Wed, Aug 5, 2015
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. Activist News - Celgene says patent-fighting hedge fund manager wants to short its shares[more]

    From Reuters.com: Celgene Corp, one of the world's largest biotechnology companies, has accused U.S. hedge fund manager Kyle Bass of attempting to profit from his attempts to wipe out several major drug patents through his Coalition for Affordable Drugs. The company asked the U.S. Patent and T

  2. Einhorn's Greenlight Capital hedge fund slumps 6.1 percent in July[more]

    From Reuters/Thefiscaltimes.com: Hedge fund mogul David Einhorn's Greenlight Capital slumped 6.1 percent in July and is now down 9 percent for the year after gold, one of the fund's top holdings, tumbled to five-year lows last week. Greenlight notified clients of its returns late on Friday, ac

  3. Performance - Some hedge fund small-cap energy stocks have been free falling, Dan Loeb's simple strategy destroys the market, Baupost lost 1.4% last quarter as energy bargains proved elusive[more]

    Some hedge fund small-cap energy stocks have been free falling From Marketrealist.com: According to a July 28, 2015, Bloomberg article, there was a 34% fall in small-cap energy stocks over the past three months. These shares are tracked by the Russell 2000 Energy Index. Small-cap energy

  4. Legal - Hedge funds hit Rothstein Kass with $75m malpractice suit, JPMorgan questioned on private bank’s hedge fund disclosures, Kijani fund, seized by regulators in Cayman Islands, spotlights risks in lightly regulated market[more]

    Hedge funds hit Rothstein Kass with $75m malpractice suit From Law360.com: Two investment funds have sued Rothstein Kass & Co. PC for at least $75 million, claiming the New Jersey auditing firm committed accounting malpractice by failing to properly scrutinize overblown valuations of the

  5. Assets - Hedge funds are getting smoked by the commodities slump, Global ETF assets could more than double by 2020[more]

    Hedge funds are getting smoked by the commodities slump From Businessinsider.in: The collapse in commodity prices has burnt another hedge fund. Vermillion, a commodity hedge fund backed by Carlyle Group, has seen its flagship fund's assets fall from nearly $2 billion to less $50 million,

 

banner