Caissa Capital
Encyclopedia
Caissa Capital was a hedge fund
founded by Jonathan Kinlay
in 2002, based on his research on volatility arbitrage
in the late 1990s. In addition to Kinlay, who was head of research and portfolio management
, the management team comprised International Chess Grandmaster Ron Henley
as head of trade execution and Paul Wilmott
as risk manager. The fund's strategies used models that were developed by Kinlay's research firm Investment Analytics. Caissa, which managed $400M in assets for institutional investors such as Bank of America
, was ranked by Fimat as the top performing fund in its class in 2004, but closed shortly after Kinlay's departure.
In August 2004, Kinlay sold his interest in Caissa to his partners in order to focus on his statistical arbitrage
fund, but later brought a lawsuit against them alleging that they had conspired to cause the collapse of the fund in order establish their own competing fund. The lawsuit was settled in 2010.
Hedge fund
A hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
founded by Jonathan Kinlay
Jonathan Kinlay
Dr Jonathan Kinlay is quantitative researcher and founder of several quantitative hedge funds. He is founder and CEO of Systematic Strategies, LLC, a systematic hedge fund that deploys high frequency trading strategies using news-based algorithms....
in 2002, based on his research on volatility arbitrage
Volatility arbitrage
In finance, volatility arbitrage is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility...
in the late 1990s. In addition to Kinlay, who was head of research and portfolio management
Investment management
Investment management is the professional management of various securities and assets in order to meet specified investment goals for the benefit of the investors...
, the management team comprised International Chess Grandmaster Ron Henley
Ron Henley
Ronald Watson "Ron" Henley is a grandmaster of chess, chess writer, producer of chess videos and is involved in financial trading funds...
as head of trade execution and Paul Wilmott
Paul Wilmott
Paul Wilmott is a researcher, consultant and lecturer in quantitative finance. He is best known as the author of various academic and practitioner texts on risk and derivatives, and for Wilmott magazine and Wilmott.com , a quantitative finance portal....
as risk manager. The fund's strategies used models that were developed by Kinlay's research firm Investment Analytics. Caissa, which managed $400M in assets for institutional investors such as Bank of America
Bank of America
Bank of America Corporation, an American multinational banking and financial services corporation, is the second largest bank holding company in the United States by assets, and the fourth largest bank in the U.S. by market capitalization. The bank is headquartered in Charlotte, North Carolina...
, was ranked by Fimat as the top performing fund in its class in 2004, but closed shortly after Kinlay's departure.
In August 2004, Kinlay sold his interest in Caissa to his partners in order to focus on his statistical arbitrage
Statistical arbitrage
In the world of finance and investments, statistical arbitrage is used in two related but distinct ways:* In academic literature, "statistical arbitrage" is opposed to arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others...
fund, but later brought a lawsuit against them alleging that they had conspired to cause the collapse of the fund in order establish their own competing fund. The lawsuit was settled in 2010.