Dutch-based hedge fund manager Volteq Capital has launched a volatility arbitrage fund. The GED Arb...
Dutch-based hedge fund manager Volteq Capital has launched a volatility arbitrage fund.
The GED Arbitrage Fund aims to exploit pricing inefficiencies created by the relationships between listed and over-the-counter option markets, special product markets, convertible and warrant markets and credit markets.
According to Jan Ebel Bos, a founding partner of Volteq, it controls risk through a delicate balance between focused position taking and portfolio diversification.
"Focusing on a limited and clear set of well-defined strategies allows the manager to select and manage the most profitable opportunities at any one time," said Bos.
"By combining various types of equity derivative arbitrage strategies within one global portfolio, the manager reduces the overall portfolio risk."
The fund's mandate allows it to use equities, futures, options and convertibles and warrants as trading instruments.
Equity, interest rates and credit default swaps, money markets and spot foreign exchange are used for hedging purposes.
The fund typically has 20 to 30 volatility pairs, one or two dispersion positions and around five to 10 trading positions.
It charges a management fee of 2% with a 20% performance fee, and has monthly liquidity with 30 days' notice. Minimum investment is e100,000.
The managers aim to generate a net return of 14% with average volatility of 8%.
Volteq was formed by Jan Ebel Bos, Hans Peter van Ketwich Verschuur and Eelco Rooimans in December 2002.The company was incorporated in the Netherlands on 6 February and now also includes Niek Koster, partner risk management and trading, and Daniel Notermans, chief financial and operating officer.
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