The curated database of hedge funds that publish investor letters. Research by geography, strategy, and schools of thought.
| # | Fund | Strategy | Style | Geography | AUM | Latest Letter |
|---|---|---|---|---|---|---|
Deer Park Total Return Credit Fund returned +0.38% in Q2 2026, maintaining its focus on legacy non-agency RMBS and distressed CMBS. The core thesis centers on collateral-driven returns rather than rate dependency. Legacy RMBS performed positively despite hawkish Fed repricing, validating the view that surviving borrowers after 18-20 years demonstrate extraordinary payment persistence with home-price appreciation driving current LTVs to very low levels. The average loan age of roughly 20 years, declining delinquencies, and lower foreclosure activity support the investment case. In CMBS, the unprecedented rating agency downgrade cycle created opportunities as constrained holders sold at prices reflecting regulatory constraints rather than fundamental value. Recent resolutions have validated that earlier appraisal marks overstated long-term loss severity. Fixed income and credit strategies attracted $26.4 billion of net inflows in 2025, with demand arriving into a shrunken legacy universe creating setup for spread compression. The manager views structured mortgage credit as more compelling than corporate and private credit markets, which show visible strain with tight spreads and gating pressures. The outlook remains constructive on both legacy RMBS and distressed CMBS as the most compelling risk-adjusted opportunity in credit markets.
Legacy non-agency RMBS and distressed CMBS offer compelling risk-adjusted returns driven by collateral quality and structural inefficiencies rather than rate movements, with seasoned mortgage pools demonstrating extraordinary payment persistence and commercial real estate entering an early recovery phase where discounted securities embed conservative loss assumptions.
The manager maintains a constructive outlook on legacy non-agency RMBS and distressed CMBS despite the shift toward a higher-for-longer rate environment. They believe structured mortgage credit represents the most compelling risk-adjusted opportunity in credit markets today, overlooked by both private credit and real assets allocators. The non-agency market is expanding and widening the opportunity set, while the CRE recovery continues to evolve with prices reflecting sellers' regulatory constraints rather than fundamental value. The manager emphasizes that their returns rest on collateral quality, structural protection, and carry rather than rate movements.
As of Aug 29, 2026
Portfolio Manager and primary investment lead for Deer Park.
The leadership team emphasizes a preference for measurable risk over yield-chasing, with discipline being precisely what current markets require according to Michael Craig-Scheckman. The firm's approach is built on recognizing patterns in servicing behavior and understanding recovery mathematics from having worked through major market disruptions over the past two decades. Scott Burg has noted that periods of higher interest rates create opportunities as valuations decline significantly, sometimes 60% to 80% from origination levels, making lenders more willing to dispose of higher quality assets. The team views periods of distress as marking the beginning of new opportunity cycles. Their investment philosophy centers on exploiting disparities between intrinsic and market values while maintaining an objective to limit downside risk and provide liquidity and pricing stability throughout market cycles. The firm's buy-and-hold approach targets high-cash flow securitized credit investments derived through fundamental analysis and security selection. Leadership maintains that their adaptive portfolio management process is designed specifically to source investments that perform across various credit cycles, demonstrating their long-term perspective and market experience.
Deer Park Road Management Company, LP
Chief Investment Officer
Moderate Conviction Bullish
Market Conviction
The manager demonstrates high conviction in their core legacy RMBS thesis, stating conviction remains unchanged and providing detailed collateral-level analysis supporting their positioning. However, no individual securities are named or sized, and the portfolio appears diversified across legacy RMBS and CMBS sectors. The letter provides strong thematic conviction with specific structural arguments (loan-level modeling, servicer expertise, 20-year seasoning, declining delinquencies) but lacks the position-level specificity and concentration that would warrant a score above 0.75. The explanation emphasizes analytical depth and structural barriers to entry rather than concentrated bets on named securities.
Growth Outlook
Manager expresses cautious optimism about structured credit markets, noting positive RMBS fundamentals and anticipating benefits from Fed policy transition, but acknowledges ongoing CMBS stress and technical headwinds requiring selective approach.
Risk Appetite
Portfolio maintains diversified structured credit exposure with selective approach to opportunities. Manager emphasizes risk management through comprehensive scenario analysis while taking advantage of technical dislocations, suggesting measured risk appetite.
Capital Deployment
No specific cash level changes are disclosed. The manager describes maintaining existing legacy RMBS positions with unchanged conviction and evaluating new opportunities in non-agency sub-sectors selectively. The language indicates monitoring and selective consideration rather than active deployment or de-risking. The stance is best characterized as capital rotation and selective exploration, scoring modestly positive but well below the threshold for meaningful net deployment.
Forward Guidance
Manager provides clear positive forward guidance, stating Fund is 'poised to offer higher relative returns over coming years' and maintains 'very positive outlook' on core RMBS holdings with attractive new purchase opportunities for investors.
Language Signal
The letter balances opportunity language (compelling, attractive, favorable, constructive, supportive) with risk acknowledgment (strain, gating pressures, challenges in office segment). Positive directional language dominates when discussing legacy RMBS and CMBS recovery, but the manager also discusses market uncertainties and applies cautious language around new deployment. The net balance tilts mildly positive but is not overwhelmingly bullish.
Perceived Risk
Manager acknowledges moderate risks including CRE delinquency cycle, market volatility, and technical selling pressure, while emphasizing risk management through diversification and scenario-based portfolio construction.
Opportunity Density
The manager describes the non-agency market as expanding and widening their opportunity set, with demand arriving into a shrunken legacy universe creating setup for spread compression. They characterize structured mortgage credit as the most compelling risk-adjusted opportunity in credit markets today and note they are evaluating multiple adjacencies in non-agency sub-sectors. The language indicates a rich and broadening opportunity set within their specialized mandate, though selectivity is emphasized.
Time Horizon
The manager emphasizes multi-year structural themes including 18-20 year loan seasoning, decade-plus home price appreciation trends, and the multi-year CRE recovery cycle moving from delinquency into resolution. The focus is on collateral fundamentals and structural inefficiencies that persist regardless of near-term rate movements. While no explicit decade-plus horizon is stated, the emphasis on seasoned collateral, structural barriers to entry, and cycle-tested underwriting indicates a multi-year investment horizon of 2-5 years with no urgency around near-term catalysts.
Top Conviction Themes
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