BlueHorizon II

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For BlueMountain Capital Management the market volatility in early March was a gift. It gave the asset manager the opportunity to invest its latest alternative fund, BlueHorizon II, in first-loss tranches of synthetic CDOs at much cheaper prices. The fund's predecessor, BlueHorizon I, was launched around the time of the last major repricing of correlation, following the autos downgrades in May 2005.

"We believe there are inexpensive and compelling absolute value opportunities in the first-los

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