Dexia Asset Management has the distinction of being the largest single manager hedge fund business in Continental Europe. It is a member of The Hedge Fund Journal’s EUROPE50, and is certainly one of the longest established hedge fund managers there.

The Hedge Fund Journal went to the unassuming offices of Dexia Asset Management (Dexia AM) just off the Champs Elysees in Paris to find out how they got so big, and the answer is as much to do with distribution as investment returns.

The Dexia Group, one of the twenty largest financial institutions in the Euro zone, was created by merger in 1996 and is based on the two pillars of retail banking in Europe and public & project finance at a global level. Dexia AM is the research, financial analysis and asset management centre of the Dexia Group. Dexia Asset Management manages more than €110 billion across all asset classes for institutional and private clients, of which €11.5 billion was in alternatives at the end of June. The amount managed in alternatives has tripled in the last three years.

Graphic 1 shows the range of hedge fund strategies managed by Dexia. Around half the funds in alternatives are what the company describes as “cash enhanced funds”, and half are what they term “absolute return funds”. A large majority of the funds managed using hedge fund strategies are single manager hedge funds, but in addition Dexia AM has a commercially sized fund of funds business (see boxed text over page). Dexia AM makes great play of the diversity of its alternative processes.

Naïm Abou Jaoudé is CEO of Dexia AM and a member of the Executive Committee of Dexia Group. His career at Dexia encompasses and reflects the growth of hedge fund business at the firm. “Like the principals of ADI, I came from Transoptions Finance (a subsidiary of Credit Agricole Indosuez), and in my case I ran a convertible bond arbitrage fund there,” he says. He brought this expertise to Dexia in 1996, and ran one of Europe’s first – and at one time one of the largest – CB arb funds for the firm. In style the fund was a pure volatility arbitrage play – the other risks, credit, interest rate and equity market were hedged out. The majority of CB arb funds tend to run some elements of these other risks, leaving the pure volatility funds as relatively conservative within the spectrum of the strategy.

In outcomes the purer volatility arbitrage style of CB arb gives a return series with much lower volatility and highly likely a lower return overall. As this first fund was positioned so have most of the funds that followed it, rather in the way that the Gartmore funds were for some time initiated with a style derived from the first hedge fund, Alphagen Capella.

This is illustrated by the categorisation of the funds within the range. “We have three product types,” says Fabice Cuchet, Global Head of Alternative Investments at Dexia, “we have cash plus products, bond plus and absolute return products.” Cash plus means returns of 4-5% with a volatility of 1-2%. Bond plus means a target return of 7-8% with a volatility of 2-4%, and absolute return products have a target return of 10-12% with a volatility of return of 5-6%. The single exception to the return target ranges is the relatively new Global Event Fund covered below. The three largest funds totalling €5.1 billion in assets (Dexia Money + Credit Spread, Dexia Money + Risk Arbitrage, and Dexia Index Arbitrage) each have the performance objective of beating 1-month money rates. There is only one fund in the range with a performance objective of greater than 10% – the Global Event Fund has a 12-15% target. These last two funds constitute 1.5% of alternative assets under management.

“The control of volatility is a focus for us,” states CEO Jaoudé, “and we put even more emphasis on limiting drawdown.” In short Dexia AM’s alternative products are positioned towards the bottom left hand corner of risk/return space. In addition all the funds are onshore, and are structured with good liquidity and frequent pricing (the majority of the range is priced daily or weekly). As we shall see later, this suits the client base well.

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Fund of funds

Dexia has a fund of funds business run from Luxembourg. This unit, started in 2001, only invests in externally managed funds, and most of the €1.8bn in assets are in broadly diversified funds of funds. There are five sub-funds including a dedicated long/short sub-fund, and there is also an absolute return fund.

Like all the single manager hedge funds managed by Dexia the funds of funds are all onshore products – either UCITS Part II, or the French FCP. The absolute return fund (Dexia Multi-Alternatif) has the modest target return of Euribor plus 2%, whilst the other multi-manager products (including a fund of low-volatility hedge funds, and a fund of funds running quantitative strategies) have one of three target return ranges (8-10%, 10-12%, and 12-15%).

