Fimat Group, the investment banking arm of Socit Gnrale, has added two further hedge funds were added to the Fimat Volatility Arbitrage Median (FVAM TM).
FVAMTM is a performance measure for the Volatility Arbitrage hedge fund strategy and is, in part, designed to raise the profile of this strategy. FVAM TM is maintained by Fimat Alternative Investment Solutions.
There is a research project surrounding FVAMTM, co-ordinated by Fimat Alternative Investment Solutions and involving academics and other hedge fund specialists. The objective of the research is to develop a better understanding of the return characteristics of Volatility Arbitrage investments.
The two additional funds – Quadix Volatility Fund and the Lynx Arbitrage Fund – bring the total funds in FVAMTM to seven. FVAMTM is an equally weighted portfolio of funds where performance is collected from the independent administrators in the funds’ base currency and supplied as a percentage (net) return or as Net Asset Value per share.
FVAM was launched in December 2003 and contains back-tracked data from January 2003 onwards. At the end of April 2004, FVAMTM was up 0.47% for the year. Current market conditions have proved difficult for Volatility Arbitrage managers but interest in this strategy that, fundamentally, aims to treat volatility as an asset class of its own, continues to grow rapidly.
Quadix Volatility Fund is managed out of Paris and structured as a Cayman Islands exempted company with limited liability. The investment adviser is Finaltis. The key traders are Franck Farouk and Didier Douls. The fund trades a large secured (credit risk free) universe of securities and derivatives including equities, stock indices, fixed income and foreign exchange from the European and American markets. The strategy is composed of different volatility trading methodologies and the fund keeps a long volatility bias aiming to provide investors with a hedge against sharp movements in the major equity, interest rate and foreign exchange markets. We have been informed that Quadix targets a long-term annual return of 10% to 12% with volatility below 8%.
Lynx Arbitrage Fund is managed out of Hong Kong. It is an Asia Pacific Relative Value volatility fund focused on delivering optimal, consistent “risk-adjusted” investment returns uncorrelated to general market movements and trends by exploiting pricing anomalies between Asia Pacific stocks and related exchange traded derivative contracts.