Thursday, 2 October 2014
Last updated 5 min ago
Oct 13 2008 | 9:35am ET
Minneapolis, Minn.-based KMK Capital Management is gearing up to launch a quantitative long/short strategy in the next few months.
The strategy focuses on a broad range of liquid securities and aims to capture spreads created by a systematic rotation among equity categories.
Its model ranks the style and size categories from strongest to weakest on a monthly basis and then puts on the appropriate long and short positions. Its long/short positions are optimized between a 90/10 to a 50/50 allocation, and the strategy employs a minimum of two exchange-traded funds representing between 200 and 400 stocks each.
KMK has been trading the strategy in-house and has produced returns of –2.95% this year through September. It was up 1.47% last month during the worst drawdown period for hedge funds in a decade.
“During this short selling ban, one of the benefits of the strategy was that it was still allowed to short ETFs and still stay liquid,” said Douglas Moga, president.
KMK is currently looking for seeders to kick start its fundraising process.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
High frequency trading is not evil, it is not a conspiracy and it really is not new; it is the natural evolution of the professional trading community making markets, providing liquidity and hopefully...