Rose & Sky Europe Fund plans to launch by the end of June with €250 million already committed according to fund manager Rose & Sky Investments (Cayman). The fund has a capacity limit of €3.5 billion.

The master/feeder fund, domiciled in Cayman with a Delaware incorporated feeder, will be offering investors daily liquidity. According to Mark Rosiefsky, chairman and managing partner, investors who redeem will have funds transferred within 48 hours. Investors will also be able to have real-time daily access to the fund's trading positions. In addition they will have daily risk reports, daily official third party net asset value (NAV) and six-monthly audited financial reports.

The combination of liquidity and transparency, says Rosiefsky, is what is attracting investors who are asked to put in a minimum of $10 million or equivalent. Mainly family offices are signing up although institutional investors are to be targeted.

Although it will officially start trading this month, Rosiefsky spent the last two years using his own money perfecting the trading strategy and building up a track record before launch. Rosiefsky has used the profits from this fund to invest in the Rose & Sky Europe Fund.

The strategy is a hybrid of a long/short and market neutral strategy foused on pan-European large and mid-cap stocks. It is based on single-stock-to-peer grouping with the value-based enhanced by a set of quantitative, sentiment and technical analyses. The investment process is based on a structured and disciplined investment process.

The market neutral component uses predictive beta neutral pairs trading. Pairs are within the same risk profile, for example, sub-industry, industry or industry group, with no sector pairing.

Between 10 and 40 pairs are implemented in the portfolio at any one time. All pairs are implemented market neutral.

The idea sourcing process uses a pre-trend strategy approach known as PTS. This identifies valuation outliers within an industry compared to their peer group. The idea sourcing model is linked to the average valuation of the peer group. The system screens the universe and selects the most attractive stocks/pair members. It also identifies the best substitutes for de-selected pair members.

The portfolio implementation and management system (PIMS) is a separate component of the strategy. This is a continuous process managing pair hedging, adjustment and enhancement. The portfolio rebalancing (subscriptions and redemptions), daily portfolio hedging and hedge cost financing also use PIMS.

Risk management includes a plus or minus $500 million free float market capitalisation with plus or minus 20% real free-float. The size of positions is limited by the liquid trading volume. The risk management system is BarraOne which includes risk allocation and risk budgeting, performance attribution and historical 'as-of' analysis of portfolios.

Although not a Ucits fund, it is Ucits-compliant on risk management. The possibility of launching a fully compliant Ucits fund is being considered.

The fund is targeting a 15% return with volatility under 8%.

All middle and back office functions have been outsourced to fund administrator PNC Global Investment Servicing. In addition to Rosiefsky, who has 20 years of experience in the industry having worked at Commerzbank, Dresdner Kleinwort Benson, Finacor-Rabe and MM Warburg and others, there are four other key people. Manual Ebner is CEO and managing partner. He has 23 years of experience working at BZ Bank, McKinsey and the Boston Consulting Group among others. Heading risk management is Mir Slav Mitev, who previously worked at Siemens fin4cast, CA IB Investmentbank and elsewhere. Anthony Lombardi is chief operating officer and chief compliance officer, coming to Rose & Sky from MAN Investments, Bear Stearns and others. Investor relations is handled by Fred Pedersen formerly of Beauchamp/Linedata.

The fund has already put in an application to be approved by and compliant with the Hedge Funds Standards Board standards. According to Lombardi this is another selling point for the fund.

The fund charges a 2% management fee and 20% performance fee with a quarterly high water mark.

Prime brokers are Newedge and Scotia Capital. KPMG is the auditor with PricewaterhouseCoppers acting as tax adviser. Maples and Calder provides the offshore legal advice with Dechert in New York handling onshore legal work. The investment adviser is domiciled in Switzerland.

The fund plans to list on the Irish Stock Exchange.