SGAM AI Global Volatility Fund up 6.17% YTD....

The Irish-domiciled fund returned 0.86% in August, 6.17% YTD, with 2.47% volatility, with annualised returns of 5.62% since its Jan-06 inception, compared to HFRX Relative Value Index’s 1.77% return.

The objectives of the SGAM AI Global Volatility Fund are capital preservation, absolute performances (15%) and a low annual volatility (8%). The fund uses options in three different asset classes: Equity Indexes, Interest rates futures and major currencies markets to detect arbitrage opportunities between, in particular, implied volatility and historical volatility. It identifies the market behaviour for each asset class and uses a combination of quantitative signals to determine, for each underlying, the optimal position (volatility buyer or seller).

The managers believe the performance was due to their strong quantitative research, and diligent application of strategy combined with a disciplined process. With equity volatilities near the lows for the year they open the month on a cautious basis and look to rebuild their core positions slowly. SGAM manages a total of $157.47m. SGAM Alternative Investments.

Source:
SGAM AI Global Volatility Fund up 6.17% YTD....