Zafiro Capital Sárl : Zafiro Capital Commodities Trading Fund

Summary

Zafiro Capital Commodities Trading Fund is based in the Cayman Islands and was launched on 3rd November 2014. The oil-focused commodities strategy will utilise futures and options to generate superior absolute returns. The strategy is both discretionary and fundamental with mostly micro-reasoned positions to create diversity and de-correlation from other managers, strategies and the macro environment.

Investment Strategy

Our strategy will be to concentrate on investing and trading in exchange traded commodity futures, along with a smaller involvement in exchange traded options on commodity futures. The use of options may often be employed to protect the portfolio from the possibility of exogenous economic, geopolitical and weather events, while it can also be used to take advantage of the potential for incalculable volatility events during times of political or seasonal-weather related uncertainty. We anticipate that the majority of our risk (around 70%) will be in energy, and the remaining 30% will be split between base and precious metals, and agricultural commodities. However, we may make use of diversified strategies if the appropriate opportunity arises.

Risk Management

The board has ultimate control of the risk management of the fund, while the CFO/COO, Tony Simmonds, is responsible for the risk management of the Investment Manager. Tony is an ex-colleague of the IM, Stephen Smethurst, and has 25 years experience in a wide array of financial and operational roles. Extensive support with regards to risk management, including daily and intra-day internal risk reporting, will also be provided from the fund administrators, SS&C GlobeOp. We will employ a number of active risk management techniques to ensure we effectively balance long-term performance with shorter-term volatility. 5% of AUM is the hard VaR limit, at a 95% confidence level. We anticipate on running at around half this level in the medium to long term.