Hedgeweek Interviews
Qontigo adds carbon price factor to global macro projection equity risk model
Qontigo, a provider of risk, analytics and index solutions, has introduced a Carbon Emission Price factor within the Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model (Macro Projection Model).
Designed to capture the investment risk of a global, regional or single-country portfolio through the lens of macroeconomic risk factors, the Macro Projection Model also decomposes risks driven by interest rate, inflation and commodities.
“As more institutional investors turn to sustainable investing, it’s critical for them to be able to get a clearer picture of the distribution of their risk based on macroeconomic exposures, including those driven by ESG-related factors,” says Melissa Brown, Global Head of Applied Research. “What we have found in our analysis is that the Carbon Emission Price factor is not significantly correlated with the other macro factors that exist in the Macro Projection Model, thereby giving investors more power to explain the contribution of risk from the Carbon Emission Price factor.”
The Carbon Emission Price factor is calculated by using the 1Y node from the Axioma Constant Maturity Futures Curve based on the European Carbon Emission Allowances (EUA) futures traded on the European Energy Exchange (EEX). EEX is the leading European auction platform within the EU ETS, supporting the energy transition and decarbonisation with a broad range of environmental products.
“The EU Emissions Trading Scheme, the oldest and most traded carbon allowance market, has rapidly evolved in recent years in stability and liquidity, now attracting a broad global investor base,” says Alessandro Michelini, Head of Portfolio Solutions. “Given the sufficient maturity of the market, we thought now is the right time to support inclusion of a macroeconomic factor in our model.”
Launched earlier in the year, the Macro Projection Model uses the same framework as the Axioma Worldwide Fundamental Equity Factor Model (Fundamental Model) which has clear efficiencies for the end user. With one model, risk managers and portfolio managers can avoid misalignment across their macroeconomic and fundamental models, access a holistic view of total risk, and capture additional insight beyond fundamental factor exposures and risks.
Like this article? Sign up to our free newsletter Author Profile Related Topics Services Research & AnalyticsMaitland makes senior appointments to accelerate Guernsey growth trajectory
Maitland has made four senior appointments within its Guernsey Fund Administration division, as it continues to service its growing Guernsey client base.
Harry Rouillard has been appointed Director, whilst Luke Smith, Aimée Gontier, and James Taylor have been appointed as Assistant Mangers.
Guernsey Managing Director, Wikus van Schalkwyk, says: “Now in our fifth year of operation, our Fund Administration business has gone from strength-to-strength via continued robust organic growth. Cultivating our own talent is integral to Maitland’s growth strategy, and we are delighted to have been able to promote staff internally into new roles created to support this.”
Leading the team, Rouillard brings in-depth experience in delivering operational excellence across a broad range of asset and fund types. He joined Maitland in 2019 having previously held the position of Head of Fund Accounting at Northern Trust.
Rouillard says: ‘“I’m pleased to be able to continue driving the growth of our Guernsey practice alongside my colleagues at what is an exciting time in fund services. Maitland Guernsey’s team delivers first rate client service, supported by the Group’s technology infrastructure. Whether it is supporting emerging requirements in corporate governance or compliance, or accounting for complex fund and fee structures or asset valuations, the team really allow clients to focus on their core activities”
Maitland Guernsey administers a wide range of open- and closed- ended private and listed collective investment schemes and related corporate structures.
Hedge fund tycoon Paul Marshall pledges GBP50 million for LSE social impact initiative
Sir Paul Marshall, co-founder, chairman and chief investment officer of UK hedge fund giant Marshall Wace, has donated GBP50 million to the London School of Economics’ Marshall Institute to establish a new accelerator programme aimed at tackling future environmental, health, and social inequality challenges.
The Marshall Impact Accelerator – which is being unveiled on finance day at the COP26 climate summit in Glasgow and is scheduled to launch in spring next year – will provide philanthropic capital for innovative social ventures spanning environment, health, social inequality, public policy and developmental economics challenges.
The initiative will combine LSE’s research expertise and the Marshall Institute’s existing government and policy networks, and provide grant-making services and resources for the social sector that have traditionally been available only to commercial firms and for-profit investors.
“We live in a constantly evolving world, and if we want to overcome the challenges we face, we need to embrace brand new ways of thinking, now more than ever,” said Sir Paul Marshall, who co-founded high-profile long/short equity hedge fund giant Marshall Wace along with Ian Wace in 1997.
“This donation to create the Marshall Impact Accelerator will support visionaries from every continent, as they create groundbreaking new innovations and change the world. I can’t wait to see what they come up with.”
Baroness Minouche Shafik, director of the London School of Economics, said: “The Marshall Impact Accelerator will provide a truly world-class environment for stimulating the creative and entrepreneurial talents of our students in the service of solving some of the world’s most intractable public and social problems.”
Stephan Chambers, director of the Marshall Institute, said: “As the world begins to turn away from a focus on ‘making things people want’ towards ‘making things people need’, the scaling up of social impact projects through the Marshall Impact Accelerator will accelerate this trend. Our aim is to create ‘impact unicorns’ –organisations improving billions of lives.”
