Proteom Capital Management, a New York-based fund manager, expects to start using equity variance swaps to take views on the future volatility of global indices. Proteom ceo Jonathan Kinlay said it is launching three funds in the next six months which will trade variance swaps. Proteom hopes to raise USD1-1.5 billion for the funds, collectively named the E-series Global Equity Index Volatility, he added.
Kinlay explained Proteom is turning to variance swaps because the market has become deep and because these instruments are uncorrelated with other asset classes. He added volatility has been at historically low levels and the VIX has experienced big swings over a short period of time, which can result in big profit. "Volatility is not the issue," Kinlay said. "It's the variability of volatility." Other players have agreed, based on significant percentage jumps in the VIX, now might be a good time to invest in variance swaps (DW, 5/23).
