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Transcript of Bloomberg BRIEF - .Bloomberg Hedge Funds ... bloomberg brief hedge funds newsletter Ted Merz...

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    News, aNalysis aNd CommeNtary

    market callsMarshall Waces Amit Rajpal anticipates a full-blown credit crisis in Brazil. One William Street prepares to deploy capital if there is an adverse event. page 6

    milestonesA new section detailing achievements by global hedge funds. This week: Candlewood, Fortress, Strategos, Greylock. page 4

    from the minutesThree California municipalities have been discussing, investing in and being educated about hedge funds. page 5

    regulatory/complianceBernard Madoffs victim pool may grow to $7 billion next month, Adam Smiths role in the Galleon case. page 7

    returns in briefPIMCO Multi-Asset Volatility Fund, Boaz Weinsteins Saba Capital. page 2

    oVer the heDgeTwelve hedge fund managers, including Ste-ven Cohen and Ken Griffin, made ARTnews magazines 22nd annual list of top art collec-tors. page 8

    calenDarpage 11

    spotlightSio Capital Management LLC Founder Michael Castor, a medical doctor, discusses his strategy of investing in healthcare stocks. page 12

    By KeLLy BIT And nAThAnIeL BAKeRFormer royal bank of canada and bank of america corp. proprietary traders plan

    to launch a mortgage hedge fund at new york-based tandem global management lp next month.

    stuart lippman, 40, chief investment officer of the Tandem Mortgage Opportunity Fund, was formerly a managing director and senior portfolio manager in the non-agency mortgage credit business of Royal Bank of Canadas proprietary trading group, according to a presentation dated May 25 that was obtained by Bloomberg news. David liu, 43, chief strategist and portfolio manager at the new fund, managed portfolios in the global proprietary trading group at Bank of America.

    The fund will focus primarily on U.S. non-agency residential mortgage-backed securi-ties, commercial mortgage-backed securities and asset-backed securities, Lippman said in a telephone interview. he and Liu aim to start the fund at the end of July with $100 million and raise up to $500 million in 12 to 18 months, he said.

    goldman sachs group inc., hayman capital management lp, cerberus capital management lp, and canyon partners llc are among firms that are have started or are seeking money for pools to invest in U.S. residential mortgages without government backing. The $1.1 trillion market for bonds tied to U.S. residential mortgages that lack guarantees from government-supported Fannie Mae and Freddie Mac or U.S.-owned Ginnie Mae gained 10.5 percent in the first five months of 2012 after losing 6.9 percent last year, according to amherst securities group lp.

    We view the opportunity set for smaller-sized managers in the space as extremely interesting at the moment, Lippman said. Since the end of the first quarter the market has experienced some retracement and dislocation providing entrants with an excellent opportunity set across asset types.

    Before RBC, Lippman worked at ubs ag in the investment bank, where he built the secondary trading desk in both asset-backed securities and subprime mortgages, Tan-dem said in the presentation. Before that, he was a senior portfolio manager at alliance capital management lp. Liu was head of mortgage credit research at UBS prior to his role at Bank of America. Before that, he was vice president of asset-backed securities research at Deutsche bank ag.

    Lippman and Liu are currently fundraising for the fund. Lippman declined to say how much in assets Tandem has firm wide. Tandem was founded in 2008 by kevin murphy, Joe petri and James tammaro. The firm also has an emerging markets fund run by ruggero de rossi, partner and chief investment officer, it said in the presentation.

    With assistance from Jody Shenn in New York.

    Ex-RBC, BofA Prop Traders to Start Mortgage Fund


    retirement Plan for Chicago transit authority employees $30 millionactive, low volatility fund

    of hedge funds manager sought by public pension.

    standard deviation of less than 5% (annualized). Questions due June 29. see website for more


    dillon trust Company $5 to $25 millionilliquid credit strategy,

    including rmBs, non-performing loans in europe.

    Both small and large funds sought. see story, page 5.

    nEw MAndATES

    BRIEF Bloomberg Hedge Funds 06.26.12

    This document is being provided for the exclusive use of MICHELLE KRINKE at SIO CAPITAL MANAGEME

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    Source: Bloomberg Hedge Fund Indices Type HFND TO view reTurN sTaTisTics


    The PIMCO Multi-Asset Volatility Fund rose 2.4 percent last month and 5.3 percent this year, according to a letter to investors dated May 31 that was obtained by Bloom-berg news. The monthly gain was driven by the funds tactical strategies and tail hedges, newport Beach, California-based pacific investment management co. said in the letter. The fund trades volatility, interest rates, stocks, commodities and curren-cies, makes relative-value plays and tail-risk hedges and uses macro-economic views. Out of the funds tail hedges, the biggest contributor was a basket of out-of-the-money 30-year receiver swaptions and 30-year Treasury call options that were purchased in late March, PIMCO said. The funds portfolio managers are Josh thimons, Josh Davis and matt Dorsten.

