The fund is managed by Harold Heuschmidt, with the risk management process developed by Professor Harry Kat, formerly Director of the Alternative Investment Research Centre at the Cass Business School in London, a noted theorist on hedge fund performance replication. This fund originally existed in an offshore format, and was first launched in 2004. It has daily liquidity and an attractive Sharpe ratio, and given that the entire strategy centres on highly liquid futures contracts like the SMI and the five year US Treasury note, this is liquidity it can deliver on. The fund is systematically managed, and its entire process is based on the premise that diversification of risk on an equal allocation basis is not true diversification. “If you think in risk terms rather than in money terms, you have substantially higher efficiencies,” explains Heuschmidt.
The fund’s underlying assets must be able to deliver risk premia: this means no currencies or credit. It targets volatility, with both a 7 vol and 12 vol version available. The key factor is that the assets it holds must be uncorrelated to each other. “If you combine uncorrelated assets, the Sharpe doubles,” says Heuschmidt. “There are very few other ways you can get that.”
The fund can unwind quickly, which means the 12 vol variant can go to cash with a maximum 7% loss, while the 7 vol will exit at 4%.
The alpha part of the portfolio (the tactical overlay) runs off five proprietary and three public indicators that are used to augment the 80% of the return that stems from the fund’s beta exposure. The risk management system, designed by Kat, does not adjust the allocations, simply the degree of exposure.
About the managers
Harold Heuschmidt formerly worked in the equities and equity derivatives departments at CS First Boston and Morgan Stanley in London. Professor Harry Kat has worked with a number of banking organisations, specialising in derivatives, before joining Cass Business School.
Key details
Fund name AC Statistical Value Market Neutral 7 Vol Fund
Management company Aquila Capital Concepts
Promoter Aquila Capital
Status Open
Inception date 5th February 2008
Strategy
Kind of fund Hedge Fund
Strategy group Relative Value
Sub strategy Systematic
Region Global Developed
Asset classes Equities, Currencies, Interest rates, Sovereign bonds, Commodities
Particulars
Currency EUR
Share class name Class EUR A
ISIN LU0326194015
Bloomberg ticker APMKNTA LX
Domicile Luxembourg
Listing Luxembourg Stock Exchange
Fund structure SICAV
NAV calculation Daily
Liquidity Daily
Notice (banking days) 1
Minimum investment 50,000
Min. investment currency EUR
Fees
Entry fee 5%
Exit fee 0%
Management fee 1.6%
Performance fee 15%
High water mark Yes
Hurdle rate No
Analysis
Current YTD 6.83%
Annualised return 6.86%
Annualised volatility 5.38%
Sharpe ratio (2%) 0.89
Correlation to S&P 500 5.50%
Correlation to iBoxx 3.77%
Service providers
Administrator HSBC Trinkaus & Burkhardt
Custodian HSBC Trinkaus & Burkhardt
Auditor Ernst & Young
