Mon, Feb 27, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Swiss volatility arbitrage fund up 25% in 2012 by profiting from market's myopia

Tuesday, February 05, 2013

amb
Dr. Michel Dominice
Benedicte Gravrand, Opalesque Geneva:

The Cassiopeia Fund, a volatility arbitrage fund, was launched in 2003, after years of research done by the fund's founder, Dr. Michel Dominicé. This fund profit s from markets' irrational moves and proves through its performance that a rational approach to irrationality can lead to high reward.

Indeed, the Share Class B of the fund, which runs $689m, returned 25% in 2012, after annualising 15% since its August 2004 inception. The HFRX Volatility Index returned 9.7% in 2012, and the Lyxor Convertible Bonds & Volatility Arbitrage Index advanced 4.5%.

Run from the Geneva offices of Dominicé & Co, the Cassiopeia fund has kept a low profile over the years, until it won an award last year as the best Swiss single hedge fund. Cassiopeia was apparently also the only volatility trader to make Barron's 2011 top 100 Hedge Fund Survey, on which it ranked 49th. The firm is now moving up a gear in terms of visibility.

Statistically significant market bias

Dr. Dominicé, who studied political economy at the University of St. Gallen, had alwa......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Legal - Fannie, Freddie shares dive after U.S. appeals court ruling[more]

    From Reuters.com: Shares of Fannie Mae and Freddie Mac tumbled more than 30 percent on Tuesday after a U.S. appeals court shut down efforts by hedge funds and other investors to pursue numerous legal claims accusing the U.S. government of seizing their profits following taxpayer bailouts. By a

  2. Institutional investors plan to raise allocations to alternative assets in 2017[more]

    Komfie Manalo, Opalesque Asia: A survey by Context Summits Miami showed that nearly 72% of institutional investors and family offices plan to raise their allocations to alternative asset managers this year, suggesting continued strong demand for the industry. "As many large, brand name f

  3. Comment - Mortgages, mergers and hedge fund fees, Fairholme's Berkowitz responds to court ruling against hedge fund suits of Fannie Mae[more]

    Mortgages, mergers and hedge fund fees From Bloomberg.com: Yesterday the U.S. Court of Appeals for the D.C. Circuit handed down an odd decision in a lawsuit over the government's nationalization of Fannie Mae and Freddie Mac. The key issue is what's called the "Third Amendment," the 2012

  4. Investing - Hedge funds continue to chase the herd in record Momentum wager, Marshall Wace bets grocer Sainsbury may need rights offering, Hedge fund net exposure has started to retreat, David Tepper's Appaloosa fund makes a huge buy, The 10,000-mile journey to Short Australia, Skeptical hedge fund investors grill Evan Spiegel about Snap's I.P.O.[more]

    Hedge funds continue to chase the herd in record Momentum wager From Bloomberg.com: Hedge funds can't get enough of momentum - even if it means embracing an investing strategy they hate. Loosely defined as betting on shares that went up the fastest over the preceding nine-to-12 months, h

  5. Opalesque Exclusive: Swiss investors take fund seeding and acceleration into their own hands[more]

    Benedicte Gravrand, Opalesque Geneva: Banque Bonhote, a 200-year old Swiss private bank, last year launched a community of investors - heads of Swiss family and advisory offices and wealth managers - with the aim of co-investing in the kind of managers they wanted to invest in, either by way of s