The funds of external funds are managed by a team of 8 managers and analysts, though the Luxembourg part of the risk management group also has a role in the due diligence of funds under consideration. The investment process of this team adds value more by selecting managers than by strategy allocation.

Like many large hedge fund groups with a range of funds such as Brummer, Henderson and RAB Capital, Dexia Asset Management runs a €1.3bn fund of internal funds business from the Paris office.

The three products have performance objectives of “greater than Euribor”, then 1% over this objective, and 2% over this objective. The largest fund is Dexia Global World Absolute Performance that has the highest return objective.

A significant part of the assets of the funds of internal funds are in dedicated mandates that are tailored to specific risk-return profiles and investment horizons of clients.

A riskframework using VaR for risk bucketing drives the investment process conducted by the management committee. It is intended that all the assets in the fund of internal funds contribute to risk roughly in the same proportion, with biases away from that reflecting the views of the committee.

There is monthly liquidity, short notice periods, and the NAVs are updated weekly on Bloomberg. In contrast to the fund of externally managed funds, the core of the investment process is seeking to add value by allocating to strategy.

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Event Driven and Risk Arbitrage

The Dexia Global Event Fund stands out within the range of Dexia AM funds for the right reasons. It has the highest performance objective (12-15%) and the highest returns, as Table 1 shows.

The fund is one of three run by Sophie Elkrief, the Head of Event Driven/Risk Arbitrage, the others being the Long Short Risk Arbitrage Fund and the absolute return vehicle (Dexia Money + Risk Arbitrage). In total she is responsible for €3.2 billion of assets, with all but €151m in the risk arbitrage funds. The risk arbitrage funds were started in 1999 as an early diversification for Dexia from the original CB arb strategies.

Through the course of time, around a quarter of the risk in the Event Fund is in the merger arbitrage bucket and the balance is in the long/short event driven bucket. The merger arb bucket contains classic merger arb strategies – mostly announced deals and auctioned companies in the United States. So there is a long and well-analysed history of deals that shed light on the risk/reward of the strategy and the relationship of spread and realised returns. The manager applies certain criteria for deals, but for the most part this strategy is implemented in a simple, almost mechanistic, way.

Low spreads by historic standards and declining deal flow reduce capital allocations to the strategy rather than cause more leverage to be applied. This risk bucket is hedged as a function of macro views. In sum, a conservative approach is taken to a reliable strategy.

For the event driven bucket each position is considered individually for hedging; there is no hedging at the book level. In this bucket of risk the positions are sized as a function of conviction and risk/reward with three standard position sizes. In addition Elkrief has what she describes as her “high risk/high reward pocket”. “We call this our booster: each position can be 5% of NAV, so there are bigger positions that reflect a more (option-like) asymmetric pay-off profile.” So for example an oil E&P company was recently included on the basis of an upside/downside of well in excess of 2:1. All positions are sized to account for their impact at the portfolio level if they were to go wrong.

Some event driven funds will take many positions and be well diversified across industries. This can mean a fund running to over a hundred positions elsewhere. The approach taken at Dexia AM is to be more selective and exercise the (hopefully) greater knowledge of fewer sectors. This is expressed in the portfolio of only 25-35 positions, though the positions can be in asset classes other than straight equity. However the Event Fund still has to comply with the volatility and estimated risk constraints that fit with the performance objectives. The risk management group at Dexia AM estimates these. Positions are taken with a time-horizon of 6 to 18 months, and the actual holding periods of positions are consistent with that, and so are typical for the investment strategy in the industry.

Dexia AM is one of those investment operations that emphasises the lack of stars, the team-based approach and the consistent application of quantitative models and methods to investing. So the marketing message put across by inference is that for the vast majority of the Dexia range, the investment strategies could be implemented by any of a number of investment professionals. This de-personalising of investment processes does not apply to the Dexia Global Event Fund. It may be that it is too well known that TCI is Chris Hohn, that RAB Cross Europe is Roddy Campbell and that Centaurus Alpha is really about the smarts of Bernard Oppetit and Randy Freeman. The investment strategies which the manager of Global Event Fund uses are a function of the skills and expertise of Sophie Elkrief and other members of her team.

