DOCSLIB.ORG

Europe's Largest Single Managers Ranked by a Um

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text

Load more

2013 IN ASSOCIATION WITH IN ASSOCIATION 5O EUROPEEUROPE’S LARGEST SINGLE MANAGERS RANKED BY AUM EUROPE50 01 02 03 04 Brevan Howard Man BlueCrest Capital Blackrock Management 1 1 1 1 Total AUM (as at 30.06.13) Total AUM (as at 30.06.13) Total AUM (as at 01.04.13) Total AUM (as at 30.06.13) $40.0bn $35.6bn $34.22bn $28.7bn 2 2 2 2 2012 ranking 2012 ranking 2012 ranking 2012 ranking 2 1 3 6 3 3 3 3 Founded Founded Founded Founded 2002 1783 (as a cooperage) 2000 1988 4 4 4 4 Founders/principals Founders/principals Founders/principals Founders/principals Alan Howard Manny Roman (CEO), Luke Ellis (President), Mike Platt, Leda Braga Larry Fink Jonathan Sorrell (CFO) 5 5 5 Hedge fund(s) 5 Hedge fund(s) Hedge fund(s) Fund name: Brevan Howard Master Fund Hedge fund(s) Fund name: BlueCrest Capital International Fund name: UK Emerging Companies Hedge Limited Fund name: Man AHL Diversified plc Inception date: 12/2000 Fund Inception date: 04/2003 Inception date:03/1996 AUM: $13.5bn Inception date: Not disclosed AUM: $27.4bn AUM: $7.9bn Portfolio manager: Mike Platt AUM: Not disclosed Portfolio manager: Multiple portfolio Portfolio manager: Tim Wong, Matthew Strategy: Global macro Portfolio manager: Not disclosed managers Sargaison Asset classes: Not disclosed Strategy: Equity long/short Strategy: Global macro, relative value Strategy: Managed futures Domicile: Not disclosed Asset classes: Not disclosed Asset classes: Fixed income and FX Asset classes: Cross asset Domicile: Not disclosed Domicile: Cayman Islands Domicile: Ireland Fund name: BlueTrend Inception date: 04/2004 Fund name: UK Equity Hedge Fund Fund name: Brevan Howard Multi-Strategy Fund name: GLG European Long Short AUM: $15.4bn Inception date: Not disclosed Master Fund Limited Inception date: 09/2000 Portfolio manager(s): Leda Braga AUM: Not disclosed Inception date: 03/2008 AUM: $2.7bn Strategy: Systematic trend following Portfolio manager: Not disclosed AUM: $4.8bn Portfolio manager: Pierre Lagrange, Simon Asset classes: Not disclosed Strategy: Equity long/short Portfolio manager: N/A Savage, Darren Hodges Domicile: Not disclosed Asset classes: Not disclosed Strategy: Multi-strategy Strategy: Multi-strategy – equity long/short, Domicile: Not disclosed Asset classes: Fixed income, FX, credit, market neutral Fund name: AllBlue commodities Asset classes: Equity Inception date: 09/2005 Fund name: EOS Domicile: Cayman Islands Domicile: Cayman Islands and onshore UCITS AUM: $7.7bn Inception date: Not disclosed Portfolio manager: Mike Platt AUM: Not disclosed Fund name: Brevan Howard Credit Catalyst Fund name: FRM Diversified II Strategy: Multi strategy Portfolio manager: Not disclosed Master Fund Limited Inception date: 01/2004 Asset classes: Not disclosed Strategy: Equity long/short Inception date: 06/2009 AUM: $2.1bn Domicile: Not disclosed Asset classes: Not disclosed AUM: $4.0bn Portfolio manager: Paul le Page Domicile: Not disclosed Portfolio manager: David Warren Strategy: Multi-strategy – low volatility 6 Strategy: Catalyst-driven fundamental Asset classes: Traditional Dedicated managed accounts AUM Fund name: Fixed Income Global Alpha Asset classes: Credit and mortgage trading Domicile: Cayman Islands Not disclosed Inception date: Not disclosed Domicile: Cayman Islands AUM: Not disclosed Fund name: GLG Market Neutral 7a Portfolio manager: Not disclosed Fund name: Brevan Howard Emerging Inception date: 01/1998 UCITS-compliant hedge fund AUM Strategy: Fixed income multi-strategy Markets Master Fund Limited AUM: $910.0m Not disclosed Asset classes: Not disclosed Inception date: 04/2007 Portfolio manager: Steve Roth Domicile: Not disclosed AUM: $2.6bn Strategy: Multi-strategy – arbitrage 7b Portfolio manager: Geraldine Sundstrom Asset classes: Credit and convertibles UCITS-compliant funds Fund name: European Hedge Fund Strategy: Emerging markets macro Domicile: Cayman Islands Not disclosed Inception date: Not disclosed Asset classes: Fixed income, credit, FX AUM: Not disclosed Domicile: Cayman Islands Fund name: AHL Dimension Portfolio manager: Not disclosed Inception date: 07/2006 Strategy: Equity long/short Fund name: Brevan Howard Asia Master AUM: $900.0m (approx.) Asset classes: Not disclosed Fund Limited Portfolio manager: Tim Wong, Nick Granger Domicile: Not disclosed Inception date: 10/2004 Strategy: Multi-strategy quant AUM: $2.0bn Asset classes: Cross asset 6 Portfolio manager: Kaspar Ernst Domicile: Guernsey Dedicated managed accounts AUM Strategy: Global macro, relative value Not disclosed Asset classes: Fixed income, FX 6 Domicile: Cayman Islands Dedicated managed accounts AUM 7a $8.2bn UCITS-compliant hedge fund AUM 6 $4.7bn Dedicated managed accounts AUM 7a $42.0m UCITS-compliant hedge fund AUM 7b $2.6bn