RSR Capital, a Singapore-based volatility hedge fund manager established in August 2010 is returning money to e
RSR Capital, a Singapore-based volatility hedge fund manager established in August 2010 is returning money to external investors as it plans to change the strategy reported Reuters this week. Christophe Delorme, the firm’s chief operating officer, said they might relaunch next year depending on how the new strategy performs between January and June 2012. “If we like the performance we will accept money from external investors again,” Delorme was quoted as saying. The firm’s Caerus Arbitrage Asia fund was down 7.72 per cent through October, suffering its biggest monthly drop of 5.13 per cent in September according to an investor letter. “We are still here. We will trade only for ourselves for few [sic] months and resume with the fund once ready,” said Delorme, a previous head of Japanese OTC multi-products at Newedge Group. The three other partners at RSR Capital are Robert Webb who ran Asian index option trading for Morgan Stanley, Remi Colinmaire, former head of index volatility trading at Goldman Sachs Group Inc and Serge Handjian, former head of equity derivatives at Barclays Capital in Tokyo. Volatility funds like Caerus Arbitrage Asia profit when markets fall due to the inverse relationship volatility has with price. More than 80 Asian hedge funds have shuttered this year according to Eurekahedge.
