Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q4 2015 (← Previous) (Next →)

Filing Date: Feb 4, 2016

Total Value ($000): $64,201 (10.5% shares, 89.5% debt)

Holdings (41)

— SEACOR HOLDINGS INC 8.8%

Value ($000) $5,647 Shares 6,000,000 Est. Cost $0.99 Unrealized —

— VECTOR GROUP LTD 7.1%

Value ($000) $4,587 Shares 4,004,000 Est. Cost $1.08 Unrealized —

— AFFYMETRIX INC 6.7%

Value ($000) $4,324 Shares 2,400,000 Est. Cost $1.82 Unrealized —

— ENDOLOGIX INC 5.9%

Value ($000) $3,793 Shares 3,500,000 Est. Cost $1.08 Unrealized —

— SEQUENOM INC 5.6%

Value ($000) $3,616 Shares 4,500,000 Est. Cost $0.97 Unrealized —

— CARRIAGE SERVICES INC 5.5%

Value ($000) $3,558 Shares 3,000,000 Est. Cost $1.11 Unrealized —

— PDL BIOPHARMA INC 5.5%

Value ($000) $3,547 Shares 4,420,000 Est. Cost $0.94 Unrealized —

— ALBANY MOLECULAR RESEARCH 5.5%

Value ($000) $3,527 Shares 2,625,000 Est. Cost $1.34 Unrealized —

— ENCORE CAPITAL GROUP INC 4.4%

Value ($000) $2,826 Shares 3,335,000 Est. Cost $1.10 Unrealized —

— RAMCO-GERSHENSON PPTYS TR 4.1%

Value ($000) $2,659 Shares 43,556 Est. Cost $55.74 Unrealized —

— TESLA MOTORS INC 3.9%

Value ($000) $2,485 Shares 2,700,000 Est. Cost $0.92 Unrealized —

— NEW MOUNTAIN FINANCE CORP 3.1%

Value ($000) $1,995 Shares 2,038,000 Est. Cost $1.00 Unrealized —

— GARNERO GROUP ACQUISITION 3.0%

Value ($000) $1,937 Shares 197,500 Est. Cost $9.55 Unrealized —

— SOLARCITY CORP 3.0%

Value ($000) $1,925 Shares 2,385,000 Est. Cost $0.81 Unrealized —

— TWITTER INC 2.6%

Value ($000) $1,700 Shares 2,000,000 Est. Cost $0.85 Unrealized —

— IMPERIAL HOLDINGS INC 2.4%

Value ($000) $1,547 Shares 1,769,000 Est. Cost $1.13 Unrealized —

— TESLA MOTORS INC 2.3%

Value ($000) $1,503 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— ACCURAY INC 2.1%

Value ($000) $1,359 Shares 1,000,000 Est. Cost $1.37 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 2.1%