UCITS-compliant funds 7a UK Absolute Alpha UCITS-compliant hedge fund AUM 7b European Absolute Return $2.0bn UCITS-compliant funds European Credit Strategies GLG Alpha Select Alternative EDEAR 7b GLG Atlas Macro Alternative Global Absolute Return Bond UCITS-compliant funds GLG EM Currency & Fixed Income Alternative Brevan Howard Investment Fund - Emerging GLG EM Diversified Alternative Markets Local Fixed Income Fund GLG European Alpha Alternative Brevan Howard Investment Fund II - Macro GLG European Equity Alternative FX Fund GLG Financials Alternative GLG North American Equity Alternative KEY 1 Total AUM figure, firm-wide, of all hedge fund assets (i.e., fund and managed account assets, globally) managed by the firm as at 31 March 2013 2 Ranking position in 2012 Europe 50 survey 3 The date the business was founded 4 The names of the founders or current principals of the business, if the founders have retired from the business 5 The names/inception date/AUM figures/investment strategy/asset classes traded/portfolio managers/fund domicile for the largest five hedge funds managed (or fewer if fewer than five managed) 6 Total AUM figure of all hedge fund assets managed in dedicated managed accounts 7a Total AUM figure of all hedge fund assets managed in a UCITS-compliant format 7b The names of those UCITS-compliant funds 2 EUROPE50 05 06 07 08 Winton Capital GAM Holding Brummer and Amundi Management Partners 1 1 1 1 Total AUM (as at 30.06.13) Total AUM (as at 30.06.13) Total AUM (as at 30.06.13) Total AUM (as at 30.06.13) $24.8bn $24.1bn* $16.2bn $12.45bn 2 2 2 2 2012 ranking 2012 ranking 2012 ranking 2012 ranking 4 7 8 10 3 3 3 3 Founded Founded Founded Founded 1997 GAM was founded in 1983. Swiss & Global 1995 2010 launched their first investment fund (as part 4 of Julius Baer group) in 1970. 4 4 Founders/principals Founders/principals Founders/principals David Harding, Anthony Daniell, Tony Fenner- 4 Patrik Brummer, Per Josefsson, Peter Thelin, Laurent Guillet (CEO), Franck Dargent, Leitão, Matthew Beddall, Raj Patel Founders/principals Kent Janér, Svante Elfving, Klaus Jäntti (Deputy CEO), Luc Martin (CIO), Sylvie David M. Solo, Andrew Hanges, Martin Jufer, Dehove (Deputy CIO). 5 Michele Porro, Scott Sullivan, Marco Suter, 5 Hedge fund(s) Craig Walli Hedge fund(s) 5 Fund name: Winton Futures Fund Fund name: Brummer Multi-Strategy Hedge fund(s) Inception date: 10/1997 5 Inception date: 04/2002 Fund name: Amundi Alternatives Jana AUM: $9.7bn Hedge fund(s) AUM: $5.27bn Nirvana Portfolio manager: Systematic Fund name: Absolute Return Bond Strategies Portfolio manager: Klaus Jäntti, Patrik Inception date: 09/2011 (managed account), Strategy: Diversified Inception date: 04/2004 Brummer 04/2007 (reference fund) Asset classes: Futures, options, listed AUM: $15.9bn Strategy: Multi strategy AUM: $303.0m (managed account) equities, fixed income Portfolio manager: Tim Haywood, Daniel Asset classes: Not disclosed Portfolio manager: Barry Rosenstein, Gary Domicile: BVI Sheard, Jack Flaherty Domicile: Sweden Claar Strategy: Unconstrained fixed income Strategy: Event driven US – value catalyst Fund name: Winton Diversified Futures Fund Asset classes: Fixed income and derivatives Fund name: Lynx strategy (US) L.P. Domicile: Luxembourg (SICAV), Cayman Inception date: 05/2000 Asset classes: Equities, credit, commodities Inception date: 07/2012 Islands AUM: $4.88bn Domicile: Dublin (Ireland) AUM: $159.9m Portfolio manager: Svante Bergström, Jonas Portfolio manager: Systematic Fund name: GAM Global Rates and Bengtsson, Martin Sandquist, Anders Holst, Fund name: Amundi Alternatives TPG Axon Strategy: Diversified Discretionary FX Strategy Jesper Sandin Inception date: 01/2012 (managed account), Asset classes: Futures, options, fixed income Inception date: 01/2004 Strategy: Systematic macro 02/2005 (reference fund) Domicile: Delaware, USA AUM: $2.7bn Asset classes: Not disclosed AUM: $240.0m (managed account) Portfolio manager: Adrian Owens Domicile: Sweden, Bermuda Portfolio manager: Dinakar Singh Fund name: Winton Evolution Fund Strategy: Macro managed futures Strategy: Long/short equity – global Inception date: 09/2005 Asset classes: Fixed income and derivatives Fund name: Nektar fundamental long/short fund that invests AUM: $30.0m Domicile: Ireland (UCITS), Cayman Islands Inception date: 01/1998 across the capital structure with an emphasis Portfolio manager: Systematic AUM: $4.38bn on large cap equities Strategy: Diversified Fund name: World Invest/Talentum Portfolio manager: Kent Janér, Thomas Asset classes: Equities, equity derivatives, Asset classes: Futures, options, listed Developed Europe Strategy Andersson, Fredrik Attefall, Martin Larsén, credit, credit derivatives, commodities, FX equities, fixed income Inception date: 07/2002 Kerim Kaskal, Martin Larsén, Patrik
Recommended publications
  • Newsletter - November 2017

