Fimat to launch global hedge fund index

Fimat Global Fund Services, the prime brokerage arm of Fimat International Banque, plans to add to the growing number of hedge fund indexes in the market with the launch of a volatility arbitrage hedge fund index in the next few weeks.

“We are seeing keen interest from investors for this type of strategy, whose correlation characteristics are nil to negative to most other alternative investment strategies, as well as being nil or minimal to general market prices except in periods of financial stress,” said Philippe Teilhard, managing director of Fimat Global Fund Services. “The index we have created will give investors a better way to monitor and compare the return of their investments.”

Dubbed the ‘Fimat Volatility Arbitrage Strategies Index’, the index is expected to track 10 volatility arbitrage funds at launch, although more funds may be included later. The index will be equally weighted and reporting will take place on a monthly basis. The performance of the individual funds will be collected in the funds’ base currencies and supplied as a percentage return or a net asset value per share or per unit.

“As volatility arbitrage managers trade in short-term, liquid and mostly exchange-listed financial securities and derivatives, it is interesting to note that the alpha creation is done without the credit risk element inherent in conventional volatility trading seen in other types of strategies such as convertible arbitrage,” he added. “This is proving to be another much appreciated diversification benefit - particularly with the level of prices currently seen in the convertible arbitrage market.”