36 South Capital Advisors is reportedly planning to roll out a UCITS version of its long-volatility structure for investors, to offer volatility protection against current changing market environment.
36 South CEO and CIO Jerry Haworth was quoted by Investment Week as saying that the London-based fund is hoping to launch its first UCITS fund in the third quarter of 2014.
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Earlier this month, Marcus Brookes, head of multi-manager at Schroders, told Investment Week that 36 South’s Black Eyrar strategy is the only fund he can find that displays sufficient inverse-correlation with equity markets.
However Brookes noted that he could not invest in it due to daily dealing requirements.
36 South founder Haworth told the Investment Week that the group has put the development of a UCITS vehicle "on the front burner", although the product may differ slightly from the Eyrar fund.
He further added the group is still wrestling with the issue of how to incorporate a long-volatility strategy into a UCITS structure, given the more stringent requirements regarding liquidity, transparency, and valuation of derivative positions.
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By GlobalData"As our funds stand at the moment, we would not be able to simply migrate them to a UCITS structure. We have got our design caps on and are interested in getting the best possible structure for long-volatility," Haworth told the publication.
The news portal reported that the UCITS offering will be similar to the 36 South Kohinoor strategy, which targets both ‘left tail’ and ‘right tail’ volatility.
Haworth accepted that the more generalized approach will shun some potential return in a downside scenario, adding that the bullish environment also carries risks for left tail strategies.