    Newsletter - November 2017

    Newsletter - November 2017 In this month’s newsletter: New Stakeholders SBAI in Canada Factor-based investing working group launched Upcoming events New Stakeholders We are thrilled to welcome new additions to the SBAI family: Signatories ARP Americas LLC (USA) Highbridge Capital Management LLC (USA) Polar Asset Management Partners Inc (Canada) SBAI in Canada Over 50 Canadian institutional investors and managers gathered at the annual SBAI roundtable in Montreal. The speakers and panellists explored innovations in investor risk management and factor-based investing. The panel on factor investing and alternative/dynamic beta focussed on: Importance for investors to understand sources of return: Risk premia (investors are compensated for a systematic risk), i.e. asset class risk premia and factor risk premia, Alpha (information edge, behavioural edge, implementation edge), and Arbitrage Key considerations: Not all factors are risk premia, some are “firm characteristics” Data mined factors (with no greater probability of delivering future returns) Self-destruction of certain sources of return (investors arbitrage the exploitable pattern away) Implementation challenges: “Devil in the implementation” – small variations in implementation can result in wide range of outcomes Need for back-testing standards Whether factors can be timed (timing and selection of factors as a source of alpha) 1 In order to further explore this area, the SBAI has established a working group. The institutional risk management panel explored the following topics from the perspective from a corporate and a public pension plan: Approaches to organising the risk function, incl. group wide risk management with specialist risk teams within the alternative investment group. Approaches to building diverse risk teams, incl.
  • APFC Fund Managers

