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The Amethyst Arbitrage Fund is a dual-strategy low volatility hedge fund using arbitrage, i.e. taking advantage of pricing anomalies between contractually related securities. These structural anomalies induce valuation spreads between closely related assets, sometimes large enough to create arbitrage opportunities.
STRATEGIES
The Fund invests chiefly in the Canadian markets employing arbitrage strategies on
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EVENT DRIVEN opportunities (mainly Mergers & acquisitions, but also new issues & other opportunities that can be arbitraged)
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CONVERTIBLE securities (mainly convertible debentures/bonds, but also warrants & other exchangeable securities)
In normal course, the Fund is generally split 50/50 between the 2 core strategies. However, at any given time, relative weightings will vary according to each strategy's opportunity sets.
OBJECTIVES
Amethyst's primary objective is to realize an absolute positive return, independant of general market fluctuations, of 5 to 10% above 3-month short term rates (CAN 91d. T-Bills rates or 3mo US Libor, depending on product version), within an annualized volatility range of 5 to 7%.
As the Fund is targetted principally to institutional-type clients, most notably pension plans, emphasis on capital protection is predominent and implies :
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cash & equivalents when the opportunity sets temporarily contract
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conversative use of leverage, strictly limited to prime-broker standard margin
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a highly diversified portfolio of arbitrage positions
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coherent and practical risk limiting control measures
Through a systematic bottom-up approach to opportunity detection, rigorous analysis and disciplined portfolio management since its inception in 1998, Amethyst has been able to achieve a high degree of return independance vis-a-vis both traditional asset classes and comparable arbitrage strategies.
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