Evaluating the Chenavari Toro Capital 1 fund based on nothing but analysis of their returns, as is often done in algorithmic trading, a returns correlation can be drawn with the relative value category or the short volatility returns profile category. Based only on speculation of the returns profile and limited due diligence, the returns would might lead investors to believe the strategy is selling interest rate SWAPs. But the puzzle appears to miss a piece when one considers that fund says it uses no leverage in targeting an average annual return of 20 percent – a goal it has exceeded…
Chenavari’s Toro Capital Fund Continues Torrid Pace
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.