    APFC Fund Managers

    Board of Trustees Annual Meeting September 26-27, 2018 TABLE OF CONTENTS Tab No. Title 1 Agenda 2 Approval of Minutes Memo a) May 23-24, 2018 b) July 24, 2018 3 CEO’s Reports a) Pending Board Matters b) Trustee Education c) Disclosure Report d) Travel e) Due Diligence Log f) Staff Education & Training 4 Communications 5 Financials 6 Cash Flow 7 Monthly Performance Report 8 Strategic and Tactical Moves 9 Investment Management Fee Report 10 FY19 Budget Report a) Capital Project Appropriations Report 11 Chief Investment Officer’s Report 12 Report of Annual Audit Memo a) Presentation: KPMG Annual Audit 13 Callan APFC Performance Review Memo a) Presentation: Callan APFC Performance 14 Risk Overview Memo a) Presentation: Risk Dashboard 15 Asset Class Updates: Public Equites Memo a) Presentation: Public Equities 16 Asset Class Updates: Fixed Income Memo a) Presentation: Fixed Income 1/462 17 Asset Class Updates: Private Equity & Special Opportunities Memo a) Presentation: Private Equity & Special Opportunities 18 Asset Class Updates: Asset Allocation Strategies Memo a) Presentation: Asset Allocation Strategies Review 19 Asset Class Updates: Real Assets Memo a) Presentation: Real Assets: Infrastructure, Special Income, Real Estate, Absolute Return 20 Strategic Plan Review Memo a) Strategic Plan Review 21 FY20 Budget Approval Memo a) Presentation: FY20 Proposed Budget b) FY20 Proposed Budget Request 22 Legislative Requests Memo 23 Investing in Global Real Estate Memo a) Presentation: RCLCO b) Presentation: CBRE c) Presentation: Brookfield 24 Investing
  • Inprs Cafr Fy20 Working Version

    Inprs Cafr Fy20 Working Version

    COMPREHENSIVE ANNUAL FINANCIAL REPORREPORTT 2020 For the FiscalFiscal YearYear EndedEnded JuneJune 30,30, 20202019 INPRS is a component unit and a pension trust fund of the State of Indiana. The Indiana Public Retirement System is a component Prepared through the joint efforts of INPRS’s team members. unit and a pension trust fund of the State of Indiana. Available online at www.in.gov/inprs COMPREHENSIVE ANNUAL FINANCIAL REPORT 2020 For the Fiscal Year Ended June 30, 2020 INPRS is a component unit and a pension trust fund of the State of Indiana. INPRS is a trust and an independent body corporate and politic. The system is not a department or agency of the state, but is an independent instrumentality exercising essential governmental functions (IC 5-10.5-2-3). FUNDS MANAGED BY INPRS ABBREVIATIONS USED Defined Benefit DB Fund 1. Public Employees’ Defined Benefit Account PERF DB 2. Teachers’ Pre-1996 Defined Benefit Account TRF Pre-’96 DB 3. Teachers’ 1996 Defined Benefit Account TRF ’96 DB 4. 1977 Police Officers’ and Firefighters’ Retirement Fund ’77 Fund 5. Judges’ Retirement System JRS 6. Excise, Gaming and Conservation Officers’ Retirement Fund EG&C 7. Prosecuting Attorneys’ Retirement Fund PARF 8. Legislators’ Defined Benefit Fund LE DB Defined Contribution DC Fund 9. Public Employees’ Defined Contribution Account PERF DC 10. My Choice: Retirement Savings Plan for Public Employees PERF MC DC 11. Teachers’ Defined Contribution Account TRF DC 12. My Choice: Retirement Savings Plan for Teachers TRF MC DC 13. Legislators’ Defined Contribution Fund LE DC Other Postemployement Benefit OPEB Fund 14.
  • Why Convertible Arbitrage Is a True Market Neutral Strategy

