Global Multi-Strategy Fund

Steve Cain: Multi-strategy by its nature seeks to source alpha from a broad range of opportunities across global markets. Our multi-strat, for example, seeks alpha in fixed-income, equity, currency markets. We look at very short-duration trades and longer duration holding periods in those trades. We look for markets of flow, we look for markets of mispricing and those mispricings are sometimes ephemeral and sometimes more structural in nature.

David Elms: We run a total of six strategies in our portfolio. Five of those six strategies seek to identify opportunities in normal market environments. The sixth strategy seeks to deliver returns in troubled market environments, where volatility is rising and where other strategies typically underperform.

What differentiates a multi-strategy approach to investing is the ability to move capital to where the opportunities are most attractive, to find pockets of distress and deploy our capital there in order to take advantage of these opportunities as we see them. So the essence of multi-strategy investing is flexibility.

Although each of our strategies is constructed to be market neutral on a standalone basis, we recognize that in stressed market environments, the effect of flows of investors seeking to de-gear their portfolios causes most strategies to underperform and that is the environment where we expect our portfolio protection strategy to have a high probability of being accretive to the total portfolio.

Steve Cain: One of the differentiating characteristics is a single strategy that looks to be negatively correlated to the rest of the portfolio. We do that by buying convexity in the form of long option exposures or in long volatility exposures. By doing that, we expect that part of the portfolio to explicitly outperform when markets in general are dislocating and when volatility is rising, and other parts of the portfolio may suffer in such environments. By doing this, we try to manage the tail exposures and create a smoother path of returns for the end investor.