Thu, Nov 27, 2014
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. Investing - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  2. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  3. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  4. Opalesque Exclusive: Risk management emerges as a competitive focus area for hedge funds[more]

    Bailey McCann, Opalesque New York: Risk management has always been a core component of any trading strategy, as well as a critical part of business management. However, as macreconomic weakness persists, and alpha becomes increasingly hard to generate, risk management as emerged as a more promin

  5. Gross: Inflation is required to pay for prior inflation[more]

    Benedicte Gravrand, Opalesque Geneva: As inflation rises, every dollar will buy a smaller percentage of a good. While deflation will mean a decrease in the general price level of goods and services. These two economic conditions are both in the waiting room. The consensus would like the former to