So the fund manager herself has a background in oil and gas and utilities, so naturally she covers those. One senior analyst covers capital goods globally, and takes analytical responsibility for European risk arbitrage, whilst the other senior analyst on the team covers service industries and has responsibility for risk arbitrage in UK companies. Two junior analysts cover alternative energy and some consumer sectors provide further support. The manager, reflecting the strategy, is opportunistic and she tries to capture potential profit in different ways through the cycle of a sector. For example, in utilities in the year 2000, the sector was about utility companies buying US and UK utilities. In 2002 utility companies acquired businesses in Latin America, and were looking to operate in gas and electric power and some in water. By 2003 a company like Suez was proclaiming it was looking to focus on its core business and was looking to exit Argentina.

In 2004 the market movements in the sector were all about the correlation with bonds, but then the operating environment changed again. “Around this time I recognised that there was a mounting voice for de-regulation in Europe,” says Ms. Elkrief, “and this presents quite different opportunities for companies and investors. So initially we played on leveraged utility companies and invested according to the business mix and quality of the company. Then in the second stage of de-regulation it became about the consolidation in the sector as competition increased in the utility companies’ home markets.”

The fund bears the title of “Global Event Fund” but the focus is on Europe (80%) and North America (20%). So there is geographical focus at the top level. From the bottom up team members bring industry knowledge, but do not attempt to cover all sectors. Event driven investing is about getting to a position of knowledge on the industry/company fundamentals and the market positioning related to them so as to make an informed assessment of the probabilities of various market outcomes. It is extremely difficult for an investment team to be current on markets, industry fundamentals and regulatory issues on all sectors at all times. So part of the management challenge is to bring research focus on a timely basis, and that in the context of tracking specific sectors and sorts of opportunities on a continual/consistent basis.

To meet this challenge twice a year the Event Fund management team at Dexia conducts a review. “Our process stands out in the sector because we look at industries for the top down opportunities they present. In addition we think that the most important factors to look at are the business models of participants in a sector, and the competitive environment they have to operate in. So our reviews look at what are the main events for a sector from a regulatory point of view,” says Sophie Elkrief. The change to the operating environment could come for other reasons too – “when Mittal bid for Arcelor we knew that the competitive environment for the steel industry in Europe was changed for some time,” she gives as an example. “These big trends we identify determine to which sectors we are going to allocate research time and effort in the next period,” she explains. “We seek to add value in timing our use of capital in the fund, and this is one of the ways we achieve that,” she discloses.

According to Dexia AM’s take on special situations, they create discontinuities in all related asset classes. That equity, option and credit markets do not react the same way at the same time creates opportunities that Dexia AM has the capability of assessing. This cross check allows a more rounded appreciation of the situations being analysed, and gives the Dexia managers the opportunity to target the best risk-adjusted return for a specific situation. The Parisian money managers say that very few managers have an approach that utilises information provided by several markets when analysing special situations, and that this is one of their edges.

When an event driven manager neither hedges the book as a whole nor builds in hedges for each position then the fund becomes vulnerable to exogenous shock – those times when all equity markets get taken down significantly at the same time. This is something of which Sophie Elkrief is acutely aware. But like all disciplined money managers she is ready with a contingency plan and prepared to act quickly and decisively. Of course these are matters of judgement, as well as style. Some high profile names in event driven investing made a lot of money in 1999 (post the Russia/LTCM crisis of 1998) by holding on to positions, but at the cost of large drawdown in the short term. Where a manager wants a smoother return series there must be hedges in place or they must be prepared to cut exposures.

This was illustrated in the case of Dexia Global Event Fund in late February this year. Though the portfolio manager was out of the office that day she was in communication to be aware of the falls on the Chinese stock market and the impact it was having on Western markets. As the Dexia team explicitly rank positions for conviction it is straight-forward to apply decision rules in situations like this. In late February all positions scored 3 were cut completely, all those scored 2 were reduced, and the rest of the positions were trimmed. “This was and is absolutely essential,” says Elkrief, “we have to have the means to come back,” illustrating that commercial concerns win over ego at Dexia AM.

