SG FX Trading Head Launches Fund

Lawrence Rhee, head of foreign exchange options trading at Société Générale in New York, has left to set up a fixed-income hedge fund. The Sparta Group will pursue relative value trading strategies and trade mortgage-backed securities and corporates. "The lack of correlation between these sectors allows us to expand the universe which we can glean for superior relative value strategies," Rhee said. He expects the fund to launch in June with a minimum of USD20 million under management.

The Sparta Group is being set up with three other partners: Jae Choi, head project manager of mortgages with Pasadena, Calif.-basedWestern Asset Management; David Choi, v.p. with Texas Pacific Group; and Henry Chyung, managing director with Post Advisory in Los Angeles.

Jae Choi will head the MBS side of the fund and will use his derivatives expertise to enhance mortgage hedging and rates strategies. Chyung will head the corporate credit side.

Rhee said Sparta differs from other relative value funds because it focuses on trade construction. "When things break down, a trade construction that correctly matches its risk/reward will usually be one's first line of defense," Rhee said, adding this involves proper sizing and hedge ratios. "We always want to be in a position where we can deploy capital when others are cutting their positions," he noted.

Rhee said the fund will grow to six staffers in May, adding an MBS and operations expert, but declined to give names.

SG spokesman Jim Galvin did not comment by press time.