Sat, Feb 13, 2016
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. Investing - Real estate secondaries sole 'bright spot' in 2015, As hedge funds stumble, one firm prepares to buy illiquid stakes[more]

    Real estate secondaries sole 'bright spot' in 2015 From IPE.com: The secondary market for property was the sole “bright spot” over the course of 2015, as hedge fund secondaries saw deals fall by two-thirds, according to a wide-ranging survey of the market. Setter Capital said 2015 saw th

  2. Asia - Hedge fund manager Kyle Bass estimates China's foreign reserves below critical level[more]

    From Nasdaq.com: Investor Kyle Bass stepped up his attack on China's currency, arguing in an investor letter distributed Wednesday that the second-largest economy's foreign reserves are "already below a critical level." The comments mark the latest effort by hedge funds and other investors to raise

  3. Investing - Some hedge funds want to make subprime auto loans next big short, 11 hedge funds that are “all in” on the FANG stocks, Hedge funds short London luxury homes, Cynet raises $7 million from U.S. hedge fund[more]

    Some hedge funds want to make subprime auto loans next big short From Bloomberg.com: A group of hedge funds, convinced they have found the next Big Short, are looking to bet against bonds backed by subprime auto loans. Good luck finding a bank willing to do the trade. Money manage

  4. Investing - Hedge funds see selloff in European bank stocks as buying opportunity[more]

    From WSJ.com: The massive selloff in European bank stocks and bonds is overdone and presents a “phenomenal” buying opportunity, according to some of Europe’s top hedge-fund managers. Despite a 28% slump in European bank stocks this year, including a 38% fall in Deutsche Bank AG and a 34% drop in Soc

  5. Legal - Carlyle accused of fraud by ex-employee, Hedge funds win CDS breach of contract suit against Deutsche Bank, Hedge fund asks for OK on $27.5m Goldman CDO deal, SFO examines Barclays hedge fund profits[more]

    Carlyle accused of fraud by ex-employee From AI-CIO.com: A former portfolio manager claims he was fired for blowing the whistle on “crazy” and “irresponsible” investments. Carlyle Group has been sued by a former portfolio manager for one of its hedge funds, who accused the firm of “knowi