Maestro Capital Management, the Singapore-based alternative investment manager, has launched its first fund, the Global Maestro Fund. The Cayman Islands-registered fund, which began trading on May 23, targets a standard deviation of 10% by trading a diverse set of global futures and currency markets; annual returns are expected to average 20%. Maestro has started trading with initial assets of $12m in the fund and managed accounts.
Separately, Maestro has sold 20% of its equity to a consortium of investors led by Britain's Rowland Capital, the investment and trading arm of the Rowland family. Details of the transaction were not forthcoming, although Rowland have committed over $20 million of investment capital in Maestro's trading strategy.
Maestro's strategy, developed over the last two years, employs a proprietary methodology that measures the trends in observed prices to generate buy and sell signals. Nick Delf, managing director, explains: "Our system measures trend strength and can differentiate between 'noise' and bona-fide trends to accurately determine turning points in prices."
The managers have identified an investable universe covering all major asset classes with over 100 markets based on liquidity, amount of historical data, and execution costs. The historical trending attributes of these markets indicate how successfully the system will be trading them; trading capital is then allocated accordingly. "Simply put, those markets that have the greatest propensity to trend get the largest allocation, while others may not be allocated to at all," says Delf. "Clearly the number of markets we trade is largely determined by assets under management, but we ensure that the portfolio is adequately diversified at all times." At $12 million, Delf says he would expect around 30 different markets to be traded. However, the fund will not immediately invest in that number but will only invest once the trading system has generated an entry signal.
The rules-based strategy is entirely systematic and computer driven, and is applied consistently across markets without the need for optimisation. It is designed to produce steady returns at moderately low volatility in all manner of trading environments, with low correlations to traditional investments such as equities or bonds.
Citco Fund Services is the administrator, Ernst & Young is the auditor and Fimat is the principal broker. Maestro is also discussing adding CSFB as a broker. The minimum investment in the fund is $50,000, down from an originally anticipated $100,000, with a 2/20 fee structure.