Established in 2015 at the London School of Economics with a GBP30 million gift from Sir Paul Marshall, the Marshall Institute aims to improve the impact and effectiveness of private action for public benefit. In 2017, it launched the world’s first MSc in Social Business and Entrepreneurship as well as developing a range of other graduate and executive courses.
Like this article? Sign up to our free newsletter Author Profile Hugh Leask Employee title Editor, Hedgeweek Twitter Linkedin Related Topics ESG & Responsible Investing Launches & Fundraising Impact InvestingMuzinich & Co launches CLO platform
Muzinich & Co has launched a Collateralised Loan Obligation (CLO) platform and hired Brian Yorke to lead the initiative.
Yorke has over 20 years’ experience in CLOs. Previously he was at Ostrum Asset Management (an affiliate of Natixis Investment Management) where he assisted in the building of the US loan and European CLO businesses. Prior to that, Yorke was Head of Global Performing Credit at Bardin Hill Investment Partners, where, in his 13-year tenure, he introduced and implemented a rigorous risk management process for loan and CLO accounts. Brian began his career at PGIM, Inc where he was one of the original members of their CLO team. Brian has managed over 45 CLOs in his career.
Yorke says: “I’m pleased to join Muzinich at such an exciting juncture of its business development. Alongside a considerable tenure in corporate credit investing, the firm has an established reputation and experience in broadly syndicated loans, which makes it well suited to expand into the CLO issuer market.”
Yorke will work closely with Torben Ronberg, Head of Syndicated Loans, to seek consistency in risk management and capital preservation, in-line with the Firm’s broader investment process.
Ronberg says: “As a corporate credit manager with over three decades of experience, we believe entering the CLO market is a natural extension of our business.” He added “Brian’s reputation, connections and longevity in the CLO market provides us deep expertise and enables us to offer clients an expanded range of credit strategies with a focus on downside protection and risk management.”
Founder and Chairman George Muzinich adds: “The launch of a CLO platform, which is backed by a substantial capital commitment, allows us to extend our floating rate product suite at a time of inflationary uncertainty and rates pressure.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Moves & AppointmentsDTCC Exception Manager provides CSDR service and link to CTM trade matching data to prevent settlement fails
The Depository Trust & Clearing Corporation's (DTCC) DTCC Exception Manager, its platform to publish, manage and communicate trade exceptions, is now offering an optional Central Securities Depositories Regulation (CSDR) service to assist clients by calculating predicted fail penalties, prioritising exceptions by size of predicted penalty and generating claim emails.
Additionally, there will be a new linkage between Exception Manager and Central Trade Manager (CTM), DTCC’s service to centrally match cross-border and domestic transactions, providing clients with direct access to golden source trade information that only DTCC is able to provide.
“We look forward to launching the new Exception Manager capabilities,” says Matthew Stauffer, Managing Director, Head of Institutional Trade Processing at DTCC. “Access to accurate, authoritative trade data and the ability to quickly capture, prioritise and resolve exceptions is critical to preventing trade fails that could lead to penalties under the forthcoming CSDR’s Settlement Discipline Regime (SDR). The new features will have a tremendously positive impact on our clients’ ability to effectively address exceptions, resulting in greater risk mitigation and cost reduction for the industry.”
CVC Credit prices its sixth new CLO of the year
CVC Credit has priced Cordatus XXII, a Collateralised Loan Obligation (CLO) fund totalling EUR440 million and arranged by Deutsche Bank.
This is the sixth new CLO fund CVC Credit has priced globally this year and will take its total assets under management to EUR24 billion.
Cordatus XXII was significantly oversubscribed and raised from both new and long-standing existing investors. The fund priced at the tight end of the market, with the AAAs at 94bps, which is the tightest long dated CLO print seen in Europe in H2 2021. As with previous Cordatus CLOs, the fund is primarily comprised of broadly syndicated First Lien Senior Secured Loans.
Guillaume Tarneaud, Partner and Portfolio Manager at CVC Credit, says: “We are thrilled to have priced our latest European CLO, which will increase our European CLO AUM to over EUR8 billion for the first time. CVC Credit has priced EUR1.3 billion of CLOs in Europe so far this year, which highlights the confidence of our investors and further strengthens our position as one of the leading CLO investors in the region.“
Gretchen Bergstresser, Global Head of Performing Credit at CVC Credit, says: “2021 has been extremely busy and successful for CVC Credit. We are delighted with our transaction rate so far this year, having priced nearly €9 billion in aggregate across our transatlantic platform. We continue to work hard to accelerate this rate and expect to publicly announce our next US focused fund very shortly.”
Marlin Capital Partners appoints Apex Group for fund admin
Apex Group (Apex), a global financial services provider, has been appointed to provide fund administration and accounting services to Marlin Capital Partners (Marlin).
Marlin Capital Partners is headquartered in Nassau, The Bahamas and is licensed and regulated by the Securities Commission of The Bahamas to offer advisory services and manage assets on a discretionary basis.
Marlin has appointed Apex Group and subsidiary Throgmorton to provide outsourced Management Company, Middle Office and Fund Administration services. This appointment comes ahead of the launch of Marlin’s Dauntless Fund, which will focus on arbitrage opportunities within the digital asset space.
