Liquidating a fund

Posted by / 01-Nov-2017 05:17

Liquidating a fund

Let us know in the comments section or the chat if you heard rumors of anything TTF-related last week.

If one had managed execute a long TTF/short THD (where THD is the i Shares MSCI Thailand Capped ETF (THD)) arbitrage as I had suggested was a possibility 6 months ago, the results would have been simply impressive!

Thus, I think it quite likely that the liquidation proposal will go through, given that it is a highly favorable event for existing shareholders.

As expected, TTF's discount instantly contracted on the news, jumping from -10.23% on 9/29 to -4.20% on 10/2.The actual liquidation might take place several months after that.Conservatively, we might expect 4% of alpha (gross) to be harvestable for a 6-month holding period, or 8% annualized (gross). First, there's the most obvious risk that the shareholders don't approve the liquidation.Note the last sentence: I really should have followed my own advice!Interestingly, TTF shareholders benefited not only from discount contraction, but also meaningful alpha generated by the CEF as can be seen from comparison of the NAV returns of TTF versus the benchmark ETF, THD.

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(April 24) Despite London only being partially successful with 1 out of the 12 CEFs thus far, all of the CEF/ETF arbitrage trades have been in profit.