BGB Weston launches FX volatility arbitrage fund

BGB Weston has launched a low volatility fund focused on FX volatility a

BGB Weston has launched a low volatility fund focused on FX volatility arbitrage and seeded by London-based Fortune Asset Management.

 

The new fund pursues a strategy that BGB Weston has implemented since May 2003 using managed accounts.

 

The BGBW FX Volatility Arbitrage Fund is designed to exploit the inefficiencies in the volatility curves of FX options on the G-10 currencies. The strategy is always market neutral and fully delta hedged, both in terms of direction and volatility.

 

The team of Greg Ford and Flavio Borri, plus three additional traders, a risk manager and operations staff is large for a start-up hedge fund. According to Fortune, Greg Ford, the senior portfolio manager and veteran options trader, has been operating in this niche with a strong track record for some years, and the firm already runs options portfolios for several institutional investors.

 

Simon Hopkins, Managing Director of Fortune, said: “This was a unique opportunity to seed a fund within an established and fully fledged options trading firm. Investors like us are especially interested in strategies that are shielded from market movements through an arbitrage which is fully hedged, and BGB Weston are exploiting a unique strategy in very liquid markets”.

 

Flavio Borri, Managing Director of BGB Weston, said: “The proven uncorrelated performance of FX volatility as a separate asset class provides investors with effective long-term diversification whilst delivering attractive risk adjusted returns.”

 

He added: “In addition, Institutions are increasingly looking for external specialised managers able to produce alpha thanks to superior knowledge and niche trading methodologies.”

 

BGB Weston is authorised and regulated by the Financial Services Authority and it is one of the managers in Fortune’s Emerging Manager Program (EMP). EMP seeks to identify and provide seed capital and/or distribution to select early-stage hedge funds.

 

For Fortune and its investors, EMP provides preferential access to early stage hedge fund talent, secured hedge fund capacity and access to managers with pre-agreed terms of transparency, liquidity and favourable pricing.