Wednesday, 20 August 2014
Last updated 53 min ago
Apr 11 2008 | 2:00am ET
Stonebrook Capital Management has launched a proprietary hedging strategy for fund of hedge funds managers to help them keep their heads above water in volatile markets.
Developed by Jerome Abernathy, chief investment officer, and Ahmad Ajakh, director of research, the strategy is the culmination of more than five years of research on the relationship between market conditions and hedge fund returns. Abernathy said the strategy seeks risk contagion periods such as January’s equity sell-off and buys flight-to-quality instruments, such as Treasuries, while selling off risky assets including small-caps and emerging markets, and leaves those positions on until the risk contagion starts to subside.
“When you do this, you end up with a strategy with an extremely high correlation to hedge funds, in general, that adds value exactly when you need it,” he said.
The strategy is implemented either through a managed account or special purpose fund. Abernathy said the firm is currently in discussions with a couple of large groups who are interested in the product.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note