Index Arbitrage

Dexia Index Arbitrage Fund is a €1 billion argument against the efficient market hypothesis. The Fund uses an arbitrage strategy on index readjustments (changes of components or weightings) taking advantage of the inefficiencies generated by various players on the market. This strategy has been implemented by prop traders at many investment banks over the last twenty years, but has rarely been publicly available in a dedicated fund.

The underlying market saw is very simple: stocks typically out-perform in the period up to inclusion in an index, then have a reversal for the next two months. This is illustrated in Graphic 2.

Essentially the weight of index money, whether in closed-ended form like an ETF, or in open-ended index replicators like State Street and BGI, overwhelm other flows for a period. The index constructors like MSCI and FTSE use decision rules about inclusion, and the index fund managers have very limited or no discretion in what they do. The opportunities are many and frequent for a global index strategy. The S&P family of indices alone had 123 additions and deletions in 20056. In the same period the TOPIX index of Japan moved to a free-float calculation basis.

Dexia manager Emmanuel Terraz also analyses index changes in the European indices giving a total of 25-30 indices in the universe. This year there will be opportunities/distortions caused by changes in the addition/removal methodology of the Russell and MSCI indices ranges.

Potential positions are assessed quantitatively to determine the impact of index funds on flows, and a qualitative analysis is undertaken to back up the decision from a fundamental point of view. The manager looks at the business the firm is in to ascertain whether he is carrying much risk by taking exposure to the firm, as well as to the stock. If there is insufficient time to study the firm it will not be included in the fund. Stocks are not considered for inclusion in the fund if there is no trade history. As the fund has to be structurally market-neutral, another condition is that it must be possible to hedge the stock. So stocks with high idiosyncratic risk will not be included, a recent example of this was the inclusion of Google in the S&P500. The sizing of positions is a function of the estimated impact at the portfolio level of a typical adverse price move by the stock.

The theory sounds so straight-forward there must be practical difficulties or it would be a very crowded strategy. Portfolio manager Terraz observes “the two biggest risk factors in the strategy are earnings releases and take-overs. For longs a profits warning can be a problem, and for short positions better than expected earnings can hurt. We have the capability to identify take-over targets – our screens will identify a small oil co with price- to-book of 1.2, and a P/E of 10 where there may be a high take-over risk. We can size the position for the probability of corporate activity, and the size of take-over premium that can result. Overall a high level of M&A is positive for the strategy as it creates two opportunities for the strategy – an index member dropping out and a new one coming in. More volatility in markets is also beneficial for the strategy, as essentially we provide liquidity to the markets,” he states calmly.

The fund is made up of 20-60 positions with associated hedges, giving a gross equity position that typically varies from 10% to 50% (with the net being around zero) – the balance of the fund is in money market funds. The Fund is never levered. The manager uses quantitative measures of risk at the portfolio level to help construct the fund to be as market-neutral as possible. “Sometimes there are biases by sector,” says the manager Terraz, “but most of the time there are no tilts in the portfolio.”

“In this investment process we have two key skills: our ability to understand the impact of index funds, and secondly the management of residual risk. We ask ourselves “Will there be big impact from indexers on this stock?” Then we ask ourselves how much has it moved compared to how much we think it can move – this can result in us adding to a position,” says Terraz.

As Table 2 shows the returns from this strategy are very consistent: seven losing months out of 45, a best month of +0.84% and a worst month of -0.41. The median return for an investor with a 12-month holding period has been 3.11%, with a low of 1.15% and a high of 6.23%. Since inception the Sharpe ratio has been 1.35, and there has been no correlation with financial markets. Consequently the assets managed in this strategy have gone from €15m in 2003 to over a €1 billion today and the fund is soft closed. A Sharpe ratio above 1 is not unusual in the Dexia range of hedge funds, and as more than 80% of the range has an annualised standard deviation of returns of less than 3% such outcomes of risk-versus-return are readily achievable.

