STRATEGY

Manager has two levers to generate alpha:

(i) Proprietary stock-picking event-based strategies using public information, focusing on small-cap stocks in the US market with a holding period of 1-2 days.

(ii) Adjustment of net exposure anticipating market trends.

9 event-driven strategies trading 6 types of corporate events.
Focus on US small-caps.
Holding period: 1-2 days.
In volatility peaks (10% days), 20-40 stocks are traded daily; during the rest (90% days), it is 0-5 stocks.
Part of the alpha comes from trading extended hours (pre- and post-market), where market asymmetries and imperfections are greater.
Practical Example: registered direct offering committed between the targeted company and a management fund, scheduled to occur in a few months.

Daily adjustment of net exposure

Low or no leverage: net exposure of 80-120%.
Traded assets, exclusively from the US: stocks (chiefly), ETFs, ETF options, and ETF futures.
Benchmark: Russell 2000, as it contains most of the stocks traded in RRI strategies.