​Daily Bulletin: Wednesday June 3

Relative value hedge funds in Europe are showing increased interest in entering ratio variance swap spreads on the S&P GSCI Industrial Metals index against the ASX 200. One of the largest orders for the trade has been from a hedge fund already active in commodity/equity variance spreads, such as silver vs. S&P 500 and copper vs. S&P 500, while new entrants have also been showing demand for the strategy. We also talk to Société Générale today, which is finding increased interest from pension funds to access the firm’s risk premia models. The models allow such investors to monitor risk premia across multiple asset classes when allocating to different strategies. We reported earlier this year pension funds in the Nordic region are particularly leading the charge in risk premia strategies. In the people and firms section, a former equity derivatives trader at Goldman Sachs in New York is joining Monday Société Générale.