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Bailey McCann, Opalesque New York:
Blackheath, a Canadian managed futures advisory firm, posted strong returns in its volatility arbitrage strategy fund for July, the fund was up +6.48% and is up +13.90% year-to-date, according to sources familiar with the firm. The fund was launched in 2009, and has yet to have a down year. It is up +85.68% since its inception in 2009.
Over 2012, the fund has mostly posted positive returns, with the exception of May and June, when the fund was down -1.32% and -4.49% respectively. The fund currently has $10m in assets under management (AUM). The firm itself, which manages several programs has $40.4m in AUM.
Firm sources owe July's rebound to lowered volatility within underlying assets that the firm's futures positions depend on. The drop in volatility cut down time decay and triggered fewer stop loss orders, which kept losses lower overall for the month. This was contrasted against June, in which the underlying assets were more volatile than their options were discounting leading to a downward trend for the strategy.
Another notable shift over the month of July included the price of corn. The price move in corn was significant enough that the strategy's wing option used to protect its short straddle went in the money, creating a strong positive for corn against the hit that grains took as a result of the drought in middle America. The firm is also confident that its strategies will continue to perform despite conti...................... To view our full article Click here
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