Performance




Month : August, 2019
Return Net of Fees 0.88% Fund Assets ($CA MM) 213.3
NAV per Unit ($CA) 4.6084 Inception Date 1998
Including Current Distribution None Firm AUM ($CA MM) 238.7

MONTHLY HIGHLIGHTS

M&A

  • Anemic activity during this summer month when only 8 new interesting arbitrage situations arose. Margins continue to be binary, i.e. very tight for transactions with no or very little risk and very wide for others;
  • We were hoping Air Canada would increase its offer for Transat by 1 or 2$ … but we’ll still be satisfied with the 5$ premium offered!

CONVERTIBLE SECURITIES

  • Our deep-in-the money convert “Puts” were big winners from higher volatility and price appreciation driven by increased demand as investors seek out defensive opportunities;
  • Our core convert arbitrage book also benefited from general price appreciation and the strategy continues to contribute a positive carry for the fund.

FIXED INCOME ARBITRAGE

  • Performance slightly negative, with insufficient gains on hedging activities to counter losses on credit and yield curve;
  • Widening credit spreads, with several lingering concerns (Brexit, Hong Kong, US- China trade, etc.). Most risky assets are under pressure;
  • Back to a slightly positive “credit Dv01”. Maintaining our position for a steepening of the CAN & US yield curve and long CAN vs US bonds.

PAST PERFORMANCE