A multi-strategy, convertible arbitrage fund seeking to generate returns of LIBOR +5-8% over the long-term. The fund is built from three core sub-strategies: Directional Bias, Hedge Overlay, and Portfolio Protection. The combination of these allows the fund to capture equity market upside while limiting exposure to equity drawdowns. Since launch, the fund has generated annualised returns of 4.8% with the track record displaying attractive equity market upside/downside asymmetry. At €42m in AUM the fund has clearly not scaled significantly however given the lack of credible options in UCITS we believe the fund is worthy of closer attention.
Our new monthly performance report highlights the best and worst performing ten funds in each strategy, both for the prior month and the year to date. Featured Funds this month include:
Merrion European Absolute Return
For the full report, please download below:
At its heart a catalyst driven strategy designed to profit from mispriced securities that are subject to corporate events including restructurings, M&A, and spinoffs.The UCITS driven sector is relatively well populated by funds, however there is a lack of credible, multi-strategy event driven funds with Boussard & Gavaudan’s offering one of the more interesting options available in the market. We particularly like the combination of traditional arbitrage techniques with derivative implementation, which through time should lead to a return stream that is uncorrelated to traditional asset classes while exhibiting moderate volatility and drawdown.
The Maverick Fundamental Quant strategy selects its long and short universe by inferring commonly held positions of other fundamental hedge funds and then screening these using their proprietary stock selection model, the Maverick Quantitative Model (MQM). The final portfolio is constructed from 100 long and 100 short positions, with the fund’s net exposure run at 40% and the gross managed at 200% (120% long/80% short). The fund has made an excellent start since inception in UCITS, with returns annualising at 9.7% with a vol. of 6.7% since launch in September 2015.
Cheyne Convertibles Absolute Return
Monthly Fund Performance Report - September 2017
Boussard & Gavaudan Absolute Return
Maverick Fundamental Quant UCITS
AH UCITS Index
|AH Global Index||0.03||0.6||2.7||2.7||-0.6|
|AH Credit Index||-0.10||0.1||1.3||1.9||2.6|
|AH Equity Long / Short Index||0.43||0.8||5.6||5.6||-1.8|
|AH Event Driven Index||0.06||0.2||1.8||2.0||-0.8|
|AH FX Index||-1.18||-0.3||-1.5||0.0||-0.3|
|AH Macro Index||0.45||0.1||1.8||3.0||0.0|
|AH Managed Futures Index||-1.86||1.9||-1.6||-4.4||-1.3|
|AH Market Neutral Index||-0.28||0.2||1.2||1.0||-3.6|
|AH Multi Asset Index||-0.05||1.2||3.8||2.0||2.7|