NEWS - 19

Salus Alpha adds three strategies to Deutsche Bank's Managed Account Platform

01/02/2012

Stockholm (HedgeFonder.nu) - In late autumn 2011 added Salus Alpha "GAX - Global Alpha Strategy", "RVX - Relative Value Strategy" and "CAX - Commodity Arbitrage Strategy" to Deutsche Bank's platform. The strategies that are UCITS III compliant is quite systematic and market-neutral. The common model is based on portfolio optimization and cDaR - conditional Drawdown at Risk - which calculates an optimal portfolio based on a pre-defined risk and return. RVX has been managed since 2003, while GAX CAX and has been managed since 2007.

GAX - Global Alpha Strategy deals with futures, options and spreader on stock indices, currencies, volatility and interest-bearing instruments. The strategy includes, for example spreads in the Large Cap Vs. small cap, emerging markets vs. developed markets, value versus growth, debt vs. shares and optionsspreadar.

RVX - Relative Value Strategy involves futures, options and spreads on short and long term debt instruments. The strategy includes flattening and steep tion on the yield curve as well as more sophisticated arbitrage strategies.

CAX - Commodity Arbitrage Strategy is spreads in commodity futures. Among both related materials' inter-commodity arbitrage "and between commodity futures contracts with different maturities" intra commodity arbitrage "through strategies such as contango, backwardation, and seasonal variations.

It was previously found Salus Alpha's trend-following CTA , "DMX - Directional Markets Strategy ', on the platform. It is based on a statistical model that predicts future price levels of close to 100 underlying futures contract. Thanks to the daily forecasts and their evaluation based on the direction (trend) and quality (volatility), the model is adaptive and may change between different time horizons and strategies, that is, between short-and long-term and intermediate trend and "contrarian". The strategy has since its inception in March 2003 generated a total return of 346%. The average annual return is 17.3% at a volatility of 14% with a rolling beta and alpha on an annual basis at -0.08 and 16.52% of OMX Stockholm 30th

"The Deutsche Bank's Managed Account platform Swedish investors to reach all strategies with full transparency and daily valuation in Swedish kronor through products such as Unfunded Total Return Swaps, Managed Accounts, UCITS III funds and structured products, "says Markus Rudling, Managing Director of Salus Alpha in the North.