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New volatility arbitrage launch from Sigma Square


Alain Buenos, Peng Tang, Philippe Ankaoua and Nicolas Goudard have launched Sigma Square, a volatility arbitrage fund on European equities.


The four are managers of the fund, which launched on February 1, 2005 with assets of USD 35 million, and Fimat as its prime broker. Each of the four managers has between 8-10 years experience in a combination of equity derivatives, index and statistical arbitrage and single stock options.


The base currency is EUR, while the fee structure is a management fee of 2 per cent per annum with an incentive fee of 20 per cent per annum with high watermark.


Investment focus/strategy of Sigma Square: Comparing volatility and equity markets valuations, managers will review opportunities in the following two sub-strategies: Volatility arbitrage: 80 per cent of total VaR minimum, Delta directional: 20 per cent of total VaR maximum.


The fund has a directional approach in terms of volatility and therefore no systematic long bias. In case of short gamma positions, it will only be local and the risk will be monitored through risk-management procedures.

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