Agilis Partners, a new mortgage-backed securities hedge fund, will open in the first week of November. Austin Tilghman, general partner, says the new fund will focus on a relative value strategy within tranches of collateralized mortgage obligations. "We think that there is a number of opportunities to take advantage of mispricings, especially as they pertain to prepayment assumptions, within individual CMO tranches," says Tilghman. He says the fund is starting with $5-10 million in seed capital for track record development purposes. The capital goal of the fund is a maximum of $300 million he says, "because, with more than that, you lose your flexibility and mobility in these sectors." The launch of Agilis Partners comes not long after the recent high-profile blow up of Beacon Hill Asset Management, which also did MBS arbitrage (BW, 10/21). "I feel badly for those guys, but they prove our point for us: There are good opportunities out there for people who focus on mispriced assets and avoid duration bets," Tilghman says.
Tilghman is a veteran mortgage market professional. He is a partner in Denver-based mortgage-servicing consultant, United Capital Markets. He says the fund's portfolio will be managed by dealer veteran Bob Piersall, who had run the CMO trading desk Piersall will run the portfolio out of New York and Tilghman will stay in Denver. The fund will use Bear Stearns as its prime broker.