Vertex Arbitrage Fund

- Absolutely Alternative -

Overview

Portfolio Manager Craig Chilton & Tom Savage
Firm Assets $1.37 Billion
Fund Assets $131 Million
Purchase Minimum $25,000 (initial), $10,000 (subsequent)
Type of Fund Market-Neutral
Inception Date October 31, 2013
RSP/TFSA Eligible Yes
Performance Fee 15% of the amount exceeding the high water mark
Management Fee Class F: 1% Class B: 1.5%*
High Water Mark Yes
Valuation Frequency Monthly
Distribution Frequency Annually, if applicable.
Offering Type Offering Memorandum
Administration CIBC Mellon
Trustee CIBC Mellon
Prime Broker TD Securities Inc.
Auditor PwC

Strategy

"Merger arbitrage" will be the predominant strategy of the fund; this involves capturing a profit from the discount between the market price and the "deal" price for a target company in an announced, legally-binding merger situation. When part of the merger consideration includes shares of the acquiring company, the fund hedges by selling short these shares while simultaneously buying the target company shares. In a deal for cash consideration only there is no need to hedge with the acquirer's stock. The resulting portfolio is thus considered market-neutral.

Objective

The principal investment objective is to generate consistent, positive returns, with low volatility and low correlation to equity markets. With the majority of the return typically in the form of capital gains, the fund will be a tax efficient investment vehicle.

Portfolio Managers

Craig Chilton and Tom Savage are the portfolio managers of the Vertex Arbitrage Fund. Both joined Vertex One in January 2010 from CIBC’s highly successful, proprietary trading group.

Craig Chilton, CFA - Mr. Chilton has an extensive background in event-driven arbitrage strategies. Prior to joining Vertex One, he was a Managing Director with CIBC World Markets, where he spent 15 years as a proprietary trader in Toronto, New York and Vancouver. Craig began his finance career in investment banking with Lancaster Financial, and subsequently, Richardson Greenshields. Craig has over 20 years of experience in the investment industry; he is a CFA charterholder and a member of the Vancouver Society of Financial Analysts. He received a Bachelor of Applied Science (Electrical Engineering) from the University of Toronto.

Tom Savage, CFA, MBA - Mr. Savage has an extensive background in alternative strategies and is part of the Vertex One team specializing in merger arbitrage, event-driven arbitrage, and special situations. Prior to joining Vertex One, Tom was a proprietary trader with CIBC World Markets where he was responsible for equity and derivatives arbitrage and special situations strategies. Formerly, he worked in private equity at Birch Hill Equity Partners and began his career as an equity analyst at KBSH Capital Management. Tom is a CFA charterholder and a member of the Vancouver Society of Financial Analysts. He received a Bachelor of Commerce degree from Queen’s University and an MBA from Harvard Business School.

Fund Codes

  • Class F (NL) : VRT 901
  • Class B (FEL) : VRT 902 (closed to purchases)

Purchase Info

  • Minimum Investment :
  • $25,000 for accredited investors

Quarterly Commentary

Second Quarter Report, 2017 - In the second quarter the Vertex Arbitrage Fund and the Vertex Arbitrage Fund Plus returned 1.6% and 3.2%, respectively. The funds were up each month and there were no deal breaks. A notable event this quarter was the bidding war that broke out for Straight Path Communications. Straight Path is a holder of US wireless spectrum that had been targeted by a short seller as...

Vertex Arbitrage Fund F Performance

View Class B Statistics *Annualized compound returns. Returns are Net of all Fees and include reinvested distributions.

Class F Net Asset Value : $10.8762

As at June 30, 2017

1 Month

0.46%

3 Month

1.57%

6 Month

2.69%

YTD

2.69%

1 Year

5.68%

2 Year*

5.23%

3 Year*

4.01%

Cumulative Return

Since Inception*

Percent Positive Months

16.85% 4.33% 81.82%
 
 
 

Portfolio Details

Average Market Cap

# of Deals

# of SPACs*

$17 Billion 40 22

Exposure

%Long

103.16%

%Short

-33.23%

%Net

69.93%

*Special Purpose Acquisition Companies

Vertex Arbitrage Fund vs Benchmarks

FUND

FTSE TMX Canada Bond Universe Index

HFRI Equity Market Neutral Index

Beta 0.070.45
Correlation 0.150.36
Standard Deviation 2.03%4.14%1.66%
Cumulative Return 16.85%16.42%11.94%
Positive Months 81.82%59.09%75.00%
Median Monthly Return 0.45%0.23%0.26%
Sharpe Ratio† 1.580.771.22
Largest Monthly Gain 1.21%4.63%1.13%
Largest Monthly Loss -2.11%-2.07%-0.88%
Max Drawdown -2.11%-3.55%-0.88%
Max Drawdown Duration 6 Months13 Months4 Months

†Risk Free Rate = 1 Month LIBOR $USD (annualized)

*Returns are based on Class F shares. Inception Oct 31, 2013

*Net of fees and includes reinvested distributions

Historical Returns*

*Returns are based on Class F shares. Inception Oct 31, 2013

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

20170.32%0.61%0.17%0.68%0.41%0.46%2.69%
20160.60%0.69%1.20%-1.29%1.13%-0.03%0.20%0.45%0.73%-0.17%1.21%0.48%5.27%
20150.40%0.52%0.51%-0.03%0.91%-2.11%0.54%0.24%0.00%0.93%-0.25%0.95%2.60%
20140.27%0.39%0.43%0.64%0.04%0.64%0.26%0.07%0.10%-0.28%0.68%0.60%3.90%
20130.59%0.78%1.38%