Overview
The Tycho Zazove Convertible Arbitrage Fund seeks to deliver cash +4–5% with bond-like volatility. To achieve this objective the sub-investment manager, Zazove Associates, employs a dynamic approach to Convertible Arbitrage with three core return drivers: Carry, Volatility Capture/Gamma Trading, and Tactical Opportunities, complemented by a structural tail hedge and dynamic credit overlay.
Strategy & Manager
Fund Strategy
The strategy is a market-neutral investment approach that seeks to exploit pricing inefficiencies between a company’s convertible securities and its underlying equity. There are three core sub strategies employed within the fund:
- Carry: Harvesting coupon income from long exposure to convertible bonds combined with short-rebates from equity hedge and option premium from systematic overwriting.
- Volatility Capture/Gamma Trading: Seeking to capture convexity from stock volatility.
- Tactical Opportunities: Participate in attractive primary-market issuance and refinancing combined with relative-value and flow-driven trading.
The strategy will also employ a structural tail hedge by leveraging cheap Convertible Arbitrage volatility and structural bond floor to help fund equity market put ladders.
Key Persons
Bret Lannert - Portfolio Manager
Bret joined the firm in 2021 as a Portfolio Manager supporting the firm’s core balanced convertible strategy as well as the convertible arbitrage strategy. Bret has over 17 years of experience executing complex investment strategies including interest rate derivative trading. Bret previously co-founded and served as the Managing Partner of a proprietary trading group specializing in quantitative volatility strategies. More recently, Bret worked as a product specialist developing advanced analytics for an enterprise software application for Asset Managers. Bret received a B.A.Sc. in Aviation Management from Southern Illinois University and his MBA from the University of Illinois.
Gene T. Pretti - Chief Executive Officer & Chief Investment Officer
Gene serves as Partner, Chief Executive Officer & Chief Investment Officer. Prior to joining Zazove Associates in 1989, Gene worked for First Boston Corporation where he specialized in institutional equity sales. He also has served as an analyst with CUNA Mutual Insurance Co. and Robert W. Baird & Co. He earned his MBA from the University of Wisconsin where he was selected for the Applied Program, an honors program emphasizing Security Analysis and Portfolio Management.
Performance
Class Performance
Commentary
Investment Manager’s Commentary – June 2026
June represented a more balanced return environment for the strategy, with performance driven less by the valuation recovery that supported April and May and more by the execution of our core process: monetizing volatility and selectively harvesting convertible-related opportunities.
Broader equity markets remained resilient despite ongoing geopolitical uncertainty and higher interest rate expectations. Investor enthusiasm continued to be concentrated around companies with strong earnings momentum, particularly those tied to artificial intelligence and the infrastructure required to support it. This demand translated directly into the convertible market, where June saw a substantial wave of new issuance, much of it linked to AI-related capital spending.
While issuance activity created attractive trading opportunities around new deals and first-day secondary trading, the terms offered to investors became increasingly issuer-friendly. Many transactions came with zero coupons and conversion premiums approaching historically aggressive levels. As a result, we remained highly disciplined, maintaining low leverage, emphasizing higher-quality credits, and treating much of the new issue calendar as a trading opportunity rather than a source of long-term holdings.
Outside of new issuance, listed equity options remained one of the most attractive risk-adjusted opportunity sets in the portfolio. Individual stock volatility remained elevated even as index-level volatility appeared relatively calm, allowing us to continue harvesting optionality through the options market. Looking ahead, we expect issuance to remain active, but believe patience and selectivity are warranted until the balance between supply and demand creates more asymmetric opportunities for investors.
Documents
Contact
Registered Office of the ICAV:
35 Shelbourne Road
4th Floor
Ballsbridge, Dublin
D04 A4E0
Ireland
Dealing Contact:
Tycho ICAV
Attention: TA Department
c/o Société Générale Securities Services
SGSS (Ireland) Limited
3rd Floor, IFSC House
IFSC
Dublin 1, Ireland
T: 00353 1 6750 300
F: 00353 1 6750 351
E: [email protected]
Tycho Contact
Georg Reutter
Partner
T: +44(0)20 3384 8794
E: [email protected]
JJ Jardine-Paterson
Head of Investment Solutions
T: +44 (0)20 3598 6445
E: [email protected]
