36 South Capital Advisors LLP on riskifondide haldusfirma, kes suutis suure majanduskriisi eel märgata ebaproportsionaalsusi, ennustada volatiilsust ja neist maksimaalselt kasu lõigata. Nende Black Swan Fund, mille keskseks kontseptsiooniks oli radikaalsete sündmuste ilmnemise pealt teenimine, tootis 234% umbes pooleteise aasta jooksul. Meeskond on taaskord seisukohal, et aeg kaitsmaks klientide vara äärmiselt ebatõenäoliste sündmuste vastu on käes ning tõstetakse kapitali uue kõrge riskiga fondi loomiseks, mis kannab nime Black Eyrar Fund. Kokkuvõtvalt on uue fondi strateegia soetada pikaajalisi rahast väljas (out-of-the-money) optsioone kõrgema riskiga alusvarale. Fondi investeerimise teooria baseerub enamjaolt Nassim Nicholas Taleb ideoloogial ja kvantitatiivsetel mudelitel. Riskifondi kaasasutaja Jerry Haworth’i sõnul on optsioonihinnad langenud just sellistele tasemetele, mis soodustavad riskifondi loomist.
36 South Capital Advisors LLP, which closed its Black Swan Fund after it gained 234 percent in 2008, plans a new fund to replicate a strategy that seeks to profit from unforeseen high-impact events.
The London-based hedge fund plans to start the Black Eyrar Fund within the next three months, said Jerry Haworth, co- founder of 36 South. The fund will buy long-dated options it considers cheap in global currency, fixed-income, equities and commodity markets, betting that rare and unforeseen events will generate unusually large profits, Haworth said in an interview.
Option prices soared on concerns that Japan’s nuclear crisis after the nation’s strongest earthquake, and uprisings in the Middle East and northern Africa will restrain global growth, pushing the Standard & Poor’s 500 Index down the most in four months. The crisis in Japan had a “neutral” impact on 36 South’s funds, Haworth said.
“It wasn’t big enough for all the correlations across asset classes, the volatility of all asset classes, to rise in concert but it was a risk aversion event,” said Haworth, who is based in London. “It certainly wasn’t a global black swan event. It didn’t contaminate all the financial markets, but certainly it remains a black swan event for Japan.”
“Option prices have come back down to the point where we believe it is worthwhile starting a fund,” said Haworth.
Similar to the firm’s Black Swan Fund, which bet on risk- aversion events, the Black Eyrar Fund will wager on a decline in equity and commodity prices, interest rates and increased currency volatility, Haworth said. Eyrar is the collective noun for swans.
The firm seeks to raise money for the new fund from mainly family offices, fund of funds and ultra-high-net-worth individuals, he said.
36 South closed the Black Swan Fund in 2009 and returned money to investors after profiting from the global markets rout in 2008.
The funds, whose names refer to a theory developed by Nassim Nicholas Taleb, a professor of risk engineering at New York University, will seek to protect client investments against “black swans,” those highly improbable events that can cause havoc.