    boaz Weinsteins saba capital management lp, the $5.7 billion credit hedge fund, posted a 1.3 percent May gain in its $5 billion Saba Capital Master Fund Ltd., bringing year-to-date returns to 1 percent, according to an update to investors that was obtained by Bloomberg.

    altum capital management llc returned 0.9 percent last month in its Altum Credit Fund Ltd., bringing yearly gains to 7.5 percent, according to a letter to investors that was obtained by Bloomberg. marjorie hogan is senior portfolio manager at new york-based Altum. The master fund has $257 million in assets, the firm said in the letter.

    Kelly Bit

    For this weeks Performance Snapshot, featuring CTAs, see page 10.

    Well, I paid it. Wilbur Ross, when asked about the

    $11.3 million he paid to acquire a Rene Magritte painting. Ross purchased

    the 1928 work, Les jours gigantiques at an auction in London last week

    (see story, page 8).

    quoTE oF ThE wEEk

    STRATEgy BlooMBERg IndEx CodE 2010 20112012 yEAR To dATE MAy 2012

    mortgage-Backed arbitrage BBHFmarB 24.6 12.5 9.3 0.1

    asset-Backed securities BBHFastB 13.3 3.5 5.4 -0.1

    equity statistical arbitrage BBHFstat 3.4 -5.1 5.2 -1.9

    distressed securities BBHFdist 1.7 -6.7 5.1 -0.3

    Convertible arbitrage BBHFCarB 7.3 -0.7 4.0 -0.4

    long Biased equities BBHFloNG 11.0 -15.3 3.6 -3.5

    Capital structure arbitrage BBHFCred 2.1 1.3 3.5 -0.3

    Fixed income arbitrage BBHFFarB 11.2 5.0 2.9 1.3

    merger arbitrage BBHFmerG 2.1 -2.6 0.8 -2.5

    market-Neutral equities BBHFmNFl 0.1 -2.5 0.6 -3.9

    long/short equities BBHFlseQ 7.3 -6.0 -0.2 -3.2

    Global macro BBHFmCro 4.4 -6.5 -0.9 -2.6

    Global aggregate index BBHFUNds 10.3 -6.2 -1.3 -2.9

    multi-strategy BBHFmlti 3.7 -2.9 -3.2 -3.9

    Cta/managed Futures BBHFmGdF 9.1 -6.3 -3.8 -2.2

    short-Biased equities BBHFsHrt 1.7 -4.2 -6.8 -2.8

    06.26.12 Bloomberg Brief | Hedge Funds 2

    bloomberg brief hedge funds newsletter Ted Merz executive editor 212-617-2309

    bloomberg news Larry Edelman managing editor 617-210-4621

    hedge funds Nathaniel E. Baker editors 212-617-2741 Melissa Karsh 212-617-4557

    reporter Kelly Bit 212-617-1097

    contributing Katherine Burton reporters 212-617-2335

    Saijel Kishan 212-617-6662

    contributing Matthew Kelly Data editors 609-279-5064

    Anibal Arrascue 609-279-5084

    newsletter Nick Ferris business manager 212-617-6975

    advertising 212-617-6975

    reprints & Lori Husted permissions 717-505-9701

    To subscribe via the Bloomberg Terminal type BRIEF or on the web at

    2012 Bloomberg LP. All rights reserved.

    This newsletter and its contents may not be forwarded or redistributed without the prior consent of Bloomberg. Please contact our reprints and permissions group listed above for more information.

    This document is being provided for the exclusive use of MICHELLE KRINKE at SIO CAPITAL MANAGEME

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    XLF Top 10 Holdings Symbol Portfolio %1. JP Morgan Chase JPM 8.79%2. Wells FargoWFC 8.58%3. Berkshire Hathaway B BRK/B 8.10%4. Citigroup

    C 5.39%5. Bank of America BAC 4.88%6. Goldman Sachs GS 3.65%7. American Express AXP 3.41%8. U.S. Bancorp USB 2.93%9. Simon Property SPG 2.34%10. MetLifeMET 2.18%

    06.26.12 Bloomberg Brief | Hedge Funds 3

    This document is being provided for the exclusive use of MICHELLE KRINKE at SIO CAPITAL MANAGEME

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    Candlewood Structured Credit Fund Ltd. closed to new investors June 1 with about $622 million, according to its monthly update to investors, a copy of which was obtained by Bloomberg. The fund managed by new york-based candlewood investment group lp in May completed its 17th straight month of positive returns, a record dat