By: Manisha Sethi May. 09, 2018

Context Capital Management, LLC, reported its SEC 13F filings for the fourth quarter of 2017 on February 13, 2018, revealing a portfolio value of $168.30 million. The company was founded in 2001 by Michael Stuart Rosen and William David Fertig and is based in La Jolla, California, with an additional office in Greenwich, Connecticut. Context Capital Management, LLC, is a privately owned hedge fund sponsor that invests in the public equity and fixed income markets across the globe. It invests in high yield credit, convertible preferred stocks, convertible bonds, and corporate bonds. The firm also provides business consulting services to companies on matters such as corporate restructuring, capital formation, mergers and acquisitions, and management and strategic issues. It primarily provides its services to pooled investment vehicles as well as high net worth individuals and also manages separate client-focused portfolios. The firm makes use of strategies such as short positions, long positions, convertible arbitrage, capital structure arbitrage, catalyst/event driven, relative value, credit opportunity, and fundamental overlay. It employs a combination of fundamental analysis and technical analysis with a focus on a top-down and bottom-up stock picking approach alongside in-house research to make its investments.

Raltin analyzed new purchases by Context Capital Management, LLC, since Q1 2014 and calculated their annual internal rate of return (IRR). The analysis shows a key difference between the IRR of the stocks and that of SPDR S&P 500 ETF Trust (SPY): 15% of the new stock purchases outperformed the S&P 500 by more than 20% (details of Raltin’s methodology are available here). Only 2 new purchases out of 26 (Q1 2014-Q4 2017) underperformed the S&P 500 by more than 10% and, overall, 16 of its new purchases underperformed the index. The following table shows the number of new stock purchases that outperformed the S&P.

S&P outperformance categoryNumber of new stock purchasesTotal new purchases (% )
>20%415
10 to 20%28
0 to 10%415
-10 to 0%1454
-20 to -10%14
<-20%14
Total stocks26

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Context Capital Management, LLC, bought 3 new stocks in the most recent quarter. The table below lists all its new buys in Q4 2017 along with their number of shares and holding value.

StocksNumber of sharesHolding value ($1,000)
Black Ridge Acquisition Corp (BRACU)140,0001,419
Hostess Brands, Inc. (TWNK)200,000463
WillScot Corporation Warrant (WSCWW)100,000144

The following table shows the portfolio value of the investor for the 5 quarters starting from Q1 2017 to Q1 2016 and the top holdings in each quarter that outperformed the S&P 500 IRR.

PeriodTotal portfolio value ($Mn)Top holdings (ticker, % IRR difference from S&P 500)
Q1 2017125.08
Q4 201691.26Apple, Inc. (AAPL, 26.82)
Q3 2016102.88
Q2 201686.07Wintrust Financial Corp. (WTFC, 34.45), iShares Nasdaq Biotechnology ETF (IBB, 5.07)
Q1 201680.44Apple, Inc. (AAPL, 17.11)