Wealth & Finance International - Alternative Investment Awards 2017 AI170023
Company: Runestone Capital Contact: Rune Madsen Email: email@example.com Address: 239 Kensington High Street, London, W8 6SN, UK Phone: 2073163084
Best Absolute Return Fund (Since Inception): Runestone Capital Fund
Runestone Capital Runestone Capital Fund is an absolute return fund that aims to generate returns in excess of 20% net annualized over a cycle, regardless of market conditions. We caught up with Rune Madsen to find out more.
Launched in May 2015 with the strategy being back tested since January 2006, Runestone Capital Fund’s innovative strategy buys or sells US equity index volatility on a one-day forward basis based on statistical probabilities. The returns have been uncorrelated to the S&P 500, US Treasuries and the VIX (volatility) itself. Rune shares an insightful overview of the fund and its performance so far.
“What differentiates us from some of our competitors is that the strategy does not have a pre-set bias to be short or long volatility. Our positions are based on statistical probabilities. This has caused us to perform well in different market conditions.” Looking ahead, Rune and his team are keen to build upon the company’s current success and grow even further as it looks towards a bright and exciting future.
“Here at Runestone Capital, we are a pure play asset manager that just trade in US equity Index volatility. This enables us to be extremely focused on our end market and risk control. This focus lead us to a 2.03x Sharpe ratio in 2016 and YTD the Sharpe ratio has been 4.7x with a Sortino of 5.2x. The fund has traded up 18 out of the 23 months since inception.
“Overall, we have grown in the last year as investors have started to open their eyes to our strategy. This growth has allowed us to expand and we are launching a US fund in the next few months.”
“Our focus is on absolute and uncorrelated returns, which we have been able to deliver on. For reference, the equity market was under a lot of pressure in the first two months of 2016 and fell 5.1% compared to the strong start of 2017 with a 5.9% gain. For those same periods we delivered positive performance of 1.9% and 1.4% respectively. Two months is a short time period and one should not draw strong conclusions on that basis, but it goes to at least demonstrate the robustness of the strategy being able to produce positive results in very different market conditions. As investment managers we are fully invested in the strategy hence we cannot afford to loses to escalate. In the volatility space, there are endless opportunities as there are movements each day. Hence it is crucial to preserve capital when positions do not work out and focus on the next opportunity.