Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q1 2016 (← Previous) (Next →)

Filing Date: Apr 26, 2016

Total Value ($000): $80,444 (14.2% shares, 85.8% debt)

Holdings (47)

— ALBANY MOLECULAR RESEARCH INC 7.8%

Value ($000) $6,240 Shares 5,625,000 Est. Cost $1.22 Unrealized —

— AFFYMETRIX INC. 7.2%

Value ($000) $5,774 Shares 2,400,000 Est. Cost $1.82 Unrealized —

— SEACOR HOLDINGS INC 7.1%

Value ($000) $5,712 Shares 6,000,000 Est. Cost $0.99 Unrealized —

— PDL BIOPHARMA INC 6.6%

Value ($000) $5,349 Shares 5,920,000 Est. Cost $0.93 Unrealized —

— VECTOR GROUP LTD 5.5%

Value ($000) $4,452 Shares 4,004,000 Est. Cost $1.08 Unrealized —

— ENDOLOGIX INC 5.4%

Value ($000) $4,312 Shares 4,500,000 Est. Cost $1.06 Unrealized —

— CARRIAGE SVCS INC 4.1%

Value ($000) $3,316 Shares 3,000,000 Est. Cost $1.11 Unrealized —

— LGI HOMES INC 3.9%

Value ($000) $3,156 Shares 2,500,000 Est. Cost $1.26 Unrealized —

— ENCORE CAP GROUP 3.8%

Value ($000) $3,029 Shares 3,865,000 Est. Cost $1.06 Unrealized —

— SEQUENOM INC 3.6%

Value ($000) $2,886 Shares 4,500,000 Est. Cost $0.97 Unrealized —

— RAMCO-GERSHENSON PPTYS TR 3.5%

Value ($000) $2,842 Shares 43,556 Est. Cost $55.74 Unrealized —

— TESLA MTRS INC 2.9%

Value ($000) $2,314 Shares 2,700,000 Est. Cost $0.92 Unrealized —

— QUIDEL CORP 2.5%

Value ($000) $2,019 Shares 2,250,000 Est. Cost $1.01 Unrealized —

— NEW MTN FIN CORP 2.5%

Value ($000) $2,019 Shares 2,038,000 Est. Cost $1.00 Unrealized —

— GARNERO GROUP ACQUISITION 2.4%

Value ($000) $1,961 Shares 197,500 Est. Cost $9.55 Unrealized —

— SOLARCITY CORP 2.4%

Value ($000) $1,951 Shares 3,385,000 Est. Cost $0.74 Unrealized —

— ACCURAY INC 2.2%

Value ($000) $1,806 Shares 1,500,000 Est. Cost $1.31 Unrealized —

SPY SPDR S&P 500 ETF TR 1.9%

Value ($000) $1,541 Shares 7,500 Est. Cost $205.47 Unrealized —

— IMPERIAL HLDGS INC 1.9%

Value ($000) $1,540 Shares 1,769,000 Est. Cost $1.13 Unrealized —

VTI VANGUARD INDEX FDS 1.8%

Value ($000) $1,467 Shares 14,000 Est. Cost $104.79 Unrealized —

— TESLA MTRS INC 1.8%

Value ($000) $1,454 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 1.6%

Value ($000) $1,316 Shares 1,500,000 Est. Cost $0.91 Unrealized —

— XILINX INC 1.5%

Value ($000) $1,236 Shares 800,000 Est. Cost $1.62 Unrealized —

— ACCURAY INC 1.5%

Value ($000) $1,204 Shares 1,000,000 Est. Cost $1.28 Unrealized —

— TTM TECHNOLOGIES INC 1.4%

Value ($000) $1,097 Shares 1,235,000 Est. Cost $0.89 Unrealized —

— ENCORE CAP GROUP 1.4%

