Monashee Investment Management LLC
January 09, 2018
Monashee is registered as an Investment Advisor with the SEC

Consistent Alpha in an Uncorrelated, Low Volatility Equity Asset Class: Global Equity Capital Markets

Abstract

Global equity capital markets (GECM) possess inherently distinctive characteristics, which lead us to approach it from an investment perspective as a discrete sub-class within the overall equity market. The new issue discount is a permanent feature within initial public offerings (IPOs) and follow-ons (FOs), creating a differentiated investment opportunity to consistently generate alpha. The positive skew within GECM deals—which, when hedged, results in a low volatility, low correlation equity return stream—is unique to the GECM asset category. Successful investment in the GECM sector requires relevant market expertise and experience, global infrastructure, access to a diverse range of capital markets participants, dynamic technological learning-oriented capabilities, and continuous adaptation to variable market conditions. The purpose of this white paper is to: 1) discuss the unique characteristics of global equity capital markets relative to other asset classes/sectors; 2) assess key attributes required to systematically harvest this alpha source.

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