Apex’s single-source solution encompasses a wide range of services under one roof, enabling clients, such as Marlin, to create efficiencies, reduce costs and improve controls by outsourcing the back-, middle- and front-office operational framework. Clients benefit from access to the market-leading technology which underpins these services, to support their operations, manage risk and reduce operational costs, while having more time to focus on performance and growth.
Jason Meklinsky, Head of Business Development, Americas at Apex Group, says: “Robust middle- and back-office functions are paramount to the smooth running of a fund and to meeting the highest investor reporting expectations. As regulatory compliance requirements continue to evolve, operational efficiency and economies of scale are vital. We look forward to working with Marlin on their pioneering new fund, allowing the team to focus on performance and growth, whilst our dedicated and experienced experts support their operational needs.”
Richard Heathcote & Zachary Lyons, Partners at Marlin Capital Partners adds: “We are pleased to appoint Apex to provide their integrated outsourced solution. They have demonstrated ability to meet our service requirements seamlessly across time zones and we have been particularly impressed by the flexibility and responsiveness of their client service model and exceptional expertise of the team.”
iCapital Network broadens accredited investor access to private investments
iCapital Network has added to its private investments offering with the launch of the AMG Pantheon Fund, LLC, BlackRock Private Investments Fund, Carlyle Tactical Private Credit Fund, and Hamilton Lane Private Assets Fund on its platform.
The expansion of iCapital’s fund offerings suitable for accredited investors and qualified clients enables financial advisors and their clients to access the return and diversification potential offered by private market investments with accessible investment minimums and simplified operations.
During the past 12 months, iCapital has prioritised expanding the selection of registered funds and other vehicles for accredited investors available on its flagship platform. These funds provide access to institutional-quality managers and can invest in private capital markets through tender offer funds, interval funds, non-traded business development companies (BDCs), and real estate investment trusts (REITs).
The funds have investment minimums that typically range from USD25,000 to USD50,000, generally do not utilise capital calls, and generally issue 1099s as opposed to K-1s, substantially simplifying tax reporting. iCapital supports these funds on its platform through its research, education, distribution, and technology. In addition, the iCapital flagship platform features the iCapital KKR Private Markets Fund for which iCapital RF Adviser, a subsidiary of iCapital Network, serves as investment adviser.
A recent joint 2021 wealth and asset management report from Morgan Stanley and Oliver Wyman, Competing for Growth, projects that additional high-net-worth (HNW) allocations to private market investing opportunities will represent around USD1.5 trillion of assets under management by 2025. With high-net-worth investors increasingly focused on capturing opportunities in the private markets, asset managers are catering to the growing demand with differentiated, in-demand products.
“A core part of our mission at iCapital is to ensure advisors have access to the right portfolio tools to meet the long-term investment goals of their accredited investor clients,” says Eileen Duff, Chief Client Success Officer at iCapital Network. “Registered funds are purpose-built for this market and can help advisors access portfolio diversification and return potential while encouraging investors to think longer term.”
A recent survey of advisors on the iCapital platform highlights an appetite for accessing private investment opportunities, including funds suitable for accredited investors.
Almost half (45 per cent) of advisors say they have at least 20 per cent of their accredited investor clients in private markets.
Some 80 per cent of advisors say they are likely to increase the number of their accredited investor clients invested in private markets in the next 12-24 months.
Nearly 75 per cent of advisors plan to increase allocations to private markets in the next 12-24 months for their accredited investor clients.
Each of the funds named above on the iCapital platform is registered under the Investment Company Act of 1940, as amended, as a closed-end investment company and shares of each are registered for public offering under the Securities Act of 1933. The funds referenced above are joined on the iCapital platform by a broad selection of additional registered funds that provide exposure to private equity, private credit, and private real estate strategies from experienced managers that have undergone rigorous due diligence by iCapital’s Fund Management & Research team. Together, these funds form a comprehensive offering for accredited investors and qualified clients seeking to access the potential benefits of the private markets.
Like this article? Sign up to our free newsletter Author Profile Related Topics Launches & FundraisingAXA IM Alts expands Global Secured Assets capabilities with launch of new strategy
AXA IM Alts, a global leader in alternative investments with cEUR163 billion of assets under management, has expanded its suite of Secured Finance solutions for pension fund clients, with the launch of a new Global Secured Assets (GSA) Strategy.
The new strategy invests through an open-ended vehicle across a wide range of assets in both public and private markets to provide clients with a diversified portfolio of global secured finance assets, delivering yield pick up over traditional credit, while focusing on capital preservation.
The strategy leverages the expertise of AXA IM Alts’ Real Assets and Structured Finance teams, to build a blended portfolio of consumer assets, including asset backed securities and residential mortgages; corporate assets, including CLOs, secured and mid-market loans; and real assets including commercial real estate debt and infrastructure debt.
It draws on AXA IM Alts’ global investment platform to identify attractive investment opportunities and aims to build a globally diverse portfolio of assets. This diversification across regions and asset classes, between corporate risks, private consumer risks and real assets risks also provides different drivers of performance when compared to traditional credit. The team aims to capture illiquidity premia through accessing private market opportunities and exploits relative value across assets to drive performance.