Credit as an example of product development

Whilst the Dexia AM alternative products are conservatively positioned in the risk/return space, Dexia management make claims that innovation is a key attribute of the group, in particular in relation to product development. Naïm Jaoudé, the CEO, has some strong convictions in this regard. “Alternatives are there to exploit inefficiencies in the market,” he opines. “In the course of time as more capital is applied to a strategy, returns come down. So to give good value to clients you have to be early. I would say that is a requirement in the hedge fund business to be early in a strategy.”

He continues, “the way we handle it at Dexia AM is to do the best we can to stay ahead of the curve by investing in skill (people) and R&D (systems and market pricing capability). So for us innovating on a 12-18 month frequency is the product of a synergy between R&D and those involved in enacting the investment process. We have the capability of anticipating the cycle of a market, but more than that to identify when markets will evolve sufficiently to allow a coherent investment strategy to be deployed.”

Good examples of this come on the bond side, where arguably there have been more rapid developments in the European sphere of money management than just about any other. The developments in the bond markets have been consciously echoed by initiatives at Dexia AM. So for example the Dexia High Yield Fund was launched in March 1999 “when the frontier between BBB and BB was an exciting place to be,” according to Gilles Frisch, Head of Credit Arbitrage at Dexia. “At that time there was a lot of value to clients in the proposition of a high yield fund in Europe, and we could add a lot of alpha to the product. We started off managing a niche strategy, and 6 months after launch the markets saw the first €1 billion bond issue in this credit category. This confirmed the view we had taken earlier that a European market for high yield credits would develop. In contrast, by 20032004 everyone knew about the high yield market in Europe, and it was generally perceived as an asset class.”

He gives a further example: “Then we were able to take our growing expertise in high yield and leverage it as the credit markets in Europe went to the next stage of development. Derivatives on European credit were at zero in 2000, but with the growth of credit derivatives in the US it was clear to us that we had to get to get grips with it. For us the first stage is R&D, and in these markets that meant being able to price everything independently. We committed six quantitative analysts to focus on this area – the portfolio managers in bond management were the clients. In all we spent a year and a half understanding the dynamics and pricing of the CDS/credit markets. So we were able to launch the Dexia Credit Arbitrage Fund in October 2003 and get ahead of the pack. Similarly the leveraged loan business started growing in Europe in 2005 and we launched the Leveraged Loan Fund at the end of that year.”

Credit derivatives are now a US$30 trillion market, and that growth along with increasing confidence of the client base in the strategy has allowed Dexia to grow the Credit Arbitrage Fund to around €400m in assets. Frisch explains the positioning of the Fund: “Most of our clients are already exposed to long only credit, so the product is determinedly hedged. It is credit market neutral (+/- 25%), and the interest rate and FX risks are hedged.”

The Credit Arbitrage Fund (Returns shown in Table 3) engages in three strategies. It is long/short credit, that is long the credit of one issuer and short another related issuer. The Fund engages in relative value in credit (holding long and short positions in credit instruments of the same issuer), and also engages in capital structure arbitrage, which entails being long and short different parts of the balance sheet (liabilities) of the same company. The Fund used to pursue a sub-strategy of credit instruments versus equity, but dropped it in the year after launch in 2003, demonstrating that fund strategies evolve. The manager, Frisch, gives another example, “From 20042005 there was an increasing amount of corporate event activity, and it became more of an issue for us. We reacted by reducing the directional elements in our risk-taking, and became more fundamentally relative value focussed in our approach. Most of our resource is dedicated to doing our own fundamental analysis of companies every day.”

Frisch has a strong view on conditions in European credit markets at the moment. “This is a technical market crisis here, and in our view will be contained, with the condition that there is not an equity crash. I see this as a specific market disruption, for which there is good evidence. The more liquid loans are selling down – fitting in with a technical market sell-down. Loans are going down in line with bonds, which is also an indicator of the same thing. The setback in the European credit markets is the same scale as the US market setback. It does not make sense in cyclical comparisons that CLOs in Europe have experienced the same decline as US CLOs. The overhang is different too -there is a six-month pipeline of many huge LBOs underwritten by US banks, but the European business is far smaller. In all, this has taken us back to where the market was in May 2005. So two or two-and-half years of good markets have been lost.”

