SSARIS: How crisis alpha / divergent strategies help produce absolute return

Описание: Subscribe to this channel:    / opalesquetv  
Wilton, CT, based SSARIS Advisors is a manager of absolute return strategies, including both internal and external multi-strategy products, for qualified eligible investors. The firm manages approximately $2.5 billion for investors in the US, Asia and Europe as the alternative investment strategies platform of State Street Global Advisors, a subsidiary of State Street Corporation.

The SSARIS philosophy is based on the belief that investment strategies can be organized into two categories - convergent and divergent - and that consistent absolute returns may best be achieved by combining these two distinct types of investment style.

Convergent strategies tend to perform best in rational markets, and work when prices are driven by fundamentals. This style includes long only, long/short and arbitrage strategies. Divergent strategies tend to perform best in stressed markets, when fundamentals are largely ignored. Strategies include discretionary and systematic (trend-following and momentum based) global macro strategies. These so-called 'long volatility' strategies tend to be negatively correlated to other asset classes as well as other absolute return styles. The goal of combining convergent and divergent strategies is to achieve absolute returns regardless of the market environment. The target result is lower volatility, with strong potential for attractive risk-adjusted returns.

In this Opalesque.TV Backstage video, Paul Lucek speaks about:
Applying statistical genetics algorithms to financial markets
Most hedge fund strategies are based on convergence, making them vulnerable to left tail risk
What are divergent strategies and how do they work?
How much assets should be dedicated to divergent strategies?
How to diversify within divergent strategies?
The importance to maintain "pure divergence"

Paul R. Lucek is Director of Research, and a Senior Portfolio Manager, and a member of the Hedge Fund Investment Committee at SSARIS Advisors, LLC. Mr. Lucek's responsibilities include development and improvement of quantitative investment strategies including trading systems, portfolio allocation and risk control.

Prior to joining SSARIS, Mr. Lucek developed quantitative algorithms for trading stock index futures, and in 1996 he co-founded SITE Capital Management LLC, a hedge fund manager, CTA and CPO. While at SITE, Mr. Lucek specialized in trading both directional and delta-neutral strategies using stock index futures, options and stock baskets. Mr. Lucek made the transition to money management from the M.D./Ph.D. program at the Columbia University, College of Physicians and Surgeons, where, as a researcher funded by the Human Genome Project, he pioneered the use of neural networks in the analysis of complex genetic inheritance in humans. He has earned both Bachelor's and Master's degrees in Biology from Harvard University, and a Master's degree in Genetics from Columbia University.

SSARIS' executive management has a long history of managing absolute return strategies and are considered pioneers of an absolute return investment approach which has been successful in both benign and stressed market environments dating back to 1983. The team has worked together for more than 25 years.