    Why Convertible Arbitrage Is a True Market Neutral Strategy

    WHY CONVERTIBLE ARBITRAGE IS A TRUE MARKET NEUTRAL STRATEGY How does convertible arbitrage perform in different markets? Transcript of a video recorded on November 30, 2017. Eli Pars, Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Senior Co-PM, explains that convertible arbitrage has performed well in most equity market environments—and that the strategy has done its best in declining equity markets historically. ELI PARS The nice thing is it tends to perform well in most equity market environments. In a rising market, you benefit from Co-CIO, Head of the net long, the net long embedded in the hedge. So you can make a little bit of money there and you can trade Alternative Strategies and Co-Head of around the volatility. It tends to do a little better in more volatile markets. Convertible Strategies, Senior Co-PM The interesting thing is, historically, it’s often done its best in declining equity markets. Now, sometimes it depends on the nature of the equity market and the nature of the bear market, but if you look back to the early 2000s when the equity market sold off materially, convert arb did really well. Investors made money, made significant money in a lot of cases, when the equity market was down. That wasn’t the case in 2008 when it was more of a financial crisis, but it’s kind of helpful for investors as they look forward and think where the next bear market might be. If to the extent you’re in the camp that you think that ultimately it’ll be an over-valued equity market that corrects similar to what we had in the early 2000s, that could quite possibly be a very nice environment for convert arb.
  • 2017 Financial Services Industry Outlook

    2017 Financial Services Industry Outlook

    NEW YORK 535 Madison Avenue, 19th Floor New York, NY 10022 +1 212 207 1000 SAN FRANCISCO One Market Street, Spear Tower, Suite 3600 San Francisco, CA 94105 +1 415 293 8426 DENVER 999 Eighteenth Street, Suite 3000 2017 Denver, CO 80202 FINANCIAL SERVICES +1 303 893 2899 INDUSTRY REVIEW MEMBER, FINRA / SIPC SYDNEY Level 2, 9 Castlereagh Street Sydney, NSW, 2000 +61 419 460 509 BERKSHIRE CAPITAL SECURITIES LLC (ARBN 146 206 859) IS A LIMITED LIABILITY COMPANY INCORPORATED IN THE UNITED STATES AND REGISTERED AS A FOREIGN COMPANY IN AUSTRALIA UNDER THE CORPORATIONS ACT 2001. BERKSHIRE CAPITAL IS EXEMPT FROM THE REQUIREMENTS TO HOLD AN AUSTRALIAN FINANCIAL SERVICES LICENCE UNDER THE AUSTRALIAN CORPORATIONS ACT IN RESPECT OF THE FINANCIAL SERVICES IT PROVIDES. BERKSHIRE CAPITAL IS REGULATED BY THE SEC UNDER US LAWS, WHICH DIFFER FROM AUSTRALIAN LAWS. LONDON 11 Haymarket, 2nd Floor London, SW1Y 4BP United Kingdom +44 20 7828 2828 BERKSHIRE CAPITAL SECURITIES LIMITED IS AUTHORISED AND REGULATED BY THE FINANCIAL CONDUCT AUTHORITY (REGISTRATION NUMBER 188637). www.berkcap.com CONTENTS ABOUT BERKSHIRE CAPITAL Summary 1 Berkshire Capital is an independent employee-owned investment bank specializing in M&A in the financial services sector. With more completed transactions in this space than any Traditional Investment Management 6 other investment bank, we help clients find successful, long-lasting partnerships. Wealth Management 9 Founded in 1983, Berkshire Capital is headquartered in New York with partners located in Cross Border 13 London, Sydney, San Francisco, Denver and Philadelphia. Our partners have been with the firm an average of 14 years. We are recognized as a leading expert in the asset management, Real Estate 17 wealth management, alternatives, real estate and broker/dealer industries.
  • 40Actplussm Application for Hedge Funds and Private

