October 22, 2020

Old Park lines up Cayman roll-out for managed futures strategy


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logoBy Bruno Pannetier From Hedge Fund Intelligence

Old Park Capital,a London-based systematic trading firm,is launching its first pooled hedge fund vehicle since establishing itself in May 2009.

The firm,which is led by founder and CIO Bruno Pannetier, is awaiting final authorisation from the UK’s Financial Conduct Authority before launching a Cayman-domiciled fund structure for its successful short-term trading CTA strategy – which until now has been made available only via managed accounts.

The Maestro Fund is expected to launch imminently, with initial commitments of around $25 million from two clients.

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From Old Park Capital

The Maestro Managed Futures Strategy is a systematic trading programme that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones.

More specifically, the strategy aims at exploiting the opportunities created by the extended trading session for futures contracts, i.e. the fact that futures contracts trade during a longer time period of the day than the underlying markets. For example, EuroStoxx Futures trade on Eurex from 8:00 am CET to 10:00 pm CET whereas the underlying European cash equity markets trade only from 9:00 am CET to 5:30 pm CET.

When both the futures and the underlying market trade, the futures price is guided by the behaviour of the underlying market. But after the close of the underlying market, the futures is “orphan”, i.e. trades without the informational support of the underlying market. The futures may then get carried away by external factors such as markets of other regions, i.e. the futures may experience a price deviation that may not be in line with the valuation of the underlying market in absence of significant news.

Maestro exploits the fact that in absence of significant news the futures will mean-revert back to the valuation level of the underlying market when the latter re-opens the following day.

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