Chicago Start-up To Launch Relative Value Volatility Fund

Mar 3 2006 | 12:00am ET

Chicago-based Spyglass Capital Management is readying its first fund, a long/short relative value volatility fund. Robert Cummings, portfolio manager, said the Spyglass Derivatives Fund is set to launch later this year with around $10 million in assets under management.

“We think what we offer that is different is that we are looking at volatility as an asset class,” said Cummings, who added that very few people are looking at volatility at a fundamental basis, and even less are looking at it across asset classes.

The fund, which is also being run by Mark Serafini and Roy Haya, both directors of trading, will invest about 25% of its portfolio in equities and the rest in futures.

According to Cummings, one of the advantages of the strategy the fund employs is that during periods of high volatility in the markets, the fund will benefit. However, during periods of low volatility, the fund’s net asset value will trend toward breakeven.

“Institutional investors all want to invest in something they’ve seen before, and those areas are so crowded now,” said Cummings. “You need to take risks to get returns…we are not an arbitrage fund, we take calculated quantifiable risks that we feel are appropriate.”

The fund charges 2% for management and 20% for performance. The minimum investment is $100,000 and the lockup period is three months.  

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