    40Actplussm Application for Hedge Funds and Private

    Executive Risk Indemnity Inc. Administrative Offices/Mailing Address: Home Office 82 Hopmeadow Street Wilmington, Delaware 19805-1297 Simsbury, Connecticut 06070-7683 40ACTPLUSSM APPLICATION FOR HEDGE FUNDS AND PRIVATE INVESTMENT FUNDS NOTICE: THE POLICY FOR WHICH THIS APPLICATION IS MADE APPLIES, SUBJECT TO ITS TERMS, ONLY TO “CLAIMS” FIRST MADE DURING THE “POLICY PERIOD,” OR ANY EXTENDED REPORTING PERIOD. THE LIMIT OF LIABILITY AVAILABLE TO PAY DAMAGES OR SETTLEMENTS WILL BE REDUCED, AND MAY BE EXHAUSTED, BY “DEFENSE EXPENSES,” AND “DEFENSE EXPENSES” WILL BE APPLIED AGAINST THE RETENTION. THE UNDERWRITER HAS NO DUTY UNDER THIS POLICY TO DEFEND ANY “CLAIM.” ACCEPTANCE OR RECEIPT BY THE UNDERWRITER OF THIS APPLICATION WILL NOT OBLIGATE THE UNDERWRITER TO ISSUE ANY POLICY OF INSURANCE, NOR PROVIDE REQUESTED COVERAGE FOR ALL ENTITIES LISTED IN THIS APPLICATION OR IN ANY SCHEDULE ATTACHED HERETO. PLEASE READ THE ENTIRE APPLICATION CAREFULLY BEFORE SIGNING. 1. (a) Name of Applicant: Business Address: City: State: ZIP Code: Web site Internet address (if applicable): (b) Name and title of the officer at the principal sponsor or organization for the Applicant designated as the representative to receive all notices from the Underwriter on behalf of all person(s) and entity(ies) proposed for this insurance: 2. (a) SCHEDULE OF PRIVATE FUNDS (Please attach separate sheet if necessary.) Name of Type Total Total General Partner’s Minimum 3(c)7 Fund Structure Date Private (see chart Assets Equity Equity Invest- (Yes/No) (LP, LLC, Opened Fund below) Market ($mm) ($mm) ment etc.) Value ($mm) ($mm) TYPES OF PRIVATE FUNDS Market Neutral Distressed Securities Market Timing Funds of Funds Aggressive Growth Short Selling Emerging Markets Global Macro Merger Arbitrage Income Convertible Arbitrage Other: Form C27429 (08/2012) 1 Catalog No.
  • Securitization & Hedge Funds

    Securitization & Hedge Funds

    SECURITIZATION & HEDGE FUNDS: COLLATERALIZED FUND OBLIGATIONS SECURITIZATION & HEDGE FUNDS: CREATING A MORE EFFICIENT MARKET BY CLARK CHENG, CFA Intangis Funds AUGUST 6, 2002 INTANGIS PAGE 1 SECURITIZATION & HEDGE FUNDS: COLLATERALIZED FUND OBLIGATIONS TABLE OF CONTENTS INTRODUCTION........................................................................................................................................ 3 PROBLEM.................................................................................................................................................... 4 SOLUTION................................................................................................................................................... 5 SECURITIZATION..................................................................................................................................... 5 CASH-FLOW TRANSACTIONS............................................................................................................... 6 MARKET VALUE TRANSACTIONS.......................................................................................................8 ARBITRAGE................................................................................................................................................ 8 FINANCIAL ENGINEERING.................................................................................................................... 8 TRANSPARENCY......................................................................................................................................
  • Dynamic Strategic Arbitrage∗

