Derivatives Traders To Launch Asia Volatility Fund

Jun 25 2010 | 7:18am ET

A group of veteran derivatives traders are planning a volatility hedge fund focused on Asia.

The new hedge fund managers, hailing from such firms as Barclays Capital, Goldman Sachs, Morgan Stanley Newedge Group, have high hopes for their Caerus Arbitrage Asia Fund, named for the Greek gold of opportunity, Bloomberg News reports. The fund is set to debut in August with between US$15 million and US$20 million, according to one of the founders of RSR Capital, Christophe Delorme.

Delorme and his partners have been running the Caerus strategy with US$4 million of their own money since March. While many hedge funds have been badly burned over that period, the RSR team has managed a 35% return in those three months alone.

RSR isn’t setting its sights quite that high: The Singapore-based firm hopes to return between 15% and 25% this year, Bloomberg reports. And with returns like that, it shouldn’t have too much difficulty raising the US$500 million it hopes to over the next three years.

Delorme, the former head of Japanese over-the-counter derivatives at Newedge, did concede that market stability could hurt the new fund. But, he added, “we really don’t think it’s going to happen.”

“The world is so on edge, the market is not ready to go quiet,” he said.

Next year, RSR will add algorithmic trading to its portfolio, with quantitative bets eventually accounting for up to 15% of its trades. Caerus will trade across Asia, primarily in Australia, Hong Kong, India, Japan, South Korea and Taiwan.

Joining Delorme at the new firm are Remi Colinmaire from Goldman, where he was head of index volatility trading in London and Tokyo, Serge Handjian from Barclays, where he was head of equity derivatives in Tokyo, and Robert Webb from Morgan Stanley, where he ran index option trading in Asia.


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