Tue, Aug 22, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Swiss commodity asset manager Diapason launches relative value petroleum fund

Wednesday, January 23, 2013
Opalesque Industry Update – Diapason Commodities Management, a $7bn independent commodity investment manager headquartered in Lausanne, Switzerland, launched the Diapason Relative Value Petroleum Industry Fund (“DRVPIF”).

DRVPIF is an energy markets arbitrage fund and is the first fund based on the micro-economics of the refining industry. The Fund trades spreads between commodity future contracts, and will provide absolute return and de-correlation with traditional energy related strategies, with proforma performance showing strong double-digit returns.

The investment team uses Diapason proprietary modeling of the refining industry to determine the equilibrium relationship between crudes and refined product prices. Any divergence from this relationship will lead to an arbitrage opportunity. The Fund will be ‘Barrel-neutral’, and so is not exposed directly to directional oil price movements, but will exploit refining margins and quality premiums, by following the daily movements of the three major refining hubs - US Gulf Coast (USGC), Singapore (SING) and North Western Europe (NWE). Arbitrage opportunities lie between and within each of these hubs.

Edouard Mouton, Head of Quantitative Research at Diapason commented, “We believe industrial players and specifically refiners drive the price differential between substitute or derivative oil products. By taking long and short positions on specific crudes and products our consummate strategy allows us to profit from the rational behaviors of these industrial players as they react to changing market conditions”.

He added, “The excess capacity in the refining sector has placed even more emphasis on industrial players maximizing cash margin, and looking in deep details at each plant’s technology and each hub’s specificities the Fund is able to anticipate market changes linked to daily adjustments made at industrial plants. Taking long and short positions on specific crudes and products, the Fund seeks to mimic one of these plants and benefits from the anticipated adjustments”, he added.

The portfolio will be managed under strict risk constraints, with the allocation between the different spread-strategy pairs optimized through a Sharpe ratio maximization process until the pre-defined risk budget target is hit, and a stop-loss set for each pair, using a high-watermark feature.

Press release

www.diapason-cm.ch

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
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: Albright Capital puts a value lens on emerging markets[more]

    Bailey McCann, Opalesque New York: Over the past decade, investors have steadily increased investments in emerging markets private funds. Allocations to the cohort have increased from $93 billion in December 2006 to $564 billion in September 2016, according to data from research firm Preqin. Howe

  2. Comment: "Long-Term Investing": What managing drawdown risk can do to your long-term returns[more]

    Matthias Knab, Opalesque: Real Investment Advice writes on Harvest Exchange: Last week, I was having lunch with a prospective portfolio management client discussing the curre

  3. Jasper Capital International joins Hedge Fund Standards Board[more]

    Komfie Manalo, Opalesque Asia: Diversified and systematic investment firm Jasper Capital International has become the second China-based signatory to the Hedge Fund Standards Board (HFSB), an organization that brings hedge fund managers and investors together to set standards for the hedge fund i

  4. Investing - Hedge-fund honchos including David Tepper are loading up on Alibaba, Billionaire hedge fund manager Stanley Druckenmiller is betting big on the Chinese consumer, Big-name U.S. hedge funds shed healthcare stocks during the rally in second-quarter, U.S. hedge funds bearish on FAANG stocks in second-quarter, Hedge fund titan Viking Global made a $680 million bet on scandal-plagued Wells Fargo[more]

    Hedge-fund honchos including David Tepper are loading up on Alibaba From CNBC.com: David Tepper's Appaloosa Management and three other he ge funds took new stakes in Chinese e-commerce giant Alibaba in the second quarter, according to the latest quarterly filings. Appaloosa disclos

  5. FinTech - Danger: Crowdfunding on the wrong platform could force you to go public[more]

    From LinkedIn.com: Some equity crowdfunding platforms are putting startups at serious risk. Working with a platform that doesn't structure your deal appropriately could jeopardize your ability to raise future capital or worse, force you to become a public reporting company. The emergence of eq