Bay Hill Launches Maiden Hedge Fund

Boston- and San Francisco-based Bay Hill Capital Management this month launched its first hedge fund, a multi-strategy volatility offering with $25 million in initial assets.

According to Alec Petro, managing partner, the Bay Hill Fund has three sub-strategies: volatility arbitrage, which is a broad vega-neutral, high-frequency portfolio; dispersion, which trades different stock indices against the components that make up those indices; and relative value, which is more opportunistic and flow-driven.

“They’re not correlated so it produces a nice robust return stream, specifically in volatility,” said Petro. “It’s unique and I don’t know of any funds out there that think of volatility in different sub-strategies and combine them.”

Petro said the volatility in the market will present the fund with plenty of opportunities going forward but “we like to think that we will perform reasonably well in low volatility as well as high volatility environments.”   

The fund charges a 2% management fee and a 20% incentive fee with a $1 million minimum investment requirement.

Petro, along with Doug Goldberg and Dominic Rugani, former partners at San Francisco-based Parallax Fund, are the co-principals of the firm.