German pension schemes are flocking into the Da Vinci Arbitrage Fund and for good reasons: the Zurich, Switzerland-based volatility arbitrage fund is up 22.77% year to date through September.
The fund, managed by Da Vinci Invest, gained some 12% within the last two months alone and now boasts assets under management of €211 million (US$299 million), up from €19 million at the beginning of the year.
Chief Executive Officer Hendrik Klein said German pension plans were attracted to the fund’s high return and low volatility profile. “In the past, we’ve had small, one-month drawdowns per year at about –1.2% and we can gain between 12% and 20% net of fees,” said Klein. “We make most of our money when markets go crazy. Our best months this year were August and September when markets moved.”
Month-to-date, the fund is currently up 0.6%. It charges fees of 2% for management and 20% for performance, with a minimum investment of €5 million for managed accounts and €25,000 for Class I investors.
Not content with the volatility space, Da Vinci is preparing a global long/short equity fund focused on nanotech and biotech stocks, according to Klein. Michael Nawrath, who ran a long-only healthcare fund in Zurich for Credit Suisse, will manage the fund. Klein is currently looking for seeders for the new offering and hopes to launch the vehicle with a minimum of $5 million within a few months.
Da Vinci specializes in quantitative volatility arbitrage strategies and employs spread trading as the bulk of its strategy. Klein, formerly head of trading at Frohne & Klein Wertpapierhandelshaus, which specializes in fixed income, index option and equity options market making, founded the firm in April 2004.