Ferox Capital has announced its intention to launch a new global convertible hedge fund with weekly liquidity. Subject to regulatory approval it will be available in a UCITS-compliant format.

The new fund will be called the Salar Convertible Absolute Return Fund. The fund will be managed by Alex Warren, a founding partner of Ferox and fellow partner David Persaud. Prior to joining Ferox in June 08, Persaud was the Head of Emea Convertible Sales and Trading at JP Morgan.

The strategy will be an opportunistic form of convertible arbitrage. It will have three major components. Firstly, it will seek value in low-delta convertibles as a low-risk method for participating in equity upside. Secondly, it will combine those trades with high-delta convertibles, hedged with equity swaps to provide synthetic put protection against equity downside. Finally, it will look to arbitrage the current wide dispersion in convertible valuations.

The portfolio managers have put an emphasis on establishing that the fund can deliver weekly liquidity and meet all the UCITS investment rules. Risk limits will further be monitored by a bank to ensure UCITS compliance.