"When they say 'cut ties,' the Wall Street Journal actually got that wrong. They issued a 'sell' on the fund," the founder and managing partner of SkyBridge said.
The Journal on Saturday published a report that Citigroup's private bank decided to discontinue its relationship with SkyBridge after the company's flagship fund suffered a loss of more than 20% in March. It cited a person familiar with the matter, who said Citigroup thinks the fund has "too much exposure to credit and mortgage-related securities."
Scaramucci, however, said there are "a lot of bargains" and noted that his firm has been involved in structured credit for 15 years.
"We're holding the portfolio, it's unrealized losses," he said in an interview with CNBC's "Capital Connection" this week.
The original report also said clients could redeem $100 million of the fund, which was managing $4.8 billion at the end of February.
"There's about a $150 million worth of Citibank's clients in the fund," Scaramucci said. "We think that 125 of those million will stay with us because they have a very good relationship with us, and they sort of agree with us right now that our fund is way underpriced."
He said the firm also saw losses in 2008, but "rocketed out of there with 21% and 17% returns respectfully," and that he's "very, very excited" about what's coming next.
"Of course I'm disappointed that we lost money in March, but I understand why we lost the money," he added. "Unfortunately, some of the bigger shops like Citigroup, they sort of issue sells at the worst possible time, I'm hoping that's a contrary indicator and this is a strong buy right now, for our fund."