Varengold Wertpapierhandelsbank AG - Assetmanagement

The HI Varengold CTA Hedge certificate is a bearer bond enabling participation in the development of the German fund of hedge funds HI Varengold CTA Hedge-A.

HI Varengold CTA Hedge is a fund of funds which invests exclusively in managed futures manager funds. A total of five sub-strategies have been defined for the fund; these are applied in asset allocation on the basis of corresponding weighting ranges. The strategies are broken down into short-term trading, trend following, global macro, discretionary trading and FX trading and each has specific characteristics.
Drawing on many years’ experience, Varengold Wertpapierhandelsbank AG has developed a precise categorisation procedure which allows forecasted expectations to be applied to each individual sub-strategy to indicate whether these should be overweight or underweight. The individual managers are analysed according to precisely defined quantitative and qualitative criteria and pooled in a diversified and efficient portfolio designed to represent the managed futures universe. Strategic asset allocation, the selection process and an in-depth understanding of the individual strategies are the basis for the portfolio’s stability.

Strategies with a volatility of 15 – 25% are pursued by the individual managed futures managers. Volatility of the fund of funds can only be kept below 9% through diversification and a spread across various different sub-strategies; the minimal correlations between the individual managers, which are subject to continuous observation and monitoring, are of great significance here. The target rate of return for the portfolio is 8% p.a. after costs (for medium-term investments).

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