In categories: Hedge Funds

CORONATION MULTI-STRATEGY ARBITRAGE

Investment objective

The Coronation Multi-Strategy Arbitrage Hedge Fund makes use of arbitrage strategies in the pursuit of attractive risk-adjusted returns, independent of general market direction. The fund is expected to have low volatility with a very low correlation to equity markets. Stock-picking is based on fundamental in-house research. Factor-based and statistical arbitrage models are used solely for screening purposes. Active use of derivatives is applied to reduce risk and implement views efficiently. The risk profile of the fund is expected to be low due to its low net equity exposure and focus on arbitrage-related strategies. The portfolio is well positioned to take advantage of low probability/ high payout events and will thus generally be long volatility through the options market. The fund’s target return is cash plus 5%. The objective is to achieve this return with low risk, providing attractive risk-adjusted returns through a low fund standard deviation.

Investment parameters

Net exposure is capped at 30%, of which 15% represents true directional exposure in the alpha strategy. Gross exposure is limited to 300%, allowing the fund to benefit from arbitrage-related strategies that do not require significant capital. The gross exposure is calculated by total value of longs plus total absolute value of the shorts as percentage of the market value of the fund. If derivatives are used in the portfolio, then its true effective exposure should be incorporated when calculating net and gross exposure. The Portfolio is precluded from raising any debt funding over and above that achieved in terms of the long/short process. There are mandated limits per strategy. The fund may invest in unitised vehicles, in particular money market investment and exposure to small capitalisation shares may be achieved in this way. Investment in derivatives is permitted for efficient investment management of the fund.

coronation-arbitrage-team

Investment team

We operate as an integrated global team headquartered in Cape Town, South Africa, comprising 54 investment professionals. The fund is managed by Neville Chester (Senior Portfolio Manager) and Nic Stein (Analyst & Portfolio Manager), who have combined investment experience of 42 years.

 

Investment terms

Target return: Cash +5%
Fund open: Yes
Minimum investment: R5 million
Annual Management & Performance fees: Annual Management and Performance fees are agreed and levied outside of the Fund
Subscription: Monthly
Redemption: One month with 30 days notice
Retail or qualified product: QIF

Strategy

Fund category: South African Multi-Strategy Hedge Fund
AUM: R427.90 million (31 December 2023)
Currency: ZAR
Fund domicile: South Africa
Inception date: 1 July 2003
Hedge fund CIS launch date: 1 October 2017

Service providers

Administrator: JP Morgan Chase Bank, N.A., London Branch
Auditor: KPMG Inc.
Disclosed partner: Coronation Management Company (RF) (Pty) Limited

Contact details

Coronation Alternative Investment Managers (Pty) Ltd
7th Floor, MontClare Place, Cnr. Campground
and Main Roads, Claremont, 
Cape Town, South Africa, 7708

CEO: Anton Pillay

Phone:
+27 21 680 2000
Fax: +27 21 680 2100
Email: cib@coronation.com
Website: www.coronation.com

* See disclaimer