USD100million: that’s the AUM target for Singapore-based RSR Capital, whose volatility hedge fund Caerus Arbitrage Asia launched last August
USD100million: that’s the AUM target for Singapore-based RSR Capital, whose volatility hedge fund Caerus Arbitrage Asia launched last August reported Reuters this week. The firm currently manages approximately USD60million having launched with USD4million. Given this growth trajectory, RSR Capital co-founder Christophe Delorme said the strategy was gaining investor interest. Delorme, formerly of Newedge Group, set up RSR Capital with co-founders Remi Colinmaire, Serge Handjian and Robert Webb. Colinmaire was former head of volatility index trading at Goldman Sachs in London and Tokyo, Handjian was head of equity derivatives for Barclays Capital, Tokyo, whilst Webb ran Asian index option trading at Morgan Stanley.
With market unrest in Q1 resulting from political instability in Libya and other parts of North Africa, and the Japan earthquake, RSR Capital recorded its highest monthly return in March, gaining 4.4 per cent. The greater the volatility in asset price, and the more markets fall, the better funds like Caerus perform. The CBOE Volatility Index (VIX) spiked to over 30 following the Japan earthquake but has since pared back to around 18 at the time of writing. Factor in the ongoing sovereign debt concerns in Europe, however, and Delorme believes the time is good to bet on the strategy as issues remain unsolved “and you don’t know what’s going to happen after QE”. He said they were just getting prepared as the next big shock could happen “tomorrow or it could happen in six months”. The fund, which has gained 11 per cent since launch, plans to cap assets at USD500million with Delorme adding: “We think for that strategy, the amount of the money is maximum. We think the market can only hold USD400-500million.”
