London-based investment management consultancy Laven Partners has announced that the Laven Funds Global Systematic ST SPC Fund, a systematic short-term high-frequency strategy that invests
London-based investment management consultancy Laven Partners has announced that the Laven Funds Global Systematic ST SPC Fund, a systematic short-term high-frequency strategy that invests in very liquid futures, has returned 8.07 per cent over the first eight months of this year, compared with 3.40 per cent for the Newedge CTA index over the same period.
The Global Systematic ST SPC Fund aims to generate returns from market inefficiencies across stock, bond and currency markets. The strategy is driven by more than 200 statistical arbitrage models that are two-thirds trend following and one-third contrarian.
Laven Partners says the fund has seen steady inflows since its launch and is on track to meet its target of USD100m in assets under management over the next nine months. The fund targets an annualised return of 24 per cent with a volatility of 10 per cent.
The fund provides investors with monthly liquidity and carries a minimum investment of USD100,000 or its equivalent in euros or sterling, significantly lower than many hedge funds.
There is an annual management fee of 1.50 per cent and a performance fee of 20 per cent based on a high-water mark. However, up to October 31, the annual management fee is reduced to zero while the performance fee stands at 30 per cent.
The Laven Funds Global Systematic ST SPC Fund is managed by Laven Partners Asset Management, a British Virgin Islands-domiciled company, while John Locke Investments, a French investment management company, acts as the fund’s advisor. Since its launch in 2001, John Locke Investments has specialised in CTA strategies, with a focus on both short-term and long-term systematic strategies, and now manages more than USD400m.
‘The investment team is dedicated to continuous research and the development of its trading models, helping us stay ahead of the competition,’ says Jérôme de Lavenère Lussan, a director of Laven Partners Asset Management.
‘There is also a strong emphasise on risk management, which will enable us to maintain low annualised volatility. The key to the success of this product is found in the mix between Laven Partners’ strong operational structuring and risk mitigation processes and John Locke’s trading expertise.’
Francois Bonnin, managing director of John Locke Investments, says: ‘Our outlook for systematic strategies in general is very positive. Our long-term systems development and research has enabled us to develop a short-term trading programme that provides investors with a new source of alpha.
‘We will continue to focus on research, as this is the only true generator of outperformance. We are very happy to have Laven Partners on board, helping us to focus on the rest of the work involved, including compliance and operational procedures.’