Value ($000) $1,324 Shares 1,500,000 Est. Cost $0.91 Unrealized —

— XILINX INC 1.9%

Value ($000) $1,220 Shares 750,000 Est. Cost $1.63 Unrealized —

— QUIDEL CORP 1.9%

Value ($000) $1,217 Shares 1,250,000 Est. Cost $1.11 Unrealized —

— MONSTER WORLDWIDE INC 1.7%

Value ($000) $1,073 Shares 845,000 Est. Cost $1.27 Unrealized —

— CEPHEID INC 1.4%

Value ($000) $894 Shares 1,000,000 Est. Cost $0.89 Unrealized —

— AEGERION PHARMACEUTICALS INC 1.3%

Value ($000) $836 Shares 1,250,000 Est. Cost $0.75 Unrealized —

— ACCURAY INC 1.1%

Value ($000) $678 Shares 500,000 Est. Cost $1.37 Unrealized —

— FIFTH STREET FINANCE CORP 1.0%

Value ($000) $670 Shares 670,000 Est. Cost $1.00 Unrealized —

— COBALT INTERNATIONAL ENERGY 0.9%

Value ($000) $577 Shares 1,000,000 Est. Cost $0.58 Unrealized —

Value ($000) $532 Shares 16,000 Est. Cost $33.25 Unrealized —

— HORSEHEAD HOLDING CORP 0.7%

Value ($000) $459 Shares 1,775,000 Est. Cost $1.16 Unrealized —

— FRONTIER COMMUNICATIONS 0.5%

Value ($000) $344 Shares 3,766 Est. Cost $99.47 Unrealized —

— ENCORE CAPITAL GROUP INC 0.5%

Value ($000) $313 Shares 300,000 Est. Cost $1.45 Unrealized —

— BLACKROCK LTD DURATION INC 0.4%

Value ($000) $285 Shares 19,592 Est. Cost $14.44 Unrealized —

— COBALT INTERNATIONAL ENERGY 0.4%

Value ($000) $261 Shares 500,000 Est. Cost $0.68 Unrealized —

— WHITING PETROLEUM CORP 0.3%

Value ($000) $188 Shares 20,000 Est. Cost $9.40 Unrealized —

— BOULDER GROWTH & INCOME FD 0.3%

Value ($000) $180 Shares 23,278 Est. Cost $8.55 Unrealized —

— FIBROCELL SCIENCE INC 0.2%

Value ($000) $157 Shares 26,710 Est. Cost $3.95 Unrealized —

— WESTERN ASSET CLYM INFL SEC 0.2%

Value ($000) $153 Shares 14,485 Est. Cost $10.54 Unrealized —

— ROYCE VALUE TR INC 0.2%

Value ($000) $117 Shares 10,000 Est. Cost $11.50 Unrealized —

NXRT NEXPOINT RESIDENTIAL TR INC 0.1%

Value ($000) $85 Shares 6,519 Est. Cost $13.42 Unrealized —

— GARNERO GROUP ACQUISITION RIGHT 0.1%

Value ($000) $65 Shares 272,385 Est. Cost $0.28 Unrealized —

— GARNERO GROUP ACQUISITION WRNT 0.1%

Value ($000) $38 Shares 296,765 Est. Cost $80.03 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	SEACOR HOLDINGS INC	6,000,000	$5,647	8.8%	$0.99	—	CONV	811904AM3
—	VECTOR GROUP LTD	4,004,000	$4,587	7.1%	$1.08	—	CONV	92240MBC1
—	AFFYMETRIX INC	2,400,000	$4,324	6.7%	$1.82	—	CONV	00826TAH1
—	ENDOLOGIX INC	3,500,000	$3,793	5.9%	$1.08	—	CONV	29266SAB2
—	SEQUENOM INC	4,500,000	$3,616	5.6%	$0.97	—	CONV	817337AC2
—	CARRIAGE SERVICES INC	3,000,000	$3,558	5.5%	$1.11	—	CONV	143905AM9
—	PDL BIOPHARMA INC	4,420,000	$3,547	5.5%	$0.94	—	CONV	69329YAF1
—	ALBANY MOLECULAR RESEARCH	2,625,000	$3,527	5.5%	$1.34	—	CONV	012423AB5
—	ENCORE CAPITAL GROUP INC	3,335,000	$2,826	4.4%	$1.10	—	CONV	292554AF9
—	RAMCO-GERSHENSON PPTYS TR	43,556	$2,659	4.1%	$55.74	—	PREF	751452608
—	TESLA MOTORS INC	2,700,000	$2,485	3.9%	$0.92	—	CONV	88160RAC5
—	NEW MOUNTAIN FINANCE CORP	2,038,000	$1,995	3.1%	$1.00	—	CONV	647551AB6
—	GARNERO GROUP ACQUISITION	197,500	$1,937	3.0%	$9.55	—	COMM	G5866L108
—	SOLARCITY CORP	2,385,000	$1,925	3.0%	$0.81	—	CONV	83416TAC4
—	TWITTER INC	2,000,000	$1,700	2.6%	$0.85	—	CONV	90184LAB8
—	IMPERIAL HOLDINGS INC	1,769,000	$1,547	2.4%	$1.13	—	CONV	452834AE4
—	TESLA MOTORS INC	1,600,000	$1,503	2.3%	$0.93	—	CONV	88160RAB7
—	ACCURAY INC	1,000,000	$1,359	2.1%	$1.37	—	CONV	004397AF2
—	SPECTRUM PHARMACEUTICALS INC	1,500,000	$1,324	2.1%	$0.91	—	CONV	84763AAB4
—	XILINX INC	750,000	$1,220	1.9%	$1.63	—	CONV	983919AF8
—	QUIDEL CORP	1,250,000	$1,217	1.9%	$1.11	—	CONV	74838JAA9
—	MONSTER WORLDWIDE INC	845,000	$1,073	1.7%	$1.27	—	CONV	611742AB3
—	CEPHEID INC	1,000,000	$894	1.4%	$0.89	—	CONV	15670RAC1
—	AEGERION PHARMACEUTICALS INC	1,250,000	$836	1.3%	$0.75	—	CONV	00767EAB8
—	ACCURAY INC	500,000	$678	1.1%	$1.37	—	CONV	004397AD7
—	FIFTH STREET FINANCE CORP	670,000	$670	1.0%	$1.00	—	CONV	31679BAC4
—	COBALT INTERNATIONAL ENERGY	1,000,000	$577	0.9%	$0.58	—	CONV	19075FAA4
—	YAHOO	16,000	$532	0.8%	$33.25	—	COMM	984332106
—	HORSEHEAD HOLDING CORP	1,775,000	$459	0.7%	$1.16	—	CONV	440694AB3
—	FRONTIER COMMUNICATIONS	3,766	$344	0.5%	$99.47	—	PREF	35906A207
—	ENCORE CAPITAL GROUP INC	300,000	$313	0.5%	$1.45	—	CONV	292554AD4
—	BLACKROCK LTD DURATION INC	19,592	$285	0.4%	$14.44	—	FUND	09249W101
—	COBALT INTERNATIONAL ENERGY	500,000	$261	0.4%	$0.68	—	CONV	19075FAB2
—	WHITING PETROLEUM CORP	20,000	$188	0.3%	$9.40	—	COMM	966387102
—	BOULDER GROWTH & INCOME FD	23,278	$180	0.3%	$8.55	—	FUND	101507101
—	FIBROCELL SCIENCE INC	26,710	$157	0.2%	$3.95	—	COM	315721209
—	WESTERN ASSET CLYM INFL SEC	14,485	$153	0.2%	$10.54	—	COMM	95766Q106
—	ROYCE VALUE TR INC	10,000	$117	0.2%	$11.50	—	COMM	780910105
NXRT	NEXPOINT RESIDENTIAL TR INC	6,519	$85	0.1%	$13.42	—	COMM	65341D102
—	GARNERO GROUP ACQUISITION RIGHT	272,385	$65	0.1%	$0.28	—	COMM	G5866L132
—	GARNERO GROUP ACQUISITION WRNT	296,765	$38	0.1%	$80.03	—	WRNT	G5866L116