HEDGEweb has learned exclusively that the Sussex Trading Fund Ltd., which is managed by Aspen Intl. Investments Ltd., mainly invested with Madoff.

Sussex, a relatively small fund of funds, had roughly $32m assets under management. The fund, according to their own description, also applied a split-strike conversion strategy by investing in a basket of very liquid S&P 100 shares and selling and buying out-of-the-money call and put options.

The fund is domiciled in the Bahamas and achieved steady positive monthly returns with low volatility. Like other Madoff funds, Sussex had a very low correlation to the S&P 500 Index, although they reportedly only invested in S&P 100 shares.

Aspen could not be reached for an immediate comment.