Thames River FoFs Ride Paulson’s Sub-Prime Shorts

Aug 3 2007 | 11:54am ET

Single-strategy funds shorting the sub-prime market and the funds of funds that invest in them have made off like thieves in the current market downturn, and Thames River Capital is no exception.

The firm’s multi-strategy FoFs along with its distressed FoF are all up over 10% through June on the strength of Paulson & Co.’s Paulson Advantage Plus Fund. Thames River’s  US$26.4 million Distressed Focus Fund gained 2.5% last month and 10.53% YTD.

“June was a strong month for Distressed Focus, with the top performance and the main contribution to the months return from the short exposure to ABS in Paulson Advantage Plus, at 18.5% in a month where credit spreads widened across the board,” wrote portfolio managers Ken Kinsey-Quick and Alex Kuiper in their monthly investor letter.

The £84.3 million multi-strategy Thames River Hedge+ was up 2.17% in June and is up 11.59% year-to-date. Its core portfolio contributed 55% of the month’s performance, with Paulson Advantage Plus leading the way. It is the core portfolio’s top performer year to date at 51%.

The firm’s other multi-strat funds of funds, the $224.3 million Warrior II Fund, which launched in Nov. 2006, returned 1.53% in June and 13.52% YTD while its predecessor vehicle, the $629.5 million Warrior Fund, was up 2.19% in June and 13.87% YTD.

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