(Bloomberg) -- Segantii Capital Management Ltd.’s top holding of US securities at the end of March was a $395 million bearish wager on an exchange-traded fund linked to the Nasdaq 100 index. 

The put options were placed on an Invesco Ltd. ETF that tracks the largest 100 non-financial companies by market value, including Microsoft Corp., Apple Inc. and Nvidia Corp. The ETF gained 8.4% during the quarter and has risen another 2% since March 28. 

Segantii, which is facing charges of insider trading in Hong Kong, had its second-largest 13F holding by value in Alibaba Group Holding Ltd. The position stood at nearly $108 million, after the firm boosted the number of American depository receipts of the Chinese technology giant it owned by 50%. Alibaba fell 6.6% in the US in the first quarter, but has rebounded 12% since then. 

The hedge fund firm’s total exposure to US securities stood at $1.5 billion at the end of March, down 20% from the previous quarter-end, according to data compiled by Bloomberg based on 13F filings to the Securities and Exchange Commission. That move extended the decline from the one-year peak on Sept. 30 to 46%.

Kurt Ersoy, Segantii’s chief executive officer, declined to comment. 

The quarterly 13F filings provide a snapshot of a firms’ ownership of securities on an SEC mandatory disclosure list at the end of the quarter. They typically don’t shed light on bearish wagers on stocks. The filings also don’t capture bullish or bearish wagers on non-US-listed securities. Nor do they account for trading during the quarter.

Segantii, best known for its relative value and capital markets trades, manages a hedge fund that focuses on Asia-Pacific equities and equity-linked securities but can also trade globally. Its founder Simon Sadler has built a reputation as Asia’s “block-trade king.”

Besides Hong Kong, it also has offices in London, New York and Dubai. It returned an annualized 12% since its December 2007 inception, more than twice a Eurekahedge index of Asian peers. With two small annual losses so far, it was one of the most consistent performers among regional hedge funds.

Hong Kong’s Securities and Futures Commission earlier this month announced criminal proceedings against Segantii, Sadler and former trader Daniel La Rocca over alleged insider trading. While the firm has said it intends to “defend itself vigorously,” the move by the watchdog marks one of the most high-profile prosecutions in the Asian financial hub.

The summons was issued in March, the Financial Times reported on May 3. The prosecution is building up to be one of the highest-profile hedge fund trials in years, casting a shadow over the 16-year-old firm which oversaw $4.8 billion at the end of the first quarter. 

Its hedge fund was up about 0.3% in April, after a 2.5% gain in the same period, according to a preliminary estimate.

It’s not unusual for the market value of Segantii’s 13F holdings to swing from quarter to quarter. It declared $2.84 billion of such holdings at the end of March 2023, only to see it tumble by nearly 33% three months later, before climbing back to nearly $2.85 billion the following quarter-end. Its latest filing includes 100 positions, the fewest in the last five quarters and less than one-third of the March 2023 level. 

©2024 Bloomberg L.P.