Algebris Quant Arbitrage


Fund Strategy Market Neutral
Fund Geography Global
Investment Advisor Algebris (UK) Limited
Fund Currency EUR
Fund AUM €17m
Fund AUM (GBP) £14m
Fund AUM as of 30 June 2019
Fund Inception 10 May 2019
Fund Indices AH Market Neutral UCITS Index
Sub Index - Market Neutral Systematic

Fund Objective

The Algebris Quant Arbitrage Fund aims to generate positive returns from capital appreciation over a broad range of market environments by investing in a portfolio of equity and equity-related securities on a global basis, whilst keeping a net market exposure close to zero. The fund is designed to benefit from changes in volatility regimes, regardless of market direction, whilst avoiding negative carry in stable market conditions. Market and sector neutral, it feeds on price dispersion, providing also de facto tail protection, as market shocks usually come hand-in-hand with volatility. The fund is systematic, model-driven, using as inputs price and volume time-series of spreads of large and mid-cap stocks in the US and Europe.


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