Old Mutual Asset Managers (OMAM) is launching a market neutral statistical arbitrage fund, which will trade liquid stocks in UK and developed European markets.
The Old Mutual European Statistical Arbitrage Fund is expected to be launched in May 2006 and will be managed by OMAM's Quantitative Strategies team, including statistical arbitrage specialists, Paul Simpson and John Dow. Simpson and Dow joined OMAM in January 2006 from Millennium Capital Management, having previously worked together at other banks and investment houses.
The fund will leverage off the expertise and proven skills of the Quantitative Strategies team, headed by Eoin Murray, including the team's in-depth research and portfolio management resources. The team already manages OMAM's global equity market neutral strategy, which has now closed with assets of USD 1.7 billion.
The new fund will be managed using highly developed quantitative techniques which exploit short term price anomalies and will use proprietary execution technology usually only available at leading investment banks. The portfolio will typically contain between 200 and 250 stocks, with daily portfolio turnover of up to 20%.
Statistical arbitrage is an important part of the hedge fund universe, and is a strategy with attractive risk and return characteristics. However, the recent lack of dispersion in equity markets has limited the opportunity to add value and only the most sophisticated programmes have performed consistently well. OMAM believes that Simpson and Dow have delivered consistent performance through a variety of market conditions, and that their expertise and disciplined investment approach, combined with the Quantitative Strategies team's strength of resource and advanced execution technology, means that they are ideally placed to continue to deliver.
"I'm delighted that we're launching this fund, which represents another important development in our hedge fund platform,' says Murray, head of quantitative strategies at OMAM. 'With our global equity market neutral programme having closed, Old Mutual European Statistical Arbitrage Fund represents an exciting new alpha generation opportunity and I am confident that our new fund will enjoy great success. Paul and John have many years of experience of statistical arbitrage strategies and I look forward to them replicating their past successes at OMAM."
Old Mutual European Statistical Arbitrage Fund will be Cayman-domiciled, Dublin-listed and will have sterling, dollar and euro share classes. The minimum investment will be 100,000 of each currency and will carry an annual management fee of 1.5%, together with a performance fee of 20%.
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