Sigma Advisors is planning a Jan. 1 launch for Sigma Funds, a fund of 30 to 40 hedge funds, said Warren Kumar, Sigma co-founder and CEO. The firm uses the "Sigma Ratio," a patented risk-return approach to asset allocation that differs from the Sharpe ratio in that takes into account skewness and kurtosis, rather then simple mean and standard deviation, said Mr. Kumar. Put simply, the fund of funds is designed to hedge against large-tail events, he said.
Regarding whether the firm is still seeking hedge funds, Mr. Kumar would only say, "We're continually in the process of selecting funds."
The new fund of funds has a target launch of about $40 million and will charge a 1% management fee and 10% performance fee. It will make 10 asset classes available to investors: convertible, fixed income and relative value arbitrage; short selling; global macro; market neutral; event driven; long-only equity; emerging markets; and distressed securities.