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OPIM & Legend Arb to launch first iron ore quant fund

Monday, May 15, 2017
Opalesque Industry Update - OP Investment Management Ltd, a player in the asset management industry, has partnered with Legend Arb Asset Management Ltd to launch its first commodities focused, Cayman-domiciled hedge fund for professional investors.

Legend Arb CT Equity Fund's objective is to generate stable returns with lower volatility by deploying a long-short strategy focusing on iron ore plus a market neutral strategy, both trading in equities and futures. Strategies which rely on quantitative analyses and algorithmic processes will be implemented to explore price dynamics and trading opportunities within the iron ore sector. The market neutral strategy will use statistical arbitrage approach to invest in large-cap equities, consisting of A and H shares in Hong Kong. The fund is expected to launch in Q2, 2017.

The founder, Kace Lam, has been working on building the first set of quant strategies for more than 10 years, while managing proprietary capital.

"As we come from a quantitative background, the fund will use big data technology. The combination using technical and market factors will help us pick stocks for both strategies, and will be tested in different markets. Naturally, this first product will give investors exposure to the market profile of the commodities futures market but with moderated volatility," Kace remarked.

Mr. Lam graduated from Erasmus University in Rotterdam and has spent most of his career in proprietary trading, market-making and developing in-house algorithmic trading strategies. Prior to founding Legend Arb CT Equity Fund, he was a trader responsible for market making at Van de Moolen, and was the Managing Director of KinseySoft. Mr. Lam traded financial derivatives in Asia, Europe, and the United States.

The portfolio manager, Damien Pang, also built his quantitative background having spent more than 5 years, specializing in data analysis, modeling, and leading research projects with Mr. Lam. Mr. Pang graduated from Chinese University of Hong Kong, and is CFA accredited.

Alvin Fan, Chief Executive Officer of OPIM, opined on the growing innovation in the industry: "It is refreshing to see unique strategies that differentiate from common country and or regional focused funds. Legend Arb CT Equity Fund highlights some of the more innovative products, and it speaks to the talent bed that's flourishing now in Asia."

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