London firm to launch absolute return options fund

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B. G., Opalesque Geneva for New Managers:

Carmika Partners LLP is a discretionary investment manager that specializes in quantitative volatility trading. The firm is about to launch Carmika Absolute Return Fund Master Ltd, domiciled in Delaware.

The firm’s Carmika US Alpha Hedge Strategy (AHS), an absolute return options strategy targeting low double-digit returns, will be put in the fund.

“We are running an absolute return S&P500 index strategy that takes advantage of investor behavioural biases/flows and how they impact U.S. volatility markets,” Michael Cameron, Head of Investor Relations and Operations, tells Opalesque.

“We generate alpha through taking advantage of richness/cheapness in options while maintaining an investment objective to be complimentary to risk assets. The strategy uses a proprietary, quantitative model to seek opportunities in volatility, which are then analysed, stress-tested, and implemented through discretionary management by a team with +20yrs of capital markets experience since working together at Goldman Sachs since the late 90s.”

“We are aiming to launch mid-March with $5m AuM,” he adds.

Carmika was formed in 2015; it is based in London and manages $15m in AuM. It is jointly owned and managed by Martin Vestergaard, Manjeet Mudan, and Michael Cameron.

Portfolio managers Mudan and Vestergaard worked most recently at ADG Capital. Each has more than 20 years of experience in risk management, quantitative options trading, and options market making. Cameron was Head of Institutional Client Coverage at ETF Securities in the U.S.

AHS is an all-weather equity index options strategy. It aims to be negatively correlated to risk assets and looks to generate positive returns during market drawdowns, and alpha throughout market cycles. The strategy looks to capture volatility mispricings and inefficiencies in U.S. liquid equity index options.

The strategy went live on Jan 17th, 2017. It returned 16% in 2020, with good positive performance in Q1, and has had an average monthly return of 0.7% since 2017 (SPX + Carmika at 1.2% p.m.)

The feeder fund of Carmika Absolute Return Fund Master is Cayman-domiciled Carmika Offshore Fund I Ltd, which was incorporated in December 2020.

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