Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q2 2016 (← Previous) (Next →)

Filing Date: Aug 18, 2016

Total Value ($000): $86,072 (6.7% shares, 93.3% debt)

Holdings (36)

— MENTOR GRAPHICS CORP 9.6%

Value ($000) $8,245 Shares 7,500,000 Est. Cost $1.10 Unrealized —

— WEATHERFORD INTERNATIONAL 9.2%

Value ($000) $7,917 Shares 7,250,000 Est. Cost $1.09 Unrealized —

— ENDOLOGIX INC 7.8%

Value ($000) $6,690 Shares 5,125,000 Est. Cost $1.09 Unrealized —

— PDL BIOPHARMA INC 7.7%

Value ($000) $6,663 Shares 7,025,000 Est. Cost $0.93 Unrealized —

— ALBANY MOLECULAR RESEARCH 6.8%

Value ($000) $5,815 Shares 5,625,000 Est. Cost $1.22 Unrealized —

— LGI HOMES INC 5.9%

Value ($000) $5,053 Shares 3,250,000 Est. Cost $1.33 Unrealized —

— CARRIAGE SERVICES INC 4.4%

Value ($000) $3,827 Shares 3,250,000 Est. Cost $1.11 Unrealized —

— MEDICINES COMPANY 4.1%

Value ($000) $3,557 Shares 3,000,000 Est. Cost $1.19 Unrealized —

— QUIDEL CORP 4.1%

Value ($000) $3,510 Shares 3,750,000 Est. Cost $0.98 Unrealized —

— SEQUENOM INC 3.3%

Value ($000) $2,869 Shares 5,000,000 Est. Cost $0.93 Unrealized —

— HORIZON PHARMA INVESTMENT LT 3.3%

Value ($000) $2,850 Shares 3,120,000 Est. Cost $0.89 Unrealized —

— VECTOR GROUP LTD 3.2%

Value ($000) $2,793 Shares 2,504,000 Est. Cost $1.08 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 3.2%

Value ($000) $2,774 Shares 2,999,000 Est. Cost $0.92 Unrealized —

— ENCORE CAPITAL GROUP INC 2.6%

Value ($000) $2,230 Shares 2,230,000 Est. Cost $1.06 Unrealized —

— NEW MOUNTAIN FINANCE CORP 2.4%

Value ($000) $2,050 Shares 2,038,000 Est. Cost $1.00 Unrealized —

VTI VANGUARD TOTAL STOCK MKT ETF 2.4%

Value ($000) $2,036 Shares 19,000 Est. Cost $105.41 Unrealized —

— NRG YIELD INC-CLASS A 2.3%

Value ($000) $1,954 Shares 2,000,000 Est. Cost $0.98 Unrealized —

— ENDOLOGIX INC 2.1%

Value ($000) $1,828 Shares 1,971,000 Est. Cost $0.93 Unrealized —

— ACCURAY INC 2.0%

Value ($000) $1,690 Shares 1,500,000 Est. Cost $1.31 Unrealized —

— SOLARCITY CORP 1.8%

Value ($000) $1,585 Shares 2,415,000 Est. Cost $0.74 Unrealized —

SPY SPDR S&P 500 ETF TRUST 1.8%

Value ($000) $1,571 Shares 7,500 Est. Cost $205.47 Unrealized —

— TESLA MOTORS INC 1.6%

Value ($000) $1,400 Shares 1,700,000 Est. Cost $0.92 Unrealized —

— SOLARCITY CORP 1.4%

Value ($000) $1,184 Shares 1,560,000 Est. Cost $0.76 Unrealized —

— ACCURAY INC 1.3%

Value ($000) $1,127 Shares 1,000,000 Est. Cost $1.28 Unrealized —

— AEGERION PHARMACEUTICALS INC 1.1%

Value ($000) $982 Shares 1,760,000 Est. Cost $0.68 Unrealized —

— KLR ENERGY ACQUISITION CO-UT 0.9%

Value ($000) $806 Shares 79,472 Est. Cost $10.06 Unrealized —

— TTM TECHNOLOGIES 0.9%

Value ($000) $800 Shares 808,000 Est. Cost $0.89 Unrealized —

AAPL APPLE COMPUTER INC 0.7%

Value ($000) $564 Shares 5,900 Est. Cost $22.55 Unrealized +0.3%

IBB ISHARES NASDAQ BIOTECH INDX 0.6%

Value ($000) $515 Shares 2,000 Est. Cost $257.50 Unrealized —

— COBALT INTERNATIONAL ENERGY 0.4%

Value ($000) $365 Shares 1,000,000 Est. Cost $0.58 Unrealized —

— ENCORE CAPITAL GROUP INC 0.3%

Value ($000) $296 Shares 300,000 Est. Cost $1.12 Unrealized —

— BOULDER GROWTH & INCOME FD 0.2%

Value ($000) $189 Shares 23,278 Est. Cost $8.55 Unrealized —

— COBALT INTERNATIONAL ENERGY 0.2%

Value ($000) $167 Shares 500,000 Est. Cost $0.68 Unrealized —

— GSV CAPITAL CORP 0.1%

Value ($000) $99 Shares 108,000 Est. Cost $0.92 Unrealized —

— GARNERO GROUP ACQUISITION CO 0.1%

Value ($000) $46 Shares 264,585 Est. Cost $0.28 Unrealized —

— GARNERO GROUP ACQUISITION CO 0.0%

Value ($000) $25 Shares 296,725 Est. Cost $80.03 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	MENTOR GRAPHICS CORP	7,500,000	$8,245	9.6%	$1.10	—	CONV	587200AK2
—	WEATHERFORD INTERNATIONAL	7,250,000	$7,917	9.2%	$1.09	—	CONV	947075AH0
—	ENDOLOGIX INC	5,125,000	$6,690	7.8%	$1.09	—	CONV	29266SAB2
—	PDL BIOPHARMA INC	7,025,000	$6,663	7.7%	$0.93	—	CONV	69329YAF1
—	ALBANY MOLECULAR RESEARCH	5,625,000	$5,815	6.8%	$1.22	—	CONV	012423AB5
—	LGI HOMES INC	3,250,000	$5,053	5.9%	$1.33	—	CONV	50187TAB2
—	CARRIAGE SERVICES INC	3,250,000	$3,827	4.4%	$1.11	—	CONV	143905AM9
—	MEDICINES COMPANY	3,000,000	$3,557	4.1%	$1.19	—	CONV	584688AE5
—	QUIDEL CORP	3,750,000	$3,510	4.1%	$0.98	—	CONV	74838JAA9
—	SEQUENOM INC	5,000,000	$2,869	3.3%	$0.93	—	CONV	817337AC2
—	HORIZON PHARMA INVESTMENT LT	3,120,000	$2,850	3.3%	$0.89	—	CONV	44052TAB7
—	VECTOR GROUP LTD	2,504,000	$2,793	3.2%	$1.08	—	CONV	92240MBC1
—	SPECTRUM PHARMACEUTICALS INC	2,999,000	$2,774	3.2%	$0.92	—	CONV	84763AAB4
—	ENCORE CAPITAL GROUP INC	2,230,000	$2,230	2.6%	$1.06	—	CONV	292554AF9
—	NEW MOUNTAIN FINANCE CORP	2,038,000	$2,050	2.4%	$1.00	—	CONV	647551AB6
VTI	VANGUARD TOTAL STOCK MKT ETF	19,000	$2,036	2.4%	$105.41	—	ETF	922908769
—	NRG YIELD INC-CLASS A	2,000,000	$1,954	2.3%	$0.98	—	CONV	62942XAA6
—	ENDOLOGIX INC	1,971,000	$1,828	2.1%	$0.93	—	CONV	29266SAA4
—	ACCURAY INC	1,500,000	$1,690	2.0%	$1.31	—	CONV	004397AF2
—	SOLARCITY CORP	2,415,000	$1,585	1.8%	$0.74	—	CONV	83416TAC4
SPY	SPDR S&P 500 ETF TRUST	7,500	$1,571	1.8%	$205.47	—	ETF	78462F103
—	TESLA MOTORS INC	1,700,000	$1,400	1.6%	$0.92	—	CONV	88160RAC5
—	SOLARCITY CORP	1,560,000	$1,184	1.4%	$0.76	—	CONV	83416TAA8
—	ACCURAY INC	1,000,000	$1,127	1.3%	$1.28	—	CONV	004397AD7
—	AEGERION PHARMACEUTICALS INC	1,760,000	$982	1.1%	$0.68	—	CONV	00767EAB8
—	KLR ENERGY ACQUISITION CO-UT	79,472	$806	0.9%	$10.06	—	UNIT	49877M207
—	TTM TECHNOLOGIES	808,000	$800	0.9%	$0.89	—	CONV	87305RAD1
AAPL	APPLE COMPUTER INC	5,900	$564	0.7%	$22.55	+0.3%	COMM	037833100
IBB	ISHARES NASDAQ BIOTECH INDX	2,000	$515	0.6%	$257.50	—	ETF	464287556
—	COBALT INTERNATIONAL ENERGY	1,000,000	$365	0.4%	$0.58	—	CONV	19075FAA4
—	ENCORE CAPITAL GROUP INC	300,000	$296	0.3%	$1.12	—	CONV	292554AD4
—	BOULDER GROWTH & INCOME FD	23,278	$189	0.2%	$8.55	—	FUND	101507101
—	COBALT INTERNATIONAL ENERGY	500,000	$167	0.2%	$0.68	—	CONV	19075FAB2
—	GSV CAPITAL CORP	108,000	$99	0.1%	$0.92	—	CONV	36191JAB7
—	GARNERO GROUP ACQUISITION CO	264,585	$46	0.1%	$0.28	—	COMM	G5866L132
—	GARNERO GROUP ACQUISITION CO	296,725	$25	0.0%	$80.03	—	WRNT	G5866L116