Wed, 17/11/2004 - 06:03
Fortis Investments has launched its fourth hedge fund product, a convertible arbitrage hedge fund.
The fund has a global strategy covering the US, Europe, Asia and Japan. It began trading with Euro 10 million in seed capital, has attracted an additional €4 million from outside investors, and is up over +0.7% in its first month. Assets are expected to reach Euro 50 million by year-end, based on further investor commitments, and total capacity for the fund has been set at Euro 500 million.
The fund will be run by the Paris team that manages the firm's Euro 2 billion long-only convertible bond investment centre. Emmanuel Martin is the primary portfolio manager of the fund, reporting directly to the investment centre head Jacques Joakimides.
The other two portfolio managers are Kris Deblander and Pierre Lepicard. Martin joined Fortis Investments in June to launch the new fund, having run a convertible bond arbitrage fund at Barep since 2001, after several years as a convertible bond and equity-derivatives prop trader at Banque Cial.
The managers are targeting net returns of approximately 8%, with an annualised volatility of less than 3%. Leverage is permitted up to five times, although 100% and 300% is more likely.
The strategy has no directional element in terms of equity or interest rates, and the managers take views only on volatility and credit. The managers believe volatility is cheap at the moment - at historically low levels of 13-14% - and that the risk of losing money by being long is low. Fortis Investments believes that the large drawdown in volatility over the past few months presents a good opportunity to launch a new volatility-focused fund.
The new fund is targeted mainly at institutions, many of whom already invest in the firm's long-only European and global convertible bond strategies. Assets in these funds have grown from Euro 150 million to Euro 2 billion since their launch in 2002, on the back of strong performance.
The fund is domiciled in Luxembourg and has appointed Citigroup as its prime broker.
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