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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...................... To view our full article Click here
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