The launch comes as pension schemes in the UK and Europe are increasingly looking to diversify their investment portfolios beyond traditional credit instruments and across public and private markets, in the search for higher returns. The actively managed strategy has been designed to take advantage of each phase of the credit cycle, drawing on AXA IM Alts’ extensive sourcing and credit research capabilities, allowing the strategy to tactically deploy capital at speed.
Christophe Fritsch, Co-Head of Securitized & Structured Assets at AXA IM Alts, says: “As pension schemes mature, they face a multitude of challenges, from identifying contractual cashflows, generating higher yields in a low return environment, and diversifying beyond traditional credit. As well as offering a potential yield premium versus traditional credit, secured finance provides diversification benefits by investing in the full scope of debt instruments, secured by different types of collateral, in both the public and private markets. We have seen increasing demand from our pension scheme clients for such a strategy in a more flexible format, to account for the different stages of the scheme’s lifecycle they may be at. This latest strategy is in response to that demand, offering our clients exposure to a diversified portfolio of assets across the public and private markets in an open-ended format that provides some liquidity.”
The new strategy is part of a cEUR74 billion Private Debt and Alternative Credit platform and builds on AXA IM Alts’ existing Global Secured Assets strategies, which have already achieved EUR2.2 billion in assets under management, across a range of multi asset strategies. The team has proven expertise in managing global secured finance portfolios, navigating the Covid-19 crisis with above target returns, and deploying capital efficiently and ahead of schedule. AXA IM Alts’ first Global Secured Assets Fund (GSA I), which was launched in November 2018, now has a three-year track record, delivering on its fund objectives aiming to provide diversification, yield and cashflows, whilst continuing to identify new investment opportunities of high quality diversified secured assets. GSA I is now closed to new investments.
TCM launches first crypto fund on ADDX
Private market exchange ADDX has launched its first cryptocurrency product, with the listing of a digital asset fund by investment manager Trovio Capital Management (TCM). The fund aims to provide accredited investors with a reliable option for crypto investing and has put in place institutional-grade safeguards in relation to the trade execution and custody of the fund’s underlying digital assets.
The TCM Digital Asset Fund takes a diversified approach to crypto investing. On top of core positions in bitcoin and ether, the fund invests in a set of seven other top-performing cryptocurrencies that are identified and reviewed regularly through a proprietary method of quantitative analysis. The fund recorded a net return of 215 per cent in 2020 and 205 per cent in the first ten months of 2021.
Relying on an institutional-quality infrastructure, the fund has an independent administrator, auditor and custodian. It is among the first digital asset funds to be audited by KPMG. Custody and trading services are provided by the Nasdaq-listed Coinbase. Investors on the ADDX platform can subscribe to or redeem units each month with the fund manager. The fund’s minimum investment size is USD10,000.
Founded in 2017, the Australia-based Trovio Group is led by veteran bankers Jon Deane and Bob Tucker. Trovio CEO Jon Deane has more than 15 years of experience managing large complex risk positions for investment banks, including JP Morgan and UBS AG. He was Managing Director and Head of Asia Commodities Trading at JP Morgan from 2014 to 2018.
Deane says: “It has been a fantastic experience bringing our flagship fund to ADDX’s MAS-regulated platform. We are continuing to witness significantly wider adoption and appreciation of digital assets as a standalone asset class in a diversified portfolio. ADDX’s platform is enabling investors to seamlessly access these asset classes, whilst reducing friction often experienced via traditional channels. We look forward to working with the ADDX team on launching our other products over the coming months.”
Oi Yee Choo, Chief Commercial Officer of ADDX, says: “Cryptocurrencies are very likely the digital gold of our age. There is robust demand among investors for exposure to these digital assets. The traditional world of finance tried to keep a cautious distance initially. But today, major financial institutions either have a crypto offering or are seriously considering one. We believe the time for discussing whether cryptocurrencies have a place in an investment portfolio is all but over. The more relevant question now is around how one should manage the risk of crypto investments, from an asset custody as well as a price volatility standpoint. Professionally managed crypto funds with a good track record can potentially address these risk concerns for investors.”
Choo adds: “ADDX is pleased to work with Trovio on this first crypto offering to investors on our platform. The team led by Jon Deane has deep expertise in both traditional finance and the crypto space, and this is reflected in their rigorous approach to conceptualising and bringing to market this institutional-grade fund. As Singapore establishes itself as an important global hub for regulated crypto activity, ADDX seeks to make a positive contribution to the crypto landscape of the city, by adding to the rich diversity of high-quality offerings available to investors.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Digital Assets Funds Launches & FundraisingDSB seeks industry feedback on UPI legal terms and conditions consultation
The Derivatives Service Bureau (DSB) has opened a consultation on the legal terms and conditions and client support model expected to apply to users of the Unique Product Identifier (UPI) Service, due to launch next year.
