UPDATE: Black Mesa Capital Hit By Market Turmoil

Aug 9 2007 | 2:49pm ET

Santa Fe, N.M.-based Black Mesa Capital, a quantitative-based hedge fund, has told investors that at least one very large hedge fund or investment bank is liquidating "massive" trading portfolios causing disruptions and triggering big losses among other market-neutral hedge funds, according to an investor letter obtained by MarketWatch

The firm's hedge fund reportedly manages some $3.8 billion in long and short positions and is down about 9% this month through August 8 and up 5% year to date, a source close to the firm told FINalternatives.

"Clearly, something is amiss in the markets that few in our strategy, if anyone, have experienced before," wrote Black Mesa's portfolio managers Dave DeMers and Jonathan Spring in the letter obtained by MarketWatch
Goldman Sachs earlier this week denied that it was liquidating its troubled quant flagship $10 billion hedge fund, Global Alpha, which lost almost 8% in the week ended July 27, and is down more than 12% year-to-date.

Black Mesa’s performance last month (+17%) definitely did not correlate to Goldman’s woes, according to the source, although for August no one knows because there seems to be highly correlated losses in the market-neutral space. But the source close to Black Mesa says one thing is clear: Investors are not redeeming.

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