Maple Leaf Macro Volatility Fund has appointed Fimat, part of Societe Generale, as prime broker. Maple Leaf Capital will launch the Macro Volatility Fund to outside investors on 1 November.
“We are interested in the strategy shift occurring within the volatility space as increasing numbers of managers are focusing on absolute returns through relative value or outright (long or short) volatility trading, thus complementing traditional long only volatility profiles”, says Philippe Teilhard de Chardin, Managing Director of Fimat Alternative Investment Solutions in London. “Fimat, through its dedicated cross-margining product, risk management skill and worldwide market access, is uniquely placed to help managers such as Maple Leaf Capital optimize their strategies.”
Maple Leaf says the strategy – which was up 18% at end-September, with a Sharpe Ratio of 2.1, since starting with internal capital on 1 January – treats implied volatility as an asset class within and across four markets (equity, fixed income, currency, and commodity) with a dual approach to trades from a volatility and macro perspective.
“Significant supply and demand imbalances continuously appear in derivative markets because the principal users of options (pension funds, corporates, mutual funds, insurance companies, retail and hedge funds) express a view on the direction of the underlying asset, not the volatility of that asset,” says Michael Wexler, CIO of the two year old firm. “As a result, they make non-economic volatility decisions which create opportunities for our strategy. Maple Leaf Capital aims to be the premier hedge fund in volatility trading with expertise in modeling, executing and managing risk in derivative markets based on four fundamental principles: first, dynamic allocation of capital between asset classes; second, diversification of returns due to involvement in different asset classes and strategies; third, double Alpha approach of screening every trade through a macro and a volatility filter; and, fourth, transfer of derivative knowledge across markets in order to turn synergies into profits.”
Maple Leaf Capital was established as an investment management company in mid 2002. The firm’s first product, the Opportunity Fund, launched in October 2002 as a niche long equity volatility fund. The new Macro Volatility Fund marks their expansion into volatility trading in other asset classes and without a dedicated directional bias.
Maple Leaf’s CIO and founder, Michael Wexler, and portfolio manager, George Castrounis, worked for Credit Suisse First Boston and Citibank in interest rate, currency, and equity derivatives, most recently trading volatility as a team for seven years.
David Eton, CFO and compliance officer joined at launch after spending a decade in a similar role at a brokerage firm and the decade prior as an auditor.
Maple Leaf’s in-house quantitative research is led by the portfolio managers and Matthew Gander, a PhD in Statistical Finance who specializes in research related to stochastic volatility models.
Maple Leaf Capital is regulated by the FSA and operates out of Mayfair, London.