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Alternative Market Briefing

Midway Market Neutral Fund starts 2013 on a positive note after ending 2012 up 26%

Monday, February 18, 2013

From Precy Dumlao, Opalesque Asia:

The Midway Market Neutral Fund, managed by New York based fixed income fund manager The Midway Group, started 2013 on a positive note and was up 2.35% (est.) in January, compared to -0.70% for the Barclays Aggregate, 5.18% for the S&P 500 (Total Return) and 2.76% for the HFR Hedge Fund Index.

The fund closed last year up 26.69% (est.). Launched in May 2001, it has annualized 21.5% since then. It can be found in Opalesque’s A Square database.

The Midway Group, which managers $468m in AuM, gathers fixed income managers that provide investment strategies in hedged mortgage securities, focusing exclusively on the U.S. residential mortgage market. The investment strategy is to attempt to identify and purchase undervalued investment grade securities that are backed by prime and near prime mortgage loans, according to the fund’s report.

Midway’s Managing Director John K. E. Morris said in his recent letter to investors: "IOs were well bid for the month reflecting a back-up in rates. The Midway IO Index (MIOI) returned 14.87% for the month with lower coupon IOS’ out performing. The MIOI attempts to capture the un-hedged price behavior of the broad IO market in order to measure market beta. It is important to note that we do not seek to replicate the broad market in our investment strategy but instead......................

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