Metacapital Management, L.P. is a fixed income hedge fund manager founded by former Lehman executives who launched their first fund, Metacapital Fixed Income Relative Value Fund, in January of 2002. It grew to $750mm AUM over 6 years and served 60+ institutional investors, all of whom earned positive cumulative net returns from their investment. Metacapital talent has been pricing prepayment and default options in mortgages and other securitized fixed income assets for over 20 years. The seasoned team of investment professionals has an in-depth understanding of mortgage market dynamics along with the specialized skill set required to successfully manage mortgage assets. These attributes, paired with an adherence to strict financial controls and operational standards give Metacapital a competitive edge in the space.
The Metacapital Mortgage Opportunities Fund's net annualized return target is 12-15% with a return volatility target of 6% or less. It invests in mortgage and asset-backed securities with a focus on Agency and non-Agency MBS, new types of mortgage loans, mortgage securities and mortgage derivatives. We expect to benefit from opportunities caused by pricing inefficiencies across the spectrum of the MBS, CMBS, ABS, Agency and Treasury markets. We do not speculate on the direction of interest rates and will maintain duration neutral. The Fund engages in cross sector, prepayment, volatility and mortgage credit strategies. We maintain formal risk management guidelines and use proprietary analytics and modeling capabilities to actively manage a broad range of portfolio risk factors while adhering to strict stop loss, duration and gamma limits.