The process of risk assessment on the bond/credit side makes an effort to put current conditions in an historical context. There is stress testing of portfolios – taking mean market prices then using simulations of the LTCM crisis, and liquidity shocks to markets to assess where the portfolios could be affected.

“There are good lessons from the LTCM crisis, ” says Frisch, “but history is very deceptive, and the average age of participants in the markets we deal in is so low that many of them will not have experienced illiquid markets themselves directly. They won’t have seen high yield volatility the same as equities, or loans marked to 1% of value. You have to act differently at times like this. Just like in the markets during the GM credit event of 2005 you must take your time, and not rush in. It is tempting to increase the balance sheet putting on what are gross arbitrage opportunities in credit, but I would caution against that. You end up churning the portfolio, and with wide bid-offer spreads it is difficult to make money. There were still plenty of arbitrage opportunities left after liquidity had come back. You have time in these markets because they are not deep and two-way like in normal markets.”

The commercial positioning of the Credit Arbitrage Fund clarifies thinking at times like this. “Our clients are risk averse,” explains Frisch, “and we have one of the few market-neutral credit funds in Europe.” The inference is that the manager cannot be as gung-ho as other credit hedge funds, and perhaps Frisch is more sensitive to the downside risk than others in the strategy. Putting this across to clients on a consistent basis helps to build trust. This trust does not arise by accident. Dexia AM as a firm makes efforts to develop it.

On the part of the portfolio managers at Dexia AM Gilles Frisch explains what they do. “We try to have as much direct client contact as possible. When we have been making losses we make more of an effort to explain what has been happening and how we have been positioned, both in writing and direct contact. For this reason my colleague Gabriel Andraos who manages the Fund with me will call specific clients.” So the managers have regular contact with clients that becomes more intense at key moments for the strategy, building trust.

Product Specialists a Bridge to Clients

This opening up of the box at key moments is indicative of a management that is aware that investors in hedge funds need a good information flow on their investments. Several elements of this information flow are brought about in a standard way. CEO Naïm Abou Jaoudé says “We are very transparent for clients: every month the portfolio managers have a meeting with our sales staff. This reflects our philosophy of centralised manufacture, and de-centralised sales. So we are present in 12 countries, with local sales in each country and have a total of 85 sales people. In addition you have to have more on alternatives because they are more complicated.”

Global Head of Alternatives Fabrice Cuchet expands the point:”So we have three specialist sales people on our alternative funds that help the generalist sales staff on their pitches. On top of that we have created investment support or product managers. They are the link between the portfolio managers and the sales staff, and they are based in the manufacturing hub. They sit amongst the investment teams, and are embedded to the extent that they can be in the investment committee that we have for each investment process (team).”

The client base for the hedge funds of Dexia AM is 80% institutional and 20% private banks. Half of institutional sales in the last year came from France and one third from Spain and Portugal. So the clients are geographically clustered, which must help develop relationships, as does the fact that the sales staff has stayed in place in the five key territories. In fact this attribute is common in other functions too as the staff turnover at Dexia AM is as low as 7% per annum, according to the CEO. Naïm Abou Jaoudé declares “We want consistent performance from our funds, and with the trust and transparency we have with our clients we are looking to develop long term relationships with them. We have a commercial focus on our existing clients. We will achieve our growth expectations with them.”

There is a well-recognised tendency for Continental based clients to have a bias towards lower volatility/lower risk forms of alternative investing. In the case of Dexia their most conservative clients reflect this in their preference for the Dexia fund of internal funds. “We think we have the right products for the right clients,” concludes Naïm Jaoudé.

Consistent returns with low volatility match client demand

Dexia AM has understood what sort of hedge fund product their client base has needed over the last decade. Their particular clients have had a strong preference for consistency of returns and low volatility, and these characteristics were best delivered by the sort of low-risk products with which Dexia has thrived and grown. Now the demand for hedge fund product has evolved into two distinct sorts. There is demand for a low-risk, low volatility, uncorrelated return profile, delivered by the typical diversified fund of hedge funds and hedge fund index products (and low risk single manager funds). In addition there is increasing demand for higher alpha, higher risk, and higher return hedge fund product. The more seasoned an investor in hedge funds the more they recognise the need for the latter in their mix of funds, and the more comfortable they are in taking the additional risk.

