LibreMax's Hedges Salvage Tough May

Jun 13 2011 | 12:28pm ET

At least one hedge fund hedged extremely well in a disappointing May for the industry.

LibreMax Capital, the New York-based firm headed by three former top Deutsche Bank traders, returned 1.15% last month, which the average hedge fund lost about as much, according to industry indices. But the $700 million firm did so in spite of its core portfolio—including the 45.6% of its assets invested in subprime mortgage securities.

LibreMax's gains in May, which brought the firm's year-to-date return to 5.9%, were the result of its hedges, especially its ABX index credit-default swaps, Bloomberg News reports.

The firm's main holdings fell 0.65%, LibreMax told investors in a letter.

LibreMax, which debuted in November, has returned 10.3% since inception.

The fund is helmed by Fred Brettschneider, Greg Lippmann, Eugene Lu and Jordan Milman. Brettschneider was head of global markets at Deutsche Bank and Lippmann was head of asset-backed securities trading. Xu was Lippman’s quantitative specialist at Deutsche Bank, earning himself a cameo in author Michael Lewis’s book, The Big Short. Milman is head of trading.


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Editor's Note