BAREP Asset Management, a wholly-owned subsidiary of Societe Generale, has launched BAREP Convertible Arbitrage Enhanced, an Irish qualified investor fund. The new fund will build on the management process of BAREP Convertible Arbitrage (BCA), but will aim for higher return with a higher risk profile. The target is a performance of 15% per annum return with a volatility of 5%. The fund is available on a private placement basis.
The new fund will pursue arbitrage strategies similar to those of the BCA fund, on a more leveraged basis of two to three times. The fund will seek to achieve its performance target by trading volatility and credit more actively. The BAREP convertible arbitrage programme is managed from Paris by a team of four and has now reached over EUR370 million ($417 million).
The BCA fund has been recently closed at EUR350 million. SG says this was to prevent the fund becoming too large to manage effectively. The firm also says it preferred to launch a new fund in order to access clients seeking higher returns and willing to accept higher risks.
BCA was primarily for institutional investors seeking lower risks. Since inception in 2001, BCA has recorded a cumulative return of 12.65 with a Sharpe ratio of 2.4. The new fund is aimed at investors such as private banking clients looking for higher returns.