The consultation sets out the proposals for users of the UPI Service as well as highlighting the resulting user experience for firms utilising the current OTC ISIN Service, and as such the DSB recommends that current and potential users review and respond to the questions set out in the consultation paper. The deadline for industry feedback is Wednesday 19th January 2022.
The DSB, was founded by the Association of National Numbering Agencies (ANNA), to facilitate the allocation and maintenance of ISINs, CFIs and FISNs for OTC derivatives, and was subsequently mandated by the Financial Stability Board as the sole UPI Service Provider to facilitate creation and distribution of UPIs globally.
The UPI is designed to facilitate effective aggregation of over-the-counter (OTC) derivatives transaction reports on a global basis. Reporting parties will be mandated to incorporate the UPI into their workflows and submit these to trade repositories once mandates come into effect in each of Africa, Asia, Australia, Europe and the Americas.
The DSB UPI Legal Terms and Conditions Consultation sets out a range of proposals aimed to align with industry feedback for the DSB to support the UPI Service within the existing DSB legal framework that is used for the OTC ISIN Service. Proposals include the use of a single overarching legal agreement with fee-paying users able to subscribe to OTC ISIN and/or UPI Services, introduction of a Client Onboarding and Support Platform (COSP), use of the Legal Entity Identifier (LEI) for user onboarding verification, use of pre-payment for lower value user fees, the fee model variables to be used for annual fee determination, the approach to termination, suspension and renewals, dispute resolution mechanism and the transfer of user data in the case of a contingency scenario, amongst others.
Emma Kalliomaki, Managing Director of ANNA and the DSB, says: “The DSB is an industry led utility, producing standardised OTC data for an evolving market. Good governance principles are at the core of the UPI, to ensure for a better service for the market. The DSB would like to encourage all interested parties to review the proposals of the UPI Legal Terms and Conditions Consultation and provide their feedback by 19 January 2022 when the feedback window closes.
Like this article? Sign up to our free newsletter Author Profile Related Topics Legal & RegulationWaystone partners with Invenomic to launch US Equity Long/Short UCITS Fund
Waystone has launched the Invenomic US Equity Long/Short UCITS Fund on the MontLake UCITS Platform ICAV. The fund launched with USD35 million in AUM with a strong pipeline to grow quickly to USD100 million.
The fund joins the Waystone Investment Solutions product suite at Waystone Fund Management.
The Invenomic US Equity Long/Short UCITS Fund, managed by Invenomic Capital Management LP, is a fundamentally driven diversified all cap US equity long/short strategy with a strong value bias.
Invenomic Capital Management LP was founded in 2015 by Ali Motamed. For over 17 years, Motamed has developed and managed what has become the Invenomic strategy. The objective of the fund is to achieve long-term capital appreciation. To achieve this, the Invenomic strategy adopts three core principles: 1) investing in fundamentally sound companies 2) disciplined short selling and 3) diversification – an essential risk management tool.
Motamed says: “We are very pleased to bring our strategy to the European market with the help of Waystone. We have been running our strategy with daily liquidity in the US for over four years now and feel that a UCITS fund available to non-US investors is a crucial next step in the development of our business. With this launch we can offer our long/short equity strategy to investors all over the world.”
Kenneth Sim, Global Head of Distribution, Waystone, says: "We are excited to be partnering with Invenomic on the launch of its UCITS Fund. Following a decade of clear outperformance of growth over value, we have seen a clear shift in demand from investors looking for value-tilted strategies that can generate absolute returns through alpha. In response to this, the Waystone Investment Solutions team has sourced and partnered with Invenomic Capital Management LP to bring its strong track record and expertise to the European UCITS market, which has come at a time where such value-related strategies are starting to experience their long overdue tailwinds. We feel that the strategy is a compelling investment opportunity for our clients looking to diversify their portfolios. We look forward to building a successful partnership with Invenomic.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Funds Launches & Fundraising UCITsVibrant Capital Partners makes investment and business development hires
Vibrant Capital Partners has added to its Structured Credit Investment and Business Development teams with two hires.
Shawn Lim, former Vice President of Corporate Structured Products at Oak Hill Advisors, has joined Vibrant Capital Partners as a Vice President on its Structured Credit Investment team. Lim will be responsible for sourcing, analysing and executing investments in collateralised loan obligation (CLO) liabilities and equity.
Zachary Radler, former Director at GoldenTree Asset Management, has joined Vibrant Capital Partners as a Director on its Business Development team. Radler will focus on deepening the Firm’s relationships with institutional investors across North America.
Rehan Virani, Chief Executive Officer of Vibrant Capital Partners, says: “Shawn and Zach, the latter of whom I worked alongside for several years, are experienced, high-integrity professionals, and our ability to attract individuals with their pedigree demonstrates the strength of the Vibrant platform. We look forward to leveraging Shawn’s credit research expertise and Zach’s global institutional relationships as we continue to develop bespoke investment products within corporate structured credit.”