Value ($000) $1,094 Shares 1,100,000 Est. Cost $1.12 Unrealized —

AAPL APPLE INC 1.4%

Value ($000) $1,089 Shares 10,000 Est. Cost $22.55 Unrealized 0.0%

— EXELIXIS INC 1.2%

Value ($000) $992 Shares 1,000,000 Est. Cost $0.99 Unrealized —

— HORIZON PHARMA INVT LTD 1.2%

Value ($000) $960 Shares 1,120,000 Est. Cost $0.86 Unrealized —

— MONSTER WORLDWIDE INC 1.1%

Value ($000) $916 Shares 1,000,000 Est. Cost $1.21 Unrealized —

— KLR ENERGY ACQUISITION CORP 1.1%

Value ($000) $900 Shares 89,472 Est. Cost $10.06 Unrealized —

— CEPHEID 1.1%

Value ($000) $898 Shares 1,000,000 Est. Cost $0.89 Unrealized —

— AEGERION PHARMACEUTICALS INC 1.1%

Value ($000) $898 Shares 1,760,000 Est. Cost $0.68 Unrealized —

— YAHOO INC 0.7%

Value ($000) $588 Shares 16,000 Est. Cost $33.25 Unrealized —

— COBALT INTL ENERGY INC 0.6%

Value ($000) $492 Shares 1,000,000 Est. Cost $0.58 Unrealized —

— FRONTIER COMMUNICATIONS CORP 0.5%

Value ($000) $392 Shares 3,766 Est. Cost $99.47 Unrealized —

— COBALT INTL ENERGY INC 0.3%

Value ($000) $207 Shares 500,000 Est. Cost $0.68 Unrealized —

— BOULDER GROWTH & INCOME FD I 0.2%

Value ($000) $183 Shares 23,278 Est. Cost $8.55 Unrealized —

— BLACKROCK LTD DURATION INC T 0.2%

Value ($000) $179 Shares 12,097 Est. Cost $14.44 Unrealized —

— SERVICESOURCE INTL INC 0.2%

Value ($000) $161 Shares 200,000 Est. Cost $0.81 Unrealized —

— HORSEHEAD HLDG CORP 0.2%

Value ($000) $142 Shares 1,775,000 Est. Cost $1.16 Unrealized —

— ROYCE VALUE TR INC 0.1%

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 —

— SUNEDISON INC 0.1%

Value ($000) $49 Shares 2,000,000 Est. Cost $0.02 Unrealized —

— GARNERO GROUP ACQUISITION RIGHT 0.1%

Value ($000) $46 Shares 272,385 Est. Cost $0.28 Unrealized —

— FIBROCELL SCIENCE INC 0.0%

Value ($000) $38 Shares 15,300 Est. Cost $3.95 Unrealized —

— GARNERO GROUP ACQUISITION WRNT 0.0%

Value ($000) $25 Shares 296,765 Est. Cost $80.03 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	ALBANY MOLECULAR RESEARCH INC	5,625,000	$6,240	7.8%	$1.22	—	CONV	012423AB5
—	AFFYMETRIX INC.	2,400,000	$5,774	7.2%	$1.82	—	CONV	00826TAH1
—	SEACOR HOLDINGS INC	6,000,000	$5,712	7.1%	$0.99	—	CONV	811904AM3
—	PDL BIOPHARMA INC	5,920,000	$5,349	6.6%	$0.93	—	CONV	69329YAF1
—	VECTOR GROUP LTD	4,004,000	$4,452	5.5%	$1.08	—	CONV	92240MBC1
—	ENDOLOGIX INC	4,500,000	$4,312	5.4%	$1.06	—	CONV	29266SAB2
—	CARRIAGE SVCS INC	3,000,000	$3,316	4.1%	$1.11	—	CONV	143905AM9
—	LGI HOMES INC	2,500,000	$3,156	3.9%	$1.26	—	CONV	50187TAB2
