STATISTICS PA QUALITY FUNDS OF HEDGE FUNDS
PA Quality Funds of Hedge Funds
In association with
The PA Quality Funds of Hedge
Funds comprises 30 funds, split
evenly across three different
strategies. We have chosen
these strategies because our
readers believe they are the
most relevant to portfolio
managers today.
The basic universe from
which we select the funds
is the Morningstar funds of
Top 10 equity
CATEGORIES
Equity: invest in companies
likely to out-perform or short
overvalued companies
Multi-strategy: combining
a number of hedged strategies
involving a number of
corporate securities
Macro/systematic: invest
primarily in the Morningstar
global derivatives categories
Rank 3-year 3-year 3-yr fixed 3-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date ($m)
StoneWater Capital Asia (ex Japan) 1 83.01 17.82 0.35 0.81 23 13 2 $ 1 Jul ’04 101.94 US
Van Biema Asia Value Fund 2 79.36 17.6 0.36 0.85 25 11 2 $ 1 Aug ’08 364.91 Caymans
HFA – International Shares HW A$ 3 76.01 20.41 0.49 0.85 23 13 2 A$ 2 Apr ’01 135.84 Australia
HFA – International Shares HR A$ 4 72.25 20.48 0.49 0.85 23 13 2 A$ 2 Apr ’01 135.84 Australia
Prima Capital Fund CHF 5 49.44 19.35 0.53 0.67 25 11 2 CHF 30 Aug ’96 392.44 BVI
FMG (EU) Rising 3 Fund A NOK 6 48.56 31.42 0.39 0.88 21 15 2 NOK 29 Aug ’08 65.13 Malta
SC Long/Short Technology C 7 46.22 18.4 0.56 0.67 23 13 2 CHF 1 Jan ’00 84.6 Ireland
Van Biema Value Fund 8 45.51 11.23 0.21 0.9 24 12 2 $ 1 Jul ’06 325.93 Caymans
FMG (EU) Rising 3 Fund A SEK 9 44.83 32.98 0.48 0.91 24 12 2 SEK 1 Sep ’08 65.13 Malta
FMG (EU) Rising 3 Fund B NOK 10 44.68 30.75 0.39 0.88 21 15 2 NOK 31 Oct ’08 65.13 Malta
Includes funds over $50m in assets under management. To 31 Oct ’11 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 multi-strategy
Rank 3-year 3-year 3-yr fixed 3-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date ($m)
Select Alternatives Portfolio A$ 1 107.96 20.81 0.52 0.76 24 12 2 A$ 1 Aug ’03 54.71 Australia
Whitebox Multi Strategy Fund 2 91.26 13.1 -0.14 0.55 27 9 2 $ 2 Jan ’02 560.05 US
Whitebox Multi-Strategy Fund 3 77.33 11.97 -0.22 0.52 27 9 2 $ 2 Jan ’02 404.53 BVI
Key Multi-Strategy NOK 4 55.76 22.82 0.25 0.74 19 17 2 NOK 1 Mar ’99 148.64 BVI
Guide Hedgefond 5 54.59 15.87 0.52 0.82 19 17 2 SEK 1 Oct ’03 305.5 Sweden
Hedgersel 6 53.48 18.65 0.61 0.83 21