Kashyap Arora, co-Chief Investment Officer of Vibrant Capital Partners, adds: “It is a pivotal time for our industry, with increasing institutional investor interest in the CLO asset class across both primary and secondary markets following its resilience over credit cycles. We are pleased to continue to differentiate our platform and create value for investors.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Moves & AppointmentsBrummer multi-strategy hedge fund stays positive amid hefty fixed income losses
Brummer & Partners’ flagship multi-strategy hedge fund vehicle ended last month in marginally positive territory, as solid gains made by its systematic trend-following managers were set against hefty losses in its fixed income relative value exposures, which were hit by short-term interest rate surges in Sweden.
The Brummer Multi-Strategy (BMS) fund made a 0.2 per cent gain in its SEK and USD classes during October, but it remains down 0.3 per cent over the 10-month period since the start of January. The twice leveraged BMS 2xL version gained 0.3 per cent last month, but year-to-date it also is languishing in negative territory to the tune of -1.3 per cent.
Trend-following manager Florin Court led the way with a 5.1 per cent monthly return, which was driven by lower moves in bond prices as well as gains in commodities. Lynx, another managed futures name, gained 1.2 per cent, making money in bond moves but losing out from long-dollar bets. Florin Court has now soared more than 29 per cent since the start of 2021, with Lynx up 2.6 per cent.
On the downside, fixed income relative value fund Frost collapsed 17.7 per cent last month – its worst monthly showing since inception. The hefty loss – which leaves the strategy down 17.5 per cent year-to-date – stemmed mainly from the recent surge in short-term Swedish interest rates and flattening of the yield curve, Brummer said on Tuesday.
“In Sweden, there is now a significant divergence between the Riksbank’s communicated trajectory for short term interest rates and what the market is pricing in,” the long-running Swedish hedge fund pioneer noted in an update.
Elsewhere, Manticore, a long/short equity fund, added 1.1 per cent as a result of positive alpha around the earnings season, as did Kersley, a financials-focused long/short equity manager, which was up 0.1 per cent. Manticore has gained 2.8 per cent year-to-date, with Kersley up 0.5 per cent.
Elsewhere, discretionary macro manager Arete has generated 8 per cent over the last 10 months, having risen 1 per cent in October primarily on the back of successful stock market positioning.
Quant equity fund AlphaCrest dipped 2.7 per cent last month, and is down 0.7 per cent for the year, while Lynx Constellation, a machine-learning strategy, lost 1.6 per cent in October, and has now plummeted more than 18 per cent year-to-date. Pantechnicon, a long/short equity strategy recently added to the BMS vehicle, was flat in October.
“The fact that BMS finished the month in positive territory is a testament to the strength of the diversification in BMS’s portfolio,” Brummer said of the overall October performance. “Frost has reduced risk significantly to adjust the portfolio to the current market conditions. Frost’s negative contribution to BMS’s return is however limited since the allocation to Frost has been kept low.”
As of November 1, BMS’s portfolio managers primarily increased the allocation to Kersley and Florin Court. The portfolio managers also redeemed from its 1.2 per cent allocation to Lynx Constellation and instead increased the allocation to Lynx main programme. In total, the allocation to Lynx was increased on the margin, the Stockholm-based firm added.
Like this article? Sign up to our free newsletter Author Profile Hugh Leask Employee title Editor, Hedgeweek Twitter Linkedin Related Topics Results & performance Investing in Hedge FundsExabel and ExtractAlpha partner to launch alternative data insights platform
Exabel, a data and analytics platform for investment teams, is partnering with ExtractAlpha to deliver a new insights platform for ExtractAlpha’s investment clients.
The ExtractAlpha Intelligence Engine will give portfolio managers and hedge funds additional insights based on ExtractAlpha’s diverse alpha signals. The platform delivers user-friendly dashboards, visualisations and KPI monitoring capabilities, with a focus on TrueBeats - ExtractAlpha’s advanced earnings and sales surprise forecasting model. This assists investors in idea generation and fundamental analysis by spotting trend shifts in ExtractAlpha’s data. Partnering with Exabel gives alternative data vendors a compelling extra presentation and monitoring layer that investors value, utilising Exabel's unique Al analytics, financial modelling and data science platform.
The ExtractAlpha Intelligence Engine forms part of Exabel’s growing partnership program. The platform empowers data vendors to discover new value-added insights in their datasets, demonstrate extra value to potential customers in easy-to-create report cards, and deliver a new, proven Insights product that appeals to a wide group of professional investors. Through the partnership with Exabel, ExtractAlpha’s clients can now much more easily and quickly identify alpha generating investment opportunities from its TruBeats revenue and EPS predictions.
ExtractAlpha is an independent research firm dedicated to providing unique, actionable alpha signals and datasets to institutional investors. ExtractAlpha’s rigorously researched quantitative products are designed for institutional investors to gain a measurable edge over their competitors and profit from these unique new sources of information.
Neil Chapman, CEO of Exabel, says: “We are delighted to be partnering with ExtractAlpha on this new insights platform. ExtractAlpha are well established in the alternative data world and their team’s magpie-like eye for value in a dataset has led to them accumulating an impressive portfolio of signals. We are proud to be able to help present these signals to ExtractAlpha’s clients in their best possible light.
“Today most investors want to use alternative data, but many find the cost and complexity of modelling data in-house a prohibitive burden. Exabel allows active managers to benefit from alternative data immediately to supplement fundamental strategies.
