Singapore-based hedge fund RSR Capital is returning money to external investors and plans to change the fund's strategy for a possible relaunch next year, said Chief Operating Officer and Founding Partner Christophe Delorme.
RSR Capital's other partners are Remi Colinmaire, former head of index volatility trading in London and Tokyo at Goldman Sachs Group Inc (GS.N), Serge Handjian, former head of equity derivatives in Tokyo at Barclays Capital and Robert Webb, who ran Asian index option trading for Morgan Stanley (MS.N).
"We are still here. We will trade only for ourselves for few months and resume with the fund once ready," Delorme, a former head of Japanese over-the-counter multi-products at Newedge Group, told Reuters in an e-mail on Wednesday.
RSR Capital's volatility hedge fund, Caerus Arbitrage Asia, started trading with $4 million in August last year and managed about $60 million (39 million pounds) in May 2011.
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 volatility increases.
The fund was down 7.72 percent in the first ten months of 2011, including its biggest monthly drop of 5.13 percent in September, according to a letter to investors seen by Reuters.
"We will experiment our new strategy from January to June 2012, and if we like the performance, we will accept money from external investors again," Delorme said.
RSR Capital lengthens the list of hedge funds who have returned external money or closed as investors shy away from allocating fresh capital to the region, given nagging concerns about the global economy and the European debt crisis.
More than 80 hedge funds in Asia have closed down this year, according to Singapore-based industry tracker Eurekahedge.
Asian hedge funds saw net outflows of $2.2 billion in September and October, erasing nearly a third of the inflows in the previous eight months, data from Eurekahedge showed.
(Reporting by Nishant Kumar in HONG KONG; Editing by Chris Lewis)