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Head of Advisory
Industry: Finance
Location: Dubai, UAE -
Director of Finance
Industry: Finance
Location: Dubai, UAE
Deviating from the norm
by ArabianBusiness.com staff writer on Friday, 09 May 2008
DERSY: The Volatility Opportunities fund is capable of delivering positive returns in every market environment.
Fabien Dersy, head of volatility and long-only convertible arbitrage at Dexia AM, a Luxembourg entity with a representative office in the Middle East, explains Dexia's volatility fund, which could help investors make the most of turbulent markets.
What is the name of your fund?
Dexia Volatility Opportunities.
When was it launched, and what has been its performance to date?
The strategy leverages highly performing quantitative research.
The fund was incepted on December 29, 2006. Its performance since inception (flat) is 8.46% as at February 26, 2008.
Is it focused on any particular industries, markets, commodities or geographical regions, and what is its strategy?
The fund is specialised in extracting value from volatility as an asset class via a combination of long and short positions. The fund has a net positive exposure to volatility.
As such, the fund will invest in a variety of specialised investment vehicles in order to isolate the volatility of a large array of underlying instruments.
As such, the fund is not limited to specific industries, markets, commodities or geographies.
The fund will seek to invest in highly traded markets and therefore invest primarily in Europe, the US and some mature Asian markets.
Is it part of a family of funds?
Dexia Volatility Opportunities belongs to the Dexia AM range of alternative investment funds.
Where is the fund domiciled, and why?
The fund is domiciled in France as it is managed out of Dexia AM's specialised centre for Alternative Investments in Paris.
If it uses an external administrator or custodian, who are they, and why were they chosen?
The administrator of the fund is RBC Dexia Investor Services France. The custodian is RBC Dexia Investor Services Bank France, a wholly owned subsidiary of RBC Dexia Investor Services.
This company is the output of a joint venture between Dexia Group and RBC Financial Group, two companies active in investment services support activities.
The RBC Dexia Investor Services group is one of the top 10 custodians in the world with about $2.4 bn worth of AUM in custody.
The group operates in 15 different countries with over 4,300 employees. RBC Dexia Investor Services is rated Aa3 by Moody's and AA- by Standard & Poor's.
What do you use as a benchmark for the fund, and how has it performed?
Dexia Volatility Opportunities is a total return fund. Therefore, its performance is not directly compared to that of a benchmark.
What management fees are payable?
Maximum management fees are set at 1.50%.
When is the NAV calculated?
The NAV is calculated on a weekly basis, each Tuesday.
What advantages does your fund have over other similar funds available?
The specificity of our strategy lies in the following elements. The ability to trade all financial instruments and to link different markets thanks to the multi asset classes exposure of the fund.
The investment process allows us to opportunistically initiate long and short positions and offers a highly flexible allocation of resources.
Dexia Volatility Opportunities does not use convertible bonds to trade volatility. Such a positioning differentiates from other volatility-trading funds, many involved in convertible bonds arbitrage.
The strategy leverages highly performing quantitative research produced by an internal and dedicated team of seasoned quant professionals.
One of the key distinctive features of Dexia Volatility Opportunities is that the fund is long the volatility, whereas the major part of our competitors is short of it.
Are there any challenges involved with managing a fund of this kind?
The challenges with investments in volatility lie within timing, primarily. Namely, in periods of lower volatility, investors tend to think that this is an indicator of more quietness to follow.
The challenge there is to convince customers to invest in the fund in a low tide volatility context. On the other hand, interests for the asset class increase when volatility peaks and when it's typically time to lighten long positions.
The challenge there is to explain how our relative value positioning will protect their interests in case volatility sinks.
Dexia Volatility Opportunities relative value investment process offers a value added approach to volatility investment.
Long and short positions are therefore initiated by leveraging the team's extensive exposure to volatility trading and therefore by delivering positive returns in every market environment.
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