—	ENCORE CAP GROUP	3,865,000	$3,029	3.8%	$1.06	—	CONV	292554AF9
—	SEQUENOM INC	4,500,000	$2,886	3.6%	$0.97	—	CONV	817337AC2
—	RAMCO-GERSHENSON PPTYS TR	43,556	$2,842	3.5%	$55.74	—	PREF	751452608
—	TESLA MTRS INC	2,700,000	$2,314	2.9%	$0.92	—	CONV	88160RAC5
—	QUIDEL CORP	2,250,000	$2,019	2.5%	$1.01	—	CONV	74838JAA9
—	NEW MTN FIN CORP	2,038,000	$2,019	2.5%	$1.00	—	CONV	647551AB6
—	GARNERO GROUP ACQUISITION	197,500	$1,961	2.4%	$9.55	—	COMM	G5866L108
—	SOLARCITY CORP	3,385,000	$1,951	2.4%	$0.74	—	CONV	83416TAC4
—	ACCURAY INC	1,500,000	$1,806	2.2%	$1.31	—	CONV	004397AF2
SPY	SPDR S&P 500 ETF TR	7,500	$1,541	1.9%	$205.47	—	UNIT	78462F103
—	IMPERIAL HLDGS INC	1,769,000	$1,540	1.9%	$1.13	—	CONV	452834AE4
VTI	VANGUARD INDEX FDS	14,000	$1,467	1.8%	$104.79	—	FUND	922908769
—	TESLA MTRS INC	1,600,000	$1,454	1.8%	$0.93	—	CONV	88160RAB7
—	SPECTRUM PHARMACEUTICALS INC	1,500,000	$1,316	1.6%	$0.91	—	CONV	84763AAB4
—	XILINX INC	800,000	$1,236	1.5%	$1.62	—	CONV	983919AF8
—	ACCURAY INC	1,000,000	$1,204	1.5%	$1.28	—	CONV	004397AD7
—	TTM TECHNOLOGIES INC	1,235,000	$1,097	1.4%	$0.89	—	CONV	87305RAD1
—	ENCORE CAP GROUP	1,100,000	$1,094	1.4%	$1.12	—	CONV	292554AD4
AAPL	APPLE INC	10,000	$1,089	1.4%	$22.55	0.0%	COMM	037833100
—	EXELIXIS INC	1,000,000	$992	1.2%	$0.99	—	CONV	30161QAC8
—	HORIZON PHARMA INVT LTD	1,120,000	$960	1.2%	$0.86	—	CONV	44052TAB7
—	MONSTER WORLDWIDE INC	1,000,000	$916	1.1%	$1.21	—	CONV	611742AB3
—	KLR ENERGY ACQUISITION CORP	89,472	$900	1.1%	$10.06	—	UNIT	49877M207
—	CEPHEID	1,000,000	$898	1.1%	$0.89	—	CONV	15670RAC1
—	AEGERION PHARMACEUTICALS INC	1,760,000	$898	1.1%	$0.68	—	CONV	00767EAB8
—	YAHOO INC	16,000	$588	0.7%	$33.25	—	COMM	984332106
—	COBALT INTL ENERGY INC	1,000,000	$492	0.6%	$0.58	—	CONV	19075FAA4
—	FRONTIER COMMUNICATIONS CORP	3,766	$392	0.5%	$99.47	—	PREF	35906A207
—	COBALT INTL ENERGY INC	500,000	$207	0.3%	$0.68	—	CONV	19075FAB2
—	BOULDER GROWTH & INCOME FD I	23,278	$183	0.2%	$8.55	—	FUND	101507101
—	BLACKROCK LTD DURATION INC T	12,097	$179	0.2%	$14.44	—	FUND	09249W101
—	SERVICESOURCE INTL INC	200,000	$161	0.2%	$0.81	—	CONV	81763UAB6
—	HORSEHEAD HLDG CORP	1,775,000	$142	0.2%	$1.16	—	CONV	440694AB3
—	ROYCE VALUE TR INC	10,000	$117	0.1%	$11.50	—	COMM	780910105
NXRT	NEXPOINT RESIDENTIAL TR INC	6,519	$85	0.1%	$13.42	—	COMM	65341D102
—	SUNEDISON INC	2,000,000	$49	0.1%	$0.02	—	CONV	86732YAH2
—	GARNERO GROUP ACQUISITION RIGHT	272,385	$46	0.1%	$0.28	—	COMM	G5866L132
—	FIBROCELL SCIENCE INC	15,300	$38	0.0%	$3.95	—	COMM	315721209
—	GARNERO GROUP ACQUISITION WRNT	296,765	$25	0.0%	$80.03	—	WRNT	G5866L116