Fri, Mar 23, 2018
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


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. John Paulson, once the industry's largest hedge fund, to return some investors' money[more]

    Komfie Manalo, Opalesque Asia: John Paulson is reported to be retuning some of his investors' money as a number of his hedge funds continue to suffer setbacks, reports

  2. Institutional Investors - Overdrawn pension fund scores gains[more]

    From Investments in big banks, pawn shops and rolling papers helped boost public safety workers' underfunded pensions this past calendar years, according to newly released figures. After recording middling returns in recent years, the Police & Fire Pension Fund (P&F) notched

  3. Activist Investors - The seven most undervalued stocks in Larry Robbins' portfolio, Stamford hedge fund still seeking shakeup of Taubman board[more]

    The seven most undervalued stocks in Larry Robbins' portfolio From ...On February 14th, Larry Robbins' firm Glenview Capital Management filed its quarterly Form 13F regulatory filing. The firm's stock portfolio totals $18.5 billion with 58 positions according to the latest

  4. Hot hedge fund loses 21% after bet on volatility goes wrong[more]

    From In December, Shahraab Ahmad shared with his hedge fund clients the principle that helped him trounce peers for two turbulent decades: steer clear of the crowd. He'd turned $50 million into an operation with more than $700 million over three years and delivered market-beating retu

  5. Opalesque Exclusive: Northern Trust builds on blockchain-backed private equity solution[more]

    Bailey McCann, Opalesque New York: Private equity clients at Northern Trust can now carry out audits of private equity lifecycle events directly from the blockchain. Northern Trust, working with PwC and other audit firms in Guernsey, has added this feature to its existing solution set for private