Old Mutual Asset Managers, a USD9 billion asset management firm, will launch its first volatility arbitrage fund in October. The Cayman-domiciled, Dublin-listed Old Mutual Global Volatility Fund will take positions using instruments including single stock and index options, variance swaps, credit-default swaps, asset swaps and convertible bonds. It will be the first fund rolled out by the firm to use derivatives. Quentin Smith, spokesman in London, said the launch is part of Old Mutual's expansion of its hedge fund business.
The fund will be managed by Steve Kelso and Paul Jones, who both joined Old Mutual earlier this year from KBC Alternative Investments. Both Kelso and Jones were on vacation and could not be reached for comment. The portfolio will invest globally, but mostly in developed equity markets, said Smith. "You need to be investing in liquid instruments," he explained. The fund will charge a 2% management fee and a 20% performance fee with a high-water mark. The investment minimum will be USD100,000. Credit Suisse is the prime broker.
