Last Thursday, F&C Alternative Investments, a pan-European asset manager, commenced fund-raising for its F&C Garnet Fund, a hedge fund that aims to achieve absolute returns by investing and trading in the FX volatility and forward rate bias (FRB) space.
The Fund launched last November with capital from existing F&C clients and is now targeting institutional investors, funds of hedge funds and other professional investors.
The F&C Garnet Fund is part of F&C's Gemstone hedge fund range. Managed by Dr Stephen Dolbear, its portfolio concentrates on capturing the varying risk premiums embedded in FX volatility and FRB positions, rather than seeking to compete with conviction-driven macro players.
"There are many participants in the FX options arena and past history indicates that there has been a tendency for options to be slightly expensive. Back tests also reveal that bias is variable over different time periods, currency pair and options tenors. Our fund buys and sells volatility instruments to profit from temporary anomalies," comments Dr Dolbear.
"FX is a very attractive area due to its low correlation with other asset classes. The equity markets have had a tremendous run but there is a perception amongst investors that this can't go on forever and therefore they are looking for a diversifier," adds Alex Ingham Clark, marketing director, F&C Alternative Investments.