Europe Neutral, a market neutral hedge fund with EUR45 million under management run by ABN AMRO Asset Management, is considering using total-return swaps and contracts for differences on equities. Dan Jelicic, senior portfolio manager in London, said the number of trades the fund executes has increased because of higher volatility. If trading volumes increase further from current levels it will take the plunge, he explained. However, if trading volumes are less than twice the value of the fund it is not economical to use these instruments because the fund has to pay a financing charge to the arranger. Total-return swaps and CFDs allow the fund to avoid U.K. stamp duty. Jelicic added it would be free to use any derivatives house.
Hedge Fund Eyes Total-Return Swaps
