Sat, Jul 30, 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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. HFR: Hedge funds post strong gains in mid-July as markets recover from Brexit losses[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted strong gains through mid-July as the equity markets continued the recovery from Brexit losses. The HFRX Market Directional Index gained +2.17% (+4.22% YTD) and the HFRX Global Hedge Fund Index gained +1.03% through mid-month (+0.19%

  4. News Briefs - Carlyle goes on trial for a financial-crisis meltdown, Private equity and venture capital outperformed public markets in 2015, Pippa Middleton gets engaged to hedge fund manager James Matthews[more]

    Carlyle goes on trial for a financial-crisis meltdown Carlyle Group co-founder Bill Conway was in court on this small island last week recounting one of the most bruising episodes in his private-equity firm’s history: the 2008 collapse of mortgage-bond fund Carlyle Capital Corp. Carlyle

  5. …And Finally - Two men fall off cliff playing Pokemon Go[more]

    From BizarreNews.com: Two men who fell from a seaside cliff north of San Diego told authorities they became distracted while playing augmented reality game Pokemon Go. Encinitas fire Battalion Chief Robbie Ford said one of the men fell about 50 feet down the bluff in Encinitas while the other man fe