“We are looking forward to working with ExtractAlpha to create actionable insights on its data. Dashboards, intelligent screening of KPI predictions and company drill down tools are among the many features our easy to use SaaS platform can deliver.”
Vinesh Jha, CEO of ExtractAlpha, says: “Today’s institutional investors are inundated with interesting-sounding datasets, but the vast majority of these datasets do not have true predictive power and the data delivery is often not designed with the end user in mind. We are excited to work with Exabel on addressing this issue by delivering our consistently profitable, predictive analytics via Exabel’s intuitive, user-focused, and feature-rich platform. This collaboration will allow discretionary managers access to the same powerful insights which our quant clients have been leveraging for years - including the most accurate earnings prediction model available on the market - in a way which is designed for their individual workflow.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Services Research & AnalyticsCrypto hedge fund Corinthian names ex-Macquarie equity research chief Peter Redhead as COO
Corinthian Digital Asset Management, a diversified digital assets offshoot of London-based crypto arbitrage hedge fund Argentium, has named ex-Macquarie and JP Morgan equity research head Peter Redhead as partner and chief operating officer.
Redhead joins as Corinthian, which was established by Argentium founder Paul Frost-Smith, prepares to open its debut hedge fund strategy Chiron to external capital in February 2022.
Redhead previously spent more than five years at Macquarie Global, most recently as global head of equity research. Earlier, he had been managing director and head of EMEA equity research and head of Asian equity research at JP Morgan.
Over the course of his 25 years-plus career, he has also been CEO of leading financial services recruiter The Rose Partnership, and non-executive director of BeQuant, a regulated crypto exchange.
Commenting on the hire, Corinthian CEO Frost-Smith said Redhead’s “drive and entrepreneurial spirit, and keen interest in the development of the crypto markets as they move towards institutional adoption, will be invaluable.”
Chiron, the firm’s first hedge fund in digital assets, runs a core portfolio of crypto outperformance strategies, coupled with an opportunistic trading approach to relative value opportunities in the crypto markets. It seeks to deliver exceptional returns with an actively managed volatility profile.
UAE-headquartered Corinthian was established by ex-JP Morgan and Credit Suisse manager Paul Frost-Smith who, having developed arbitrage-based algorithmic trading strategies at Argentium, looked to broaden his focus across the entire cryptocurrency value chain beyond high frequency arb.
“It is true that some investors want a market neutral approach, but a significant majority do not; they want exposure to potentially great returns but in a managed way and without doing extensive homework. There is a lot of talk around institutional adoption but, despite the hype, that has not happened yet,” Frost-Smith said.
“This asset class has inherent risks and a sensible minimum return hurdle has to be recognised. This is not achievable, in my view, solely through market neutral or arbitrage strategies: the best approach is a long delta, long volatility portfolio, based on relative value, and appropriately hedged.
He added: “In addition, some investors are seeking a more diversified approach through fund of funds or VC products – this is something that Corinthian recognises and is building out, as the market starts to shake out and winners and losers in the many and varied crypto tech battles start to emerge.”
Frost-Smith and Jerome Dupuy are the managing partners of Corinthian, joined by Sophia Herman as partner and head of investments and Peter Redhead as partner and COO. Gejia Ouyang is head of BD APAC and Paola Mantovani is head of BD EMEA and head of investor relations.
Like this article? Sign up to our free newsletter Author Profile Hugh Leask Employee title Editor, Hedgeweek Twitter Linkedin Related Topics Digital Assets Moves & AppointmentsSterling Trading Tech sees increased adoption of advanced Rest API risk & margin system
Sterling Trading Tech (STT), a specialist in technology solutions for real-time risk management and margin calculations for equities, equity options, futures, and options on futures has reported continuous interest and adoption of its Rest API cloud-based Risk & Margin System.
The Sterling Risk & Margin System (SRM) provides advanced analytics as a RaaS (Risk-as-a-Service) solution utilising sophisticated quantitative and big data techniques to manage risk in real-time. The SRM calculates risk scenarios, stress tests, portfolio margin, risk-based haircuts, maintenance margin and VaR for each account, with the capability to add and handle firm-specific house rules. Additionally, the SRM is utilised by FiNRA approved broker and dealers and have been included in FINRA applications as the house risk and margin management system.
While the SRM offers a GUI for client front end access via its browser-based risk monitor, the flexible, cloud-based technology also offers access using its API. This has contributed to the continued adoption by clearing firms, hedge funds, broker dealers and proprietary trading groups, who can not only monitor risk using the GUI but can pull data into their downstream systems using the API.
“We have seen an increase in clients utilising the Rest API alongside the GUI and integrating the data and analytics into their existing systems. In some cases, it is specifically for filling a need by utilising one aspect of the system,” states Andrew Actman, Managing Director of Business Development. “The ability for clients to manage their risk and margin together in one real-time solution is a game changer for the industry.”
The Sterling Risk & Margin product line continues to evolve its offering. Its latest release includes support of global equity and equity options markets for risk calculations. It also released a sophisticated custom house/risk policy builder functionality allowing users to construct and manage their own risk or margin policy using any combination of risk measures, including multiple price and volatility scenarios, an OCC TIMS estimate with various addons and VaR (Value at Risk).
