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.”