    Dynamic Strategic Arbitrage∗

    Dynamic Strategic Arbitrage∗ Vincent Fardeauy Frankfurt School of Finance and Managment This version: June 11, 2014 Abstract Asset prices do not adjust instantaneously following uninformative demand or supply shocks. This paper offers a theory based on arbitrageurs' price impact to explain these slow-moving cap- ital dynamics. Arbitrageurs recognizing their price impact break up trades, leading to gradual price adjustments. When shocks are anticipated, prices exhibit a V-shaped pattern, with a peak at the realization of the shocks. The dynamics of market depth and price adjustments depend on the degree of competition between arbitrageurs. When shocks are uncertain, price dynamics depend on the interaction between arbitrageurs' competition and the total risk-bearing capacity of the market. JEL codes: G12, G20, L12; Keywords: Strategic arbitrage, liquidity, price impact, limits of arbitrage. ∗I benefited from comments from Miguel Ant´on,Bruno Biais, Maria-Cecilia Bustamante, Amil Dasgupta, Michael Gordy, Martin Oehmke (discussant), Matt Pritsker, Jean-Charles Rochet, Yuki Sato, Kostas Zachariadis, Jean-Pierre Zigrand and seminar and conference participants at LSE, INSEAD, FRB, the University of Zurich and the 2013 AFA meetings in San Diego. I am grateful to Dimitri Vayanos and Denis Gromb for supervision and insights. Jay Im provided excellent research assistance. This paper is the first part of a paper previously circulated as \Strategic Arbitrage with Entry". All remaining errors are my own. yDepartment of Finance, Frankfurt School of Finance and Management, Sonnemannstrasse 9-11, 60314 Frankfurt am Main, Germany. Email: [email protected]. 1 1 Introduction Empirical evidence shows that prices recover slowly from demand or supply shocks that are unre- lated to future earnings and that these patterns are due to imperfections in the supply of capital.
  • Why Convertible Arbitrage Makes Sense in 2021

    Why Convertible Arbitrage Makes Sense in 2021

    For UBS marketing purposes Convertible arbitrage as a hedge fund strategy should continue to work well in 2021. (Keystone) Investment strategies Why convertible arbitrage makes sense in 2021 19 January 2021, 8:52 pm CET, written by UBS Editorial Team The current market environment is conducive for convertible arbitrage hedge funds with elevated new issuance, attractive equity volatility levels and convertible valuations all likely to support performance in 2021. Investors should consider allocating to the strategy within a diversified hedge fund portfolio. The global coronavirus pandemic resulted in significant equity market drawdowns in March last year, followed by an almost unparalleled recovery over the next few months. On balance, 2020 was a good year for hedge funds focusing on convertible arbitrage strategies which returned 12.1% for the year, according to HFR data. We believe that all drivers remain in place for a solid performance in 2021. And while current market conditions resemble those after the great financial crisis, convertible arbitrage today is a far less crowded strategy with more moderate leverage levels. The market structure is also more balanced between hedge funds and long only funds, and has after a long period of outflows, recently witnessed renewed investor interest. So we believe there are a number of reasons why convertible arbitrage remains attractive for investors in 2021 based on the following assumptions: Convertible arbitrage traditionally performs well in recovery phases. Historically, convertible arbitrage funds have generated their best returns during periods of economic recovery and expansion. Improving risk sentiment, tightening credit spreads, and attractively priced new issues are key contributors to returns in such periods.
  • Optimal Convergence Trading with Unobservable Pricing Errors

    Optimal Convergence Trading with Unobservable Pricing Errors

    OPTIMAL CONVERGENCE TRADING WITH UNOBSERVABLE PRICING ERRORS SÜHAN ALTAY, KATIA COLANERI, AND ZEHRA EKSI Abstract. We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultane- ously buying relatively underpriced assets and selling short relatively overpriced ones with the expectation that their prices converge in the future. We build on the model of Liu and Timmermann [22] and extend it by incorporating unobservable Markov-modulated pricing errors into the price dynamics of two co-integrated assets. We characterize the optimal portfolio strategies in full and partial information settings both under the assumption of unrestricted and beta-neutral strategies. By using the innovations approach, we provide the filtering equation that is essential for solving the optimization problem under partial information. Finally, in order to illustrate the model capabilities, we provide an example with a two-state Markov chain. 1. Introduction Convergence-type trading strategies have become one of the most popular trading strate- gies that are used to capitalize on market inefficiencies, or deviations from “equilibrium,” especially with the rapid developments in algorithmic and high-frequency trading. For a typical convergence trade, temporary mispricing is exploited by simultaneously buying rel- atively underpriced assets and selling short relatively overpriced assets in anticipation that at some future date their prices will have become closer. Thus one can profit by the extent of the convergence. A prime example of a convergence trade is a pairs trading strategy that involves a long position and a short position in a pair of similar stocks that have moved together historically and hence an investor can profit from the relative value trade arising arXiv:1910.01438v2 [q-fin.PM] 7 Oct 2019 from the cointegration between asset price dynamics involved in the trade.
  • Optimal Convergence Trade Strategies*

