LONDON (HedgeWorld.com)–Continuous Time Finance LLP, an US$80 million statistical arbitrage hedge fund, filed to de-list its shares from the Irish Stock Exchange effective Jan. 5. The move came as the fund liquidated its assets and returned capital to investors, according to people familiar with the firm and published reports.
Attempts to reach Continuous Time at its Balderton Street offices were unsuccessful.
Low volatility in equity markets took its toll on returns at Continuous Time. The fund employed a relative value, market neutral approach to trading Western European and U.S. equities. The firm’s trading model sought to combine the returns generated by mean reversion and momentum by anticipating performance differences between them and allocating capital accordingly, according to the firm’s web site.
The firm’s proprietary trading models generated expected return profiles based on time series analysis of price earnings data, according to the web site. Proprietary indexes were developed that quantified the expected strength and timing of returns.
Essential to the effective functioning of Continuous Time’s model were equity market volatility and low correlations of individual stocks to various indexes and to the market overall. Low volatility hurt the fund, driving returns to negative 6% in 2004, according to published reports. The fund was essentially flat since its inception in 2002.
Continuous Time was managed by a team of five partners led by Andrew H. Mann, who prior to joining Continuous Time spent 10 years at Soci?? 1/2 t?? 1/2 G?? 1/2 n?? 1/2 rale in London, where he worked as head of risk arbitrage and ran a US$750 million mergers and acquisitions statistical arbitrage portfolio, according to a filing Continuous Time made with the Irish Stock Exchange in 2003.
Mr. Mann left Soci?? 1/2 t?? 1/2 G?? 1/2 n?? 1/2 rale and joined Marble Bar Asset Management LLP, which served as the investment advisor to the Continuous Time fund for a little over a year after its inception before Continuous Time broke out on its own, according to filings with the Irish Stock Exchange.
Continuous Time also was regulated by the U.K. Financial Services Authority.
Other partners at Continuous Time were Paul A. Arbon, Elliot J.W. Austin, Adam F. Foster and Jonathan A. Gordon, according to filings the company made with the FSA.
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