Dexia AM’s successful event driven fund has a higher return target and meets this newly differentiated demand, but the fund is atypical in the Dexia range in doing so. Assuming the base low-risk products continue to do what they are supposed to, the challenges in asset management are two-fold: to extend the investment culture of the firm to be able to embrace a greater range of risk profiles, and to develop products with a medium-to-high level of risk assumption in market areas rich in opportunity. The challenges for Dexia AM management in distribution are to help their clients move up the knowledge curve, and increase client comfort in taking more risk as the clients become more seasoned themselves, at the same time as keeping them engaged by Dexia AM product.

The challenge in distribution has a good chance of being met because Dexia AM is unusual in having developed a hedge fund business that shares a level of trust from its clients equal to that of the long-only business.

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Biographies Dexia Asset Management

NAÏM ABOU JAOUDÉ
Chief Executive Officer
Naïm Abou Jaoudé joined Dexia in 1996 as Head of Convertible Arbitrage. Prior to that, he was a partner at Transoptions Finance (subsidiary of Credit AgricoleIndosuez). During his six years there, he was Market Maker on interest rate options, head of convertible bond trading and he also launched and managed his ownconvertible bond arbitrage fund. He graduated from the Institute of Political Studies in Paris (IEP-Sciences Po), he also holds a Master’s degree in Economics & Finance from the University of Paris II.

FABRICE CUCHET
Global Head of Alternative Investments
Fabrice joined Dexia AM in 1999. Subsequently, Fabrice was appointed head the Long Short Equities process. In 2001 he therefore took part to the inception of the Dexia Long Short Double Alpha fund. In 2003 Fabrice was named Deputy Global Head of Alternative Investements and later on Global Head of Alternative Investements in 2006. In his previous role at Dresdner RCM Gestion, Fabrice held several positions between 1993 and 1999 as a quantitative analyst, as an Equity Fund Manager on European Equities and ultimately as the Head of Equity Investments.Fabrice holds a degree in Statistic and Stochastic analysis from the University of Grenoble, France and is a graduate from Ensimag. Fabrice is an SFAF chartered financial analyst since 1996.

SOPHIE ELKRIEF
Head of Event Driven/Risk Arbitrage
Sophie Elkrief joined Dexia Asset Management as a Risk-Arbitrage Analyst/Fund manager in 2001 and has 10 years of professional experience. Prior to that, Sophie worked for 5 years within the Corporate Finance Department at Salomon Smith Barney and JP Morgan. She dealt with all types of corporate events (M&A, IPOs, debt issuance, spin-offs etc), specialising in the French and German markets. At JP Morgan, Sophie focused on Financial Institutions across Europe. Sophie graduated from Ecole Nationale des Ponts et Chaussées as an Engineer and earned an MBA from INSEAD.

EMMANUEL TERRAZ
Head of Index Arbitrage
Emmanuel TERRAZ has 6 years’ proprietary trading experience in the Equity Derivatives departments of Société Générale in Paris and Barclays Capital in London. He joined Dexia Asset Management in June 2003 in order to launch Dexia Index Arbitrage.

Emmanuel has always been in the index arbitrage business, first as a trader on Italy and Netherlands, then heading up a team covering 6 different countries, and finally taking the full responsibility for the index arbitrage business line at Barclays Capital. Emmanuel graduated from Ecole Polytechnique in 1995.

GILLES FRISCH
Head of Credit Arbitrage
Gilles Frisch joined Dexia Asset Management in February, 1996 along with the original alternative management team. Since 2001, Frisch has focused on corporate credits with an emphasis on credit derivatives and arbitrage strategies.

Gilles was recently in charge of expanding the High Yield activities towards the crossover (BBB/BB) credits and was involved in the launch of the Dexia Money+ Credit Spread fund in December, 2002. He is currently in charge of the Credit Arbitrage team.