36 South Offers ERISA-Compliant Volatility Hedge Funds

Apr 30 2013 | 1:03pm ET

Hedge fund 36 South Capital Advisors has launched U.S. pension-friendly versions of its flagship volatility strategy.

The London-based firm rolled out versions of the Kohinoor Core Fund and Kohinoor Series III fund that comply with the U.S. Employee Retirement Income Security Act, Hedge Funds Review reports, opening the strategy to pension funds and other tax-exempt U.S. investors. Prior to the launch of the Cayman Islands-domiciled vehicles, the strategy was available only onshore, domiciled in Ireland.

Kohinoor Core invests in long-dated commodity, stock, rate and foreign-exchange options, seeking to offer tail-risk protection. Series III invests 30% of its assets in the Core Fund and the rest in U.S. Treasury bills. While both new funds will follow the onshore funds' strategy, 36 South warns that there could be some divergence in performance due to their structural differences.

"Our fund's correlation tends towards minus one in systemic risk events," firm founder Richard Haworth said. "We tend to do better and better the more volatile financial markets become whereas in these times, most traditional assets are correlating to one and all are doing as bad as each other."


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