ACA actively manages a portfolio of arbitrage and relative value strategies on energy, metals, and agricultural commodities, thereby giving wellinformed investors access to global commodities in a liquid, diversified and non-directional way. ACA sources, analyzes and invests into the most promising global commodity strategies, uncorrelated to financial markets and among themselves, including systematic strategies and those profiting from higher levels of volatility on commodity markets. Both bottom-up and top-down analysis are done both quantitatively and qualitatively with the goal to optimize the diversification of the portfolio and avoid important drawdowns. Analyzed are also niche strategies and launches with emerging commodity managers.
Pitch 2: AP Capital Absolute Return Fund
A brief history of the fund, we have been focusing on market neutral strategies since 2014, which is 8 years ago when the fund was launched, we started by doing traditional delta one strategies, like index arbitrage, ETF MM, etc. from 2018, we started our crypto trading, so we run both traditional and crypto strategies from 2018-2020, starting from last year we converted the fund from a hybrid into a pure crypto fund.
The fund has a well-diversified portfolio, and our principal objective is to consistently achieve net positive return with little directional exposure and low correlation to the markets.
As a market neutral fund, we are essentially being rewarded by bringing price efficiencies to the market. And we are the ones who are bridging the gaps, by narrowing the price gaps, we are eventually helping to reflect a more accurate and efficient market price of the cryptocurrencies that we are trading.
We have extensive trading experience in both traditional asset classes and in crypto, we are bringing the best of both worlds and we can conduct crypto trading on an institutional grade. We also have strong market accesses and powerful localization ability across different regions. And thanks to our global offices set up, we have 24/7 trading and operational coverage on the daily trading activities.
Pitch 3: Cambridge Machines Constellation Fund Limited
Cambridge Machines was launched in 2017 and comprises 16 people including leading academics from Cambridge University's Cavendish Astrophysics Group and experienced market professionals with backgrounds in portfolio management, trading and asset raising. We believe the powerful statistical methods we have developed through our cutting-edge astrophysical and mathematical research allow us to model the structure of complex and noisy datasets and provide strong risk-adjusted returns to investors through robust and scalable systematic trading solutions with low correlation to global markets and other strategies.
Since our launch nearly 5 years ago, we have built a pioneering research, development and execution platform to maximise the value of our unique and proven IP.
We have performed extensive testing of platform live with proprietary and client assets for the last two years which gives high confidence in our simulation methodology and we launched our flagship "Constellation" strategy in September 2022.
Constellation is a quantitative multi-strategy programme that initially comprises four machine-learning based quantitative strategies (quant directional equities, momentum/trend, intra-day futures mean-reversion, and equity market neutral), with a further proprietary machine learning strategy to dynamically allocate risk between the sub-strategies.
Pitch 4: Galena Multistrategy Fund
The Galena Multistrategy Fund expresses commodity views across asset classes. We are the wholly owned entity of a major independent commodity trading house active in energy, metals and mining. As such we benefit from a unique angle in analysing the world from a commodity perspective. This is a particularly supportive environment for our strategy as issues such as logistical chain fragility, inflation and supply contractions are shaping prices like we haven't seen for decades. This in turn has an impact on monetary and fiscal policies around the world that create opportunities to leverage inefficiencies and harvest risk premias.
Pitch 5: Lumos Fund - 4Cast SP
The 4Cast strategy is a quantitative midfrequency intraday momentum strategy, trading futures on leading equity indices in the US, EU, and APAC. With intraday leverage that can reach up to x4.5 (although usually much lower) and with no overnight exposure, the strategy achieved since its inception in April 2019 significant returns.
4Cast is a mid-frequency strategy with no sensitivity to latency, taking positions and trying to predict the momentum for the next few hours, until the end of the day.
The trading is fully automated with no human intervention, covered by strict risk management and extensive experience of Lumos team and investment advisor- FinYX Quants.
The strategy has minimal correlation to the S&P500, taking both long and short positions, with no bias to any of the sides, currently managing $150m AUM in the fund and SMAs.
Pitch 6: Savin Multi-Strategy Arbitrage Fund
Savin was founded in Amsterdam to provide fund form access to arbitrage and volatility strategies normally found behind partnership walls.
Our edge is in navigating and exploiting volatility while rigorously focusing on downside protection and capital preservation. Savin is wholly owned by 4 partners and the team consists of 8 FTEs.
Aim: Strong absolute uncorrelated returns.
Investment process deploying mix of fundamental analysis and quant research, combined with proprietary trading, risk and screening models. Systemic and heavily quant based.
We deploy 3 main strategies: Volatility arbitrage. Equity relative value. Permanent tail risk strategy.
Positional arbitrages (not High Freq/Low latency) typically running from several days to 12 months. Averaging at 5 to 6 months.
The permanent tail risk strategy is designed to protect against extremely rare adverse events. The 'pay-out' from these highly convex tail-strategies will allow the fund to exploit the massive dislocations arising from these events. Our edge is not only in valuing complex derivatives strategies, in constructing screening models, pricing volatility or running a portfolio; first and foremost our edge is the experienced team behind executing our strategies and running the portfolio.
|
RSS