As one of the leading providers of equity and equity options trading solutions, STT offers trading platforms, OMS and infrastructure solutions, and risk and margin tools. Its professional and retail trading platforms are available to the global trading community for equities, options, futures, and digital assets. Platforms and products can be white labeled to enhance our clients’ brand identity.
Like this article? Sign up to our free newsletter Author Profile Related Topics Trading & ExecutionCME Group reports 32 per cent ADV growth in October
CME Group has reported its October 2021 market statistics, showing average daily volume (ADV) increased 32 per cent to 20.4 million contracts during the month.
Erik Norland, Senior Economist, CME Group, says: “Amid continued supply chain disruptions, rising inflation and continued labour shortages, the past month we have seen a sharp change in investor expectations regarding future rate hikes in both the UK and the US.
In the UK investors now anticipate a BoE rate hike as soon as 4 November. Meanwhile, in the US, market participants trading Fed Funds Futures anticipate that the Fed could hike rates one or two times in the next twelve months according to CME’s FedWatch tool.
"Previously, investors did not anticipate any Fed rate hikes until 12-24 months in the future. By contrast, few expect that the ECB will hike rates soon, although there is an expectation that they will gradually bring their policy rate back towards zero over the next several years. While short-term expectations for the ECB have not changed a great deal, longer-term Eurozone bond yields followed Gilt and Treasury yields higher while still remaining significantly lower than their peers.”
Like this article? Sign up to our free newsletter Author Profile Related Topics Surveys & researchBitfinex Derivatives to launch solana-bitcoin, avalanche, bitcoin and cosmos Perpetual Swaps
Bitfinex Derivatives will launch perpetual contracts for solana, bitcoin (SOLF0:BTCF0), avalanche, bitcoin (AVAXF0:BTCF0) and cosmos (ATOF0:USTF0).
SOLF0:BTCF0, AVAXF0:BTCF0 and ATOF0:USTF0 will go live on 02/11/21 at 13:00 PM CET. SOLF0:BTCF0 and AVAXF0:BTCF0 will be settled in bitcoin. ATOF0:USTF0 will be settled in tether tokens (USDt). All of the contracts offer users up to 100x leverage.
“We’re delighted to announce the addition of Solana, bitcoin and Avalanche, bitcoin, along with Cosmos, to the growing portfolio of perpetual swaps available to trade on the exchange,” says Paolo Ardoino, CTO at Bitfinex Derivatives. “We anticipate great interest in these products, particularly among funds and professional investors for hedging purposes and to manage risk.”
Bitfinex Derivatives platform and products are only available in eligible jurisdictions, and are exclusive to verified users.
Like this article? Sign up to our free newsletter Author Profile Related Topics Digital AssetsAIMA guide on SEC Marketing Rule offers practical approach to implementation
On 2 November, AIMA is hosting a webinar to launch its Implementation Guide to the SEC’s modernised Marketing Rule.
The guide was produced with the assistance of AIMA partners ACA Group and Dechert LLP, drawing on their expertise in investment advisory consulting and legal representation.
Unlike a traditional manual to memorialise the 430-page Rule, which was published on 22 December, 2020, the Guide is designed to provide a concise overview of the requirements under the new Marketing Rule, serving as a more practical resource for AIMA members as they navigate the new regime. Focusing on the most common areas of concern for investment advisers and the most notable changes in the new Rule, the Guide then distils the Rule into more concise form, providing practical guidance in an easy-to-use form. Definitions are broken down to identify what does and does not qualify, absolute requirements are identified, considerations for principle-based decisions are reviewed, checklists are provided and real-world examples are used – all in a manner that should prove useful to seasoned practitioner and layperson alike.
Following launch of the Guide, AIMA will offer educational programming to more deeply explore specific elements of the Rule, continuing in its objective to provide members with practical, useful tools to address the ever-changing regulatory landscape.
“This Guide is a refreshing take on traditional manuals, offering practical, easy-to-use guidance on what remains a complex topic. AIMA spent more than a year engaging with the SEC on behalf of members during the comment period to ensure their concerns were heard. In listening to those concerns, it was clear that we also had to provide relatable guidance that could be quickly understood by all levels of staff,” says Jack Inglis, CEO, AIMA
“Since the day the New Marketing Rule was approved, ACA has been entrenched in the day-to-day concerns of firms working to understand its nuances, update policies, and prepare to present performance in line with the new rule. We’ve found through the Marketing Rule gap analyses we've performed for our clients, there are many updates to consider and it has become clear that making the necessary changes cannot happen overnight. We’re pleased to have partnered with AIMA and Dechert on this guide which will help to provide a strong foundation for firms to stand upon,” says Carlo di Florio, Chief Services Officer, ACA Group
“It’s been a pleasure working with AIMA and ACA on this guide. We hope that asset managers will find it a helpful and practical tool in navigating this important regulatory development,” says Karen Anderberg, Partner, Dechert LLP.
Like this article? Sign up to our free newsletter Author Profile Related Topics Legal & Regulation North America