Wed, Feb 22, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Blackheath’s arbitrage strategy fund in spectacular finish in November, up 28.74% YTD

Tuesday, December 11, 2012

From Komfie Manalo, Opalesque Asia:

November was a solid, if not spectacular month for Blackheath’s Volatility Arbitrage Strategy Fund after posting 28.74% gains 11 months into 2012 (+2.49% in November). The fund is managed by Blackheath Fund Management, a Canadian managed futures advisory firm.

In his monthly report to investors, Blackheath Portfolio Manager and Director Andrew Cumming said that if the fund put up this performance every month, they would be returning 30% ever year. The Volatility Arbitrage Strategy has an estimated $19m in assets as at end November, while Blackheath Fund Management’s total AuM was estimated at $53.7m.

"The prevailing theme this past month has been low implied volatility across all markets," he told investors. In addition, he added, "We are booking trades with core implied volatilities at or below any we have seen since the inception of this strategy. This is also reflected in the various volatility indices we track, all of which matched or exceeded 5-year lows at some point over this past month. Some of this low volatility is emblematic of complacency on the part of investors because of the perception that, with the continued quantitative easing and stimulus spending programs in place in many parts of the world, asset prices will not be allowed to significantly contract without spurring more support."

The fund’s exposure in U.S. long bond, crude oil and Canadi......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. People - Kuwait wealth fund head Al Saad said to step down after 14 years[more]

    From Bloomberg.com: Kuwait Investment Authority is set to name Farouk Bastaki as managing director, replacing Bader Al Saad who ran the world's fifth-largest sovereign wealth fund for 14 years, a person familiar with the matter said. The KIA, as the fund is known, is finalizing the appointment, said

  2. Manager Profile - Eddie Lampert: a painful entanglement with Sears[more]

    From Moneyweek.com: "In the long run we are all dead." Lex in the Financial Times reached for the famous quote from John Maynard Keynes in January when, after a long and unforgiving decline, the clock finally appeared to be running out on Sears, the iconic US department store group. Yet the group's

  3. Investing - Hedge funds quit Aberdeen shorts as shares begin to recover, Hedge funds' next big short: U.S. malls, O'Connor fund owns 9.5% of Protalix Biotherapeutics, U.S. hedge fund takes position in Macau hotel The 13[more]

    Hedge funds quit Aberdeen shorts as shares begin to recover From Investmentweek.co.uk: The last two hedge funds to short Aberdeen Asset Management have removed their positions, as the fund group's shares begin to show signs of recovery after a difficult few years. According to the Financ

  4. Latin America, high yields and Asia Pacific strategies dominate hedge fund returns in January[more]

    Komfie Manalo, Opalesque Asia: Latin America (+7.04%), high yield (5.63%), and Asia-Pacific (+5.06%) strategies dominated hedge fund performance in January, data provider Hennesee Fund Research said. The bottom three strategies for the mont

  5. Investing - Hedge funds loading up on this dividend stock, The biggest hedge funds have been piling into bank stocks[more]

    Hedge funds loading up on this dividend stock From Incomeinvestors.com: Hedge funds are backing up the truck on Cameco Corp stock. Billionaire Jim Simons owns 389,000 shares. Other Wall Street titans - including Ray Dalio, Ken Griffin, and Chuck Royce - have been quietly building positio