Frankfurt-based Falcon Vermögensverwaltung AG and Universal-Investment have launched the mixed fund Falcon Stability, offering private and institutional investors a stable portfolio component in the current low interest rate environment.
The fund, which is authorised for distribution in Germany and Switzerland, pursues a derivatives arbitrage strategy whose investment objective is to gain arbitrage profits by exploiting price differences between various financial derivatives in all market phases. The investment strategy is completely uncorrelated with other asset classes.
It aims at an annual target return of at least four percent by cost, the target volatility is a maximum of five percent. An annual income distribution is planned.
The strategy is flanked by a specially developed algorithm that continuously scans the price movements of more than 1.4 million derivative financial products in Germany alone. In doing so, products are identified whose characteristics, such as the underlying, the subscription ratio and the maturity, are identical but whose prices differ due to mispricing or market inefficiencies. Due to the simultaneous purchase and sale (long / short position) this price difference can be collected. As a rule, investments are only made in so-called short-term companies with a maximum term of three months.
"Through our proprietary algorithm, we continue to find attractive arbitrage opportunities that tend to increase in volatile market phases," said Roger Krüger, fund manager and board member of Falcon Asset Management AG. "Given the expected low correlations to the equity and fixed income markets with stable returns, the Falcon Stability may provide a meaningful portfolio mix in the current low interest rate environment, where the increasing correlation of equities and bonds poses a problem for diversifying the asset portfolio."
The distribution partner of Falcon Vermögensverwaltung GmbH is VILICO Investment Service GmbH in Hamburg.