Structured Investment Management, a New York fund structuring boutique launched by former Citigroup managing director Ramesh Menon, has filed its first fund launch with the Securities and Exchange Commission. The fund guarantees investors 150% of the returns of the Standard & Poor's 500 over ten years, and makes novel use of a third-party insurance contract to guarantee returns rather than the popular constant proportion portfolio insurance.
In CPPI deals, insurance companies have written protection on the risk of a gap, or sharp drop, in the fund's value. But in Menon's offering, Assured Guaranty Corp. insures the return of the fund, hedging it on the Street. This means while the fund is exposed to the S&P500, the insurance contract--which rises in value when the S&P falls--will compensate for any drop in the index. Menon has applied for a patent of the fund and declined all comment. Officials at AGC did not respond to messages by press time and precise details of how the fund is hedged could not be determined.
