Wed, Aug 31, 2016
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. The Big Picture: Water is single largest environmental investment opportunity[more]

    Benedicte Gravrand, Opalesque Geneva: Water, the world’s most precious and undervalued commodity, is set to lead the socially and environmentally responsible investment themes. This is according to specialist fund manager Thomas Schumann. His firm,

  2. Commodities - Hedge funds pile into bullish bets on U.S. crude by most on record, Rig count steady, hedge funds dump short contracts on 63 million barrels, Hedge funds bail on Copper as Goldman predicts ‘supply storm’, Hedge funds pile up bets against sterling[more]

    Hedge funds pile into bullish bets on U.S. crude by most on record From BRecorder.com: Hedge funds and other speculators raised their bullish bets on US crude oil in the past week by the most on record fuelled by speculation that Organization of the Petroleum Exporting Countries will agr

  3. Investing - U.S. hedge fund Marathon makes Brexit bet on European property, Hedge funds love Liberty and John Malone, DE Shaw could bid for control over TerraForm Power, New York hedge fund increases stake in Tronc as sale talks continue, Don't wait too long to check this +20% value fund's ideas[more]

    U.S. hedge fund Marathon makes Brexit bet on European property From FT.com: Marathon, a $13bn US hedge fund, is building a big Brexit trade, increasing its investments in property across Ireland, France, Germany and the Netherlands, in a bet that they will be among the big beneficiaries

  4. Opalesque Exclusive: Investors struggle to identify the better performing hedge funds[more]

    Komfie Manalo, Opalesque Asia: Fund managers and investors believe that performance is one of the major factors driving change in the hedge fund industry, a Preqin survey showed in its latest Hedge Fund Spotlight. Preqin said that the disappoin

  5. …And Finally - Baby born on Cebu Pacific airplane gets 1 million air miles[more]

    From CNN.com: Here's one kid who'll probably learn to fly before she can crawl. After being born four hours into a flight from Dubai to Manila, baby girl Haven has been gifted 1 million air mile points. Haven's mom went into labor more than five weeks early while flying on an aircraft op