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Komfie Manalo, Opalesque Asia:

Bob Treue’s Barnegat Fund gained 2% in April, improving its year-to-date 2016 return to +2.6%. Barnegat’s net, compound annual rate of return since its launch in 2001 is 16.9% per year.

The hedge fund’s assets under management remains steady at $668m, Treue added.

He commented, "One of the main things I worry about and the central focus of our risk management is 'Do we have enough excess collateral that we could survive any chaos the world markets can throw at us?’ Our trades remain mispriced for years. We need to not only have enough collateral for today, but also for tomorrow's crisis, whatever that may be."

Barnegat’s excess collateral at all-time high

Treue said that the fund’s current excess collateral represents 71.8% of the fund. That is an all-time high. Historically, Barnegat’s long-run excess collateral numbers have been much closer to 50%. Treue said that his long-run expectation would also be closer to 50%, but as market volatility in the fund’s products has been low and exchange-cleared products have improved its portfolio margining, the firm’s excess collateral has improved from 50% up to 71.8%.

He added, "Our long-term share price volatility target is 8-10%. Our share price volatility for 2016 has been 6.5%. So for now, our excess collateral is a bit high and our volatility is a bit low. As a result, we currently have a large margin of saf......................

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