Capital Fund Management is to launch a systematic equity trading program called the Ventus Fund. ...
Capital Fund Management is to launch a systematic equity trading program called the Ventus Fund. The long/short fund will hold an equal amount of trades on each side and will follow a statistical arbitrage strategy, writes Dylan Emery.
The aim of the product is to give investors returns uncorrelated to equity benchmarks while also attempting to remain uncorrelated in comparison to the various economic sectors such as energy, technology and basic materials.
Trading is purely systematic, based solely on historical pricing. Long and short positions will be put on and reduced gradually, with an average turnover of one month. The portfolio will hold an equal amount of European and US stocks, while trying to maintain zero beta in both. It also aims to be dollar neutral across 10 different industrial sectors.
Capital aims to return 20% annually with a 12% volatility in the standard leverage version.
The universe of possible stocks for the fund is an 800-strong list taken from indices around the world. US companies are taken from the NYSE, NASDAQ and AMEX, whereas in Europe, only UK, German, French, Dutch, Italian, Swedish, Spanish and Belgian-listed companies will be looked at.
All stocks must have a market cap greater than US$1bn and a daily turnover of US$1m.
The standard leverage will be 2+2, that is to say that for every dollar in single leverage, the fund will be long $2 and short $2. There will be an option to join a 4+4 program.
The fund will exist in two currencies: US dollars and euros, each in two leveraged forms, making a total of four sub funds. The annual charge is 1.5% with a 20% performance fee.
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