    Optimal Convergence Trade Strategies*

    Optimal Convergence Trade Strategies∗ Jun Liu† Allan Timmermann‡ UC San Diego and SAIF UC San Diego and CREATES October4,2012 Abstract Convergence trades exploit temporary mispricing by simultaneously buying relatively un- derpriced assets and selling short relatively overpriced assets. This paper studies optimal con- vergence trades under both recurring and non-recurring arbitrage opportunities represented by continuing and ‘stopped’ cointegrated price processes and considers both fixed and stochastic (Poisson) horizons. We demonstrate that conventional long-short delta neutral strategies are generally suboptimal and show that it can be optimal to simultaneously go long (or short) in two mispriced assets. We also find that the optimal portfolio holdings critically depend on whether the risky asset position is liquidated when prices converge. Our theoretical results are illustrated using parameters estimated on pairs of Chinese bank shares that are traded on both the Hong Kong and China stock exchanges. We find that the optimal convergence trade strategy can yield economically large gains compared to a delta neutral strategy. Key words: convergence trades; risky arbitrage; delta neutrality; optimal portfolio choice ∗The paper was previously circulated under the title Optimal Arbitrage Strategies. We thank the Editor, Pietro Veronesi, and an anonymous referee for detailed and constructive comments on the paper. We also thank Alberto Jurij Plazzi, Jun Pan, seminar participants at the CREATES workshop on Dynamic Asset Allocation, Blackrock, Shanghai Advanced Institute of Finance, and Remin University of China for helpful discussions and comments. Antonio Gargano provided excellent research assistance. Timmermann acknowledges support from CREATES, funded by the Danish National Research Foundation. †UCSD and Shanghai Advanced Institute of Finance (SAIF).
  • In the Hedge Fund

    In the Hedge Fund

    P2BW13100B-0-W01100-1--------XA EE,EU,MW,NL,SW,WE 50 BARRON'S May11, 2009 May 11, 2009 BARRON'S 11 BLACK The Hedge Fund 100 Despite a horrible year in most global markets, these 100 funds all have three-year annualized returns that run to solid double digits; a majority were up in 2008. Remarkably, one firm, Paulson, has two funds in the top Index to Companies four, No. 1 Paulson Advantage Plus (event-driven) and No. 4 Paulson Enhanced (merger arbitrage). In second place is Balestra Capital Partners, a global macro fund, third is Vision Opportunity Capital, a merger arbitrage fund, and fifth was Quality Capital Management-Global Diversified. Strong performance in weak markets is hedge funds’ most basic appeal and these funds did nothing to dispel that idea last year. Our index lists significant references to companies mentioned in stories and columns, plus Research Reports and the Insider Transaction table. The references are to the first page of the item in which the company is mentioned. Fund 3-Year 2008 Total Firm A Rank Fund Assets (mil) Fund Strategy Annualized Returns Returns Company Name / Location Assets (mil) Abbott Labs.53. 05/11/2009 Abercrombie & Fitch.17. H Hain Celestial Group.M15. 1. Paulson Advantage Plus $2,171 Event Driven 62.67% 37.80% Paulson / New York $30,000 Amazon.com.M5. Hanger Orthopedic.56. Ambac Financial.17. Hansen Natural.23. 2. Balestra Capital Partners 800 Global Macro 61.24 45.78 Balestra Capital / New York 990 American Axle.40. Harley Davidson.58. 3. Vision Opportunity Capital 357 Relative Value 61.13 6.96 Vision Capital / New York 733 American Electric Power.43.