Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q1 2017 (← Previous) (Next →)

Filing Date: May 12, 2017

Total Value ($000): $125,084 (4.3% shares, 95.7% debt)

Holdings (38)

— TTM TECHNOLOGIES INC 8.5%

Value ($000) $10,637 Shares 6,020,000 Est. Cost $1.51 Unrealized —

— LGI HOMES INC 7.5%

Value ($000) $9,386 Shares 5,693,000 Est. Cost $1.43 Unrealized —

— PDL BIOPHARMA INC 6.0%

Value ($000) $7,546 Shares 8,575,000 Est. Cost $0.82 Unrealized —

— CARRIAGE SVCS INC 5.2%

Value ($000) $6,523 Shares 5,000,000 Est. Cost $1.24 Unrealized —

— SOLARCITY CORP 5.1%

Value ($000) $6,425 Shares 7,189,000 Est. Cost $0.88 Unrealized —

— APOLLO COML REAL EST FIN INC 5.0%

Value ($000) $6,220 Shares 5,670,000 Est. Cost $1.09 Unrealized —

— TESLA INC 4.7%

Value ($000) $5,892 Shares 6,000,000 Est. Cost $0.98 Unrealized —

— ENDOLOGIX INC 4.4%

Value ($000) $5,504 Shares 5,575,000 Est. Cost $1.00 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 3.6%

Value ($000) $4,564 Shares 4,469,000 Est. Cost $0.91 Unrealized —

— TOLL BROS FIN CORP 3.4%

Value ($000) $4,276 Shares 4,298,000 Est. Cost $0.99 Unrealized —

— CHESAPEAKE ENERGY CORP 3.3%

Value ($000) $4,153 Shares 4,000,000 Est. Cost $1.04 Unrealized —

— CTRIP COM INTL LTD 3.1%

Value ($000) $3,883 Shares 3,500,000 Est. Cost $1.08 Unrealized —

— ENCORE CAP GROUP INC 2.9%

Value ($000) $3,683 Shares 3,865,000 Est. Cost $1.00 Unrealized —

— ALBANY MOLECULAR RESH INC 2.9%

Value ($000) $3,637 Shares 3,325,000 Est. Cost $1.21 Unrealized —

— THERAVANCE BIOPHARMA INC 2.5%

Value ($000) $3,180 Shares 2,500,000 Est. Cost $1.20 Unrealized —

— PANDORA MEDIA INC 2.4%

Value ($000) $2,999 Shares 3,000,000 Est. Cost $1.00 Unrealized —

— CONVERGYS CORP 2.4%

Value ($000) $2,972 Shares 1,500,000 Est. Cost $1.98 Unrealized —

— KEYW HLDG CORP 2.3%

Value ($000) $2,903 Shares 3,000,000 Est. Cost $0.97 Unrealized —

— INTERCEPT PHARMACEUTICALS IN 2.2%

Value ($000) $2,804 Shares 3,000,000 Est. Cost $1.12 Unrealized —

— VERISIGN INC 2.0%

Value ($000) $2,554 Shares 1,000,000 Est. Cost $2.55 Unrealized —

— ACORDA THERAPEUTICS INC 2.0%

Value ($000) $2,547 Shares 3,000,000 Est. Cost $0.80 Unrealized —

— SILVER STD RES INC 1.8%

Value ($000) $2,208 Shares 2,250,000 Est. Cost $0.92 Unrealized —

— VECTOR GROUP LTD 1.6%

Value ($000) $2,061 Shares 1,817,000 Est. Cost $1.10 Unrealized —

— IGI LABORATORIES INC 1.6%

Value ($000) $2,005 Shares 2,000,000 Est. Cost $0.98 Unrealized —

— DEPOMED INC 1.5%

Value ($000) $1,884 Shares 2,000,000 Est. Cost $0.94 Unrealized —

— TWO HBRS INVT CORP 1.4%

Value ($000) $1,795 Shares 1,750,000 Est. Cost $1.03 Unrealized —

SPY SPDR S&P 500 ETF TR 1.4%

Value ($000) $1,768 Shares 7,500 Est. Cost $205.47 Unrealized —

VTI VANGUARD INDEX FDS 1.4%

Value ($000) $1,698 Shares 14,000 Est. Cost $105.41 Unrealized —

— ARBOR RLTY TR INC 1.3%

Value ($000) $1,579 Shares 1,500,000 Est. Cost $1.02 Unrealized —

— SEACOR HOLDINGS INC 1.2%

Value ($000) $1,526 Shares 1,500,000 Est. Cost $1.03 Unrealized —

— ALLEGHENY TECHNOLOGIES INC 1.0%

Value ($000) $1,263 Shares 850,000 Est. Cost $1.37 Unrealized —

AAPL APPLE INC 1.0%

Value ($000) $1,250 Shares 8,700 Est. Cost $26.09 Unrealized +16.7%

— AEGERION PHARMACEUTICALS INC 1.0%

Value ($000) $1,221 Shares 1,500,000 Est. Cost $0.69 Unrealized —

— NEW MTN FIN CORP 0.7%

Value ($000) $836 Shares 808,000 Est. Cost $1.03 Unrealized —

— KLR ENERGY ACQUISITION CORP 0.6%

Value ($000) $724 Shares 70,138 Est. Cost $10.32 Unrealized —

— TESLA INC 0.4%

Value ($000) $519 Shares 500,000 Est. Cost $1.04 Unrealized —

— COBALT INTL ENERGY INC 0.3%

Value ($000) $340 Shares 1,000,000 Est. Cost $0.58 Unrealized —

— COBALT INTL ENERGY INC 0.1%

Value ($000) $119 Shares 500,000 Est. Cost $0.68 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	TTM TECHNOLOGIES INC	6,020,000	$10,637	8.5%	$1.51	—	NOTE 1.750%12/1	87305RAD1
—	LGI HOMES INC	5,693,000	$9,386	7.5%	$1.43	—	NOTE 4.250%11/1	50187TAB2
—	PDL BIOPHARMA INC	8,575,000	$7,546	6.0%	$0.82	—	NOTE 2.750%12/0	69329YAG9
—	CARRIAGE SVCS INC	5,000,000	$6,523	5.2%	$1.24	—	NOTE 2.750% 3/1	143905AM9
—	SOLARCITY CORP	7,189,000	$6,425	5.1%	$0.88	—	NOTE 1.625%11/0	83416TAC4
—	APOLLO COML REAL EST FIN INC	5,670,000	$6,220	5.0%	$1.09	—	NOTE 5.500% 3/1	03762UAA3
—	TESLA INC	6,000,000	$5,892	4.7%	$0.98	—	NOTE 1.250% 3/0	88160RAC5
—	ENDOLOGIX INC	5,575,000	$5,504	4.4%	$1.00	—	NOTE 3.250%11/0	29266SAB2
—	SPECTRUM PHARMACEUTICALS INC	4,469,000	$4,564	3.6%	$0.91	—	NOTE 2.750%12/1	84763AAB4
—	TOLL BROS FIN CORP	4,298,000	$4,276	3.4%	$0.99	—	NOTE 0.500% 9/1	88947EAM2
—	CHESAPEAKE ENERGY CORP	4,000,000	$4,153	3.3%	$1.04	—	NOTE 5.500% 9/1	165167CR6
—	CTRIP COM INTL LTD	3,500,000	$3,883	3.1%	$1.08	—	NOTE 1.000% 7/0	22943FAF7
—	ENCORE CAP GROUP INC	3,865,000	$3,683	2.9%	$1.00	—	NOTE 3.000% 7/0	292554AF9
—	ALBANY MOLECULAR RESH INC	3,325,000	$3,637	2.9%	$1.21	—	NOTE 2.250%11/1	012423AB5
—	THERAVANCE BIOPHARMA INC	2,500,000	$3,180	2.5%	$1.20	—	NOTE 3.250%11/0	88339KAA0
—	PANDORA MEDIA INC	3,000,000	$2,999	2.4%	$1.00	—	NOTE 1.750%12/0	698354AB3
—	CONVERGYS CORP	1,500,000	$2,972	2.4%	$1.98	—	SDCV 5.750% 9/1	212485AE6
—	KEYW HLDG CORP	3,000,000	$2,903	2.3%	$0.97	—	NOTE 2.500% 7/1	493723AA8
—	INTERCEPT PHARMACEUTICALS IN	3,000,000	$2,804	2.2%	$1.12	—	NOTE 3.250% 7/0	45845PAA6
—	VERISIGN INC	1,000,000	$2,554	2.0%	$2.55	—	SDCV 3.250% 8/1	92343EAD4
—	ACORDA THERAPEUTICS INC	3,000,000	$2,547	2.0%	$0.80	—	NOTE 1.750% 6/1	00484MAA4
—	SILVER STD RES INC	2,250,000	$2,208	1.8%	$0.92	—	NOTE 2.875% 2/0	82823LAC0
—	VECTOR GROUP LTD	1,817,000	$2,061	1.6%	$1.10	—	NOTE 1.750% 4/1	92240MBC1
—	IGI LABORATORIES INC	2,000,000	$2,005	1.6%	$0.98	—	NOTE 3.750%12/1	449575AB5
—	DEPOMED INC	2,000,000	$1,884	1.5%	$0.94	—	NOTE 2.500% 9/0	249908AA2
—	TWO HBRS INVT CORP	1,750,000	$1,795	1.4%	$1.03	—	NOTE 6.250% 1/1	90187BAA9
SPY	SPDR S&P 500 ETF TR	7,500	$1,768	1.4%	$205.47	—	TR UNIT	78462F103
VTI	VANGUARD INDEX FDS	14,000	$1,698	1.4%	$105.41	—	TOTAL STK MKT	922908769
—	ARBOR RLTY TR INC	1,500,000	$1,579	1.3%	$1.02	—	NOTE 6.500%10/0	038923AA6
—	SEACOR HOLDINGS INC	1,500,000	$1,526	1.2%	$1.03	—	NOTE 2.500%12/1	811904AM3
—	ALLEGHENY TECHNOLOGIES INC	850,000	$1,263	1.0%	$1.37	—	NOTE 4.750% 7/0	01741RAG7
AAPL	APPLE INC	8,700	$1,250	1.0%	$26.09	+16.7%	COM	037833100
—	AEGERION PHARMACEUTICALS INC	1,500,000	$1,221	1.0%	$0.69	—	NOTE 2.000% 8/1	00767EAB8
—	NEW MTN FIN CORP	808,000	$836	0.7%	$1.03	—	NOTE 5.000% 6/1	647551AB6
—	KLR ENERGY ACQUISITION CORP	70,138	$724	0.6%	$10.32	—	CL A	49877M108
—	TESLA INC	500,000	$519	0.4%	$1.04	—	NOTE 2.375% 3/1	88160RAD3
—	COBALT INTL ENERGY INC	1,000,000	$340	0.3%	$0.58	—	NOTE 2.625%12/0	19075FAA4
—	COBALT INTL ENERGY INC	500,000	$119	0.1%	$0.68	—	NOTE 3.125% 5/1	19075FAB2