Allianz Global Investors has closed down two hedge funds after they took heavy losses on stock-options trades after the market sell-off in recent weeks.
The two funds, Structured Alpha 1000 and Structured Alpha 1000 Plus, had been net buyers of put options giving the holder the right to sell an asset at a predetermined price in the future. The put options were designed to hedge against losses the funds might endure from other positions should the market decline, but the pace of the sell-off had a ‘particularly large impact on the options positions held by Structured Alpha funds – particularly the two highest target alpha private strategies’ stated Allianz Global Investors.
Structured Alpha 1000 is a large hedge fund with approximately US$8.8 billion in assets; while Structured Alpha 1000 Plus has approximately US$693m in assets. The current minimum investment for both funds was US$1,000,000. Allianz Global Investors has 27 other structured alpha funds.
Direxion changes objectives of 10 leveraged trackers to address extreme market conditions
After the dramatic increase in the explicit and implicit cost of trading in the energy and commodities markets and the challenges to cost effectively and efficiently access these markets driven by the impact of the COVID-19 pandemic and oil price war, Direxion Shares ETF Trust has approved changes to the names, investment objectives, and investment strategies of 10 leveraged ETFs. Effective 19 May 2020, the funds’ exposure and investment objectives will reduce from three (300%) to two (200%) the daily leveraged (bull) or inverse leveraged (bear) multiplying factor.
Some of the funds involved include the Direxion Daily MSCI Brazil Bull 3X Shares; Direxion Daily Russia Bull 3X Shares; Direxion Daily Gold Miners Index Bull 3X Shares; and Direxion Daily Gold Miners Index Bear 3X Shares.
The US leverage/inverse ETF provider has also liquidated and delisted eight trackers due to ‘their inability to attract sufficient investment assets’ and ‘operate in an economically efficient manner’. These include the Direxion Daily Russia Bear 3X Shares; Direxion Daily Natural Gas Related Bull 3X Shares; Direxion Daily Natural Gas Related Bear 3X Shares; Direxion Daily MSCI Developed Markets Bear 3X Share; and Direxion Daily Mid Cap Bear 3X Shares.
SG takes over Mattioli Wood’s Structured Products Fund
UK fund manager Mattioli Woods has changed the portfolio manager and management company for its Mattioli Woods Structured Products Fund.
The portfolio manager was Commerzbank London Branch and is now Lyxor International Asset Management – the wholly-owned asset management subsidiary of Société Générale. This change is not linked to the migration of Commerzbank’s Equity Markets & Commodities (EMC) European certificate business but to the migration of the German bank’s asset management activities which took place end of 2019.
The fund which was designed with Commerzbank acting as portfolio manager, and BNP Paribas Securities Services Luxembourg as the fund's asset custodian, comprises by 14 autocallable structures and one range accrual combining US, UK, and Asia underlyings and sectors (banks, basic resources). The fund targets an average annual return of cash (3m GBP Libor) plus 6% over a rolling three-year period. The fund had a £0.812 NAV as of 30 March.
Goldman deploys ETF-linked notes in the US
Goldman has listed with Securities & Exchange Commission (SEC) two separate fully protected structured note offerings 140% and 200% participation in the performance of the GS Momentum Builder Multi-Asset 5S ER Index.
The index measures the extent to which the performance of the selected underlying assets - up to 14 exchange trade funds (ETFs) and a money market position in three-month USD Libor, which provide exposure to broad-based equities, fixed income, emerging markets, alternatives, commodities, inflation, and cash equivalent asset classes) outperform the sum of the return on threemonth USD Libor plus 0.65% per annum (accruing daily).
The index rebalances on each index business day from among the 15 underlying assets. The daily weight used to rebalance each underlying asset on any index business day equals the average of the target weights for each underlying asset determined on such day and each of the prior 21 index business days.
Target weights are determined by calculating for each day the combination of underlying assets with the highest return during three return look-back periods (nine, six and three months), subject to a limit of five percent on portfolio realised volatility over the related volatility look-back period and maximum weight for each underlying asset and each asset class. As a result of this rebalancing, the index may include as few as three ETFs (and the money market position) and may never include some of the underlying assets or asset classes.
Hang Seng rolls out ‘innovative drug’ gauge
Hang Seng Indexes has launched the Hang Seng Shanghai-Shenzhen-Hong Kong Innovative Drug Select 50 Index.
The new index seeks to capitalise on the growing interest in innovation in the pharmaceutical sector as a theme among investors. This cross-market index aims to meet the needs of product issuers that wish to create index-linked products tracking stocks that are on the leading edge of advancements in the drug industry, stated the index provider.
The new index comprises 50 stocks in pharmaceutical and related industries that demonstrate relatively higher levels of investment in research and development and relatively stronger momentum performances as measured by six business performance indicators, alpha return and residual return. All constituents are listed in Shanghai, Shenzhen or Hong Kong.
The new index is calculated and disseminated in real-time at two-second intervals.