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Context Capital Launches Offshore Convertible Fund

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SAN DIEGO (–Context Capital Management launched its new offshore convertible arbitrage fund with US$6 million under management.

The Context Convertible Arbitrage Offshore Ltd. was seeded with proprietary money as well as outside capital from a number of investors including the New York-based Focus Group. The strategy follows a similar investment regimen to Context’s U.S.-based strategy, which has about US$10 million under management and began trading in February.

Context Convertible Arbitrage Offshore Ltd. is managed by Michael Rosen, the firm’s founder and the former president of the Rochester division of OppenheimerFunds Inc.

Mr. Rosen started Context earlier this year, coming out of a short-lived retirement that began in 2000. The management team includes portfolio manager James Abbott who previously ran a convertible arb strategy for Beverly Hills, Calif.-based SSI Investment Management and worked as a trader for JMG Capital Management.

The firm’s new offshore fund has a US$1 million minimum investment and a standard fee structure of 1% management and 20% incentive.

Although the minimum investment level puts the fund within the reach of a high-net-worth audience, Context is betting its convertible arb strategy will draw strong interest from institutional investors.

Mr. Rosen says Context will differentiate itself from other convertible arbitrageurs by emphasizing a multi-disciplinary approach, looking at a broad range of quantitative factors in putting together a portfolio while looking balance sheets and cash flow as a value investor would.

The fund’s prime broker is Bear Stearns & Co., and Ernst & Young LLP is the auditor. The administrator for the U.S. vehicle is HedgeWorks LLC and Fulcrum Ltd. (Bermuda) administers the offshore version. Context’s legal counsel is Shartsis, Friese & Ginsburg LLP.

The Context team also includes director and risk management officer Theodore Tu, a managing director who heads risk management. The firm’s operations chief is Michelle Mott.