* Assets grow 15 times since Aug launch to $60 mln
* Aims to boost assets to $100 mln by end of 2011
* Fund has returned about 11 percent since launch
By Nishant Kumar
HONG KONG, May 23 RSR Capital, a hedge fund
launched by former Goldman Sachs Group Inc and Morgan
Stanley traders, aims to boost assets by more than 60
percent to $100 million this year as its strategy gains investor
favour, said partner Christophe Delorme.
Singapore-based RSR Capital's volatility hedge fund, Caerus
Arbitrage Asia, started trading with $4 million in August last
year and now manages about $60 million, said Delorme, former
head of Japanese over-the-counter multi-products at Newedge
Volatility, the rate of change in the price of an asset, has
an inverse relationship with price. Funds such as the one from
RSR Capital tend to do well when markets are falling as
Caerus Arbitrage Asia gained 4.4 percent in March, its
highest monthly return, as markets fell following unrest in
North Africa and Japan's earthquake.
By comparison, hedge fund on an average returned 1.1 percent
in March, according to data from industry tracker Eurekahedge.
"We are expecting more shocks than that, not coming from
events like this one, but economic events," Delorme told Reuters
in a telephone interview.
He said it was a good time to bet on the strategy as issues
in the Middle East and sovereign debt crisis in Europe were not
resolved and "you don't know what's going top happen after QE
"We are just getting prepared because we think the big shock
could happen tomorrow or it could happen in six months," he
RSR Capital's other partners are Remi Colinmaire, former
head of index volatility trading in London and Tokyo at Goldman
Sachs, Serge Handjian, former head of equity derivatives in
Tokyo at Barclays Capital and Robert Webb, who ran
Asian index option trading for Morgan Stanley.
The fund, which counts fund of hedge funds among its major
investors, has gained about 11 percent since its launch in
August and aims to deliver 20 to 25 percent per year.
It follows multiple strategies such as mean reverting and
pattern recognition and plans to cap at $500 million.
"We think for that strategy, the amount of the money is
maximum. We think the market can only hold $400-500 million,"
(Reporting by Nishant Kumar; Editing by Chris Lewis)