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Opalesque Exclusive: German option trading hedge fund set for the coming volatility wave From Benedicte Gravrand, Geneva: The speculative world of options trading has the reputation of being risky. Some hedge funds are dedicated to this investment process and such is the case for the CC Athena OS Fund Ltd. Institutional Euro, a hedge fund run by Conservative Concept and which was nominated as best managed futures fund by Hedge Fund Review in 2006.

Opalesque talked about the fund with the risk manager, Andreas Schuermann: the fund started as a managed account in 1998, trading options on the S&P500. The strategy consists in trading in volatility and tries to profit from the options’ skew. It became a hedge fund in 2005. The annual average return has been around 13% since inception (volatility around 7.5%) and AUM have gone from $0.20 million to US$ 110 million and will close at US$ 600 million. Investors are mainly family offices, asset managers and funds of funds. Maik Kaminski , the portfolio manager, has been involved in options trading since 1995 and makes the trading decisions. The fund is run from Switzerland and marketed from Germany.

Strategy “This fund is different in the trading approach in that it trades in opportunities that arise from the volatility smile. The strategy solely trades options in the S&P 500. Until August 2002, the fund only took short positions. But after ......................

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