Performance




Month : January, 2018
Return Net of Fees 0.37% Fund Assets ($CA MM) 188.1
NAV per Unit ($CA) 4.6139 Inception Date 1998
Including Current Distribution None Firm AUM ($CA MM) 274.9

MONTHLY HIGHLIGHTS

M&A

  • Added 8 new positions to the portfolio;
  • To our surprise, CFIUS refused the acquisition of Moneygram by a Chinese financial company. The impact was only 20 bps during the month, although the total loss since the position was initiated in May is near 1.3%.

CONVERTIBLE SECURITIES

  • Added 2 CAN converts issued in USD, plus 1 unit (equity & warrant);
  • Portfolio remains delta neutral, with minor loss dueto the widening of credit spreads.

FIXED INCOME ARBITRAGE

  • Positive performance with gains across all segments;
  • Agency credit spreads slightly tighter, however provincial credit spreads widened on new supply;
  • Decreased the risk budget slightly with our long credit DV01 just below 50%. Partial profit taking on the flattening of the US yield curve and the reversal of our CAN vs US positioning; we are now once again long CAN vs US.

PAST PERFORMANCE