Paris-based BNP Paribas Asset Management (BNP PAM) has launched an Irish umbrella fund for single hedge fund strategies advised by CooperNeff Advisors and Overlay Asset Management.
BNP PAM, which already manages over Euros 13 billion in alternative and structured investments, launched two sub-funds within the Irish umbrella at the beginning of April.
These are the SingleHedge Currency Fund and SingleHedge US Convertible Arbitrage, both products specifically designed for BNP PAM's European-based qualified investors.
SingleHedge Currency Fund is managed by Overlay Asset Management (OAM), the BNP PAM entity dedicated to Currency Risk Management. Founded in 1998, and within the BNP PAM Group since 2001, Overlay Asset Management has currently over Euros 1.7 billion of assets under management.
SingleHedge Currency Fund uses the systematic proprietary system based on a combination of trend-based strategies applied successfully to currency overlay mandates over the past five years. SingleHedge Currency Fund aims at generating risk adjusted returns through trading the ten most liquid currencies.
The system detects major trends in the currency markets and takes advantage of corrections within the trend. Risk is monitored through a policy of stop loss orders and limited leverage (1.5 at launch). Targeted returns are 10-15 per cent per annum with volatility of 8 per cent.
SingleHedge US Convertible Arbitrage is managed by CooperNeff Advisors Inc, BNP Paribas' US subsidiary dedicated to quantitative trading strategies, which has US$600 million of assets under management.
Since 1996, CooperNeff has managed a proprietary convertible portfolio for BNP Paribas using the same investment process as the Fund. The evaluation of a security's value and risk is based on a BNP Paribas proprietary bankruptcy model. A ranking process is initiated using this model and the portfolio is optimised in an attempt to produce the greatest expected return per unit of risk.
CooperNeff Advisors, a registered investment advisor with the Securities and Exchange Commission, has proven experience in other strategies such as Statistical Arbitrage and Cat bonds.
BNP PAM intends to launch a series of other strategies during the course of 2003, which may include equity market neutral and long short equities.