Emerging Hedge Fund Preps Long/Short Strategy

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. 


In Depth

Debunking Conventional Investment Wisdom

Feb 8 2017 | 3:22pm ET

Due diligence in the hedge fund world has long involved some combination of the...

Lifestyle

'Tis the Season: Wall Street Holiday Parties Back In Fashion

Dec 22 2016 | 9:23pm ET

Spending on Wall Street holiday parties has largely returned to pre-2008 levels...

Guest Contributor

The Future of Private Equity: New Opportunities, New Challenges

Feb 3 2017 | 6:41pm ET

The private equity industry’s astonishing rebound since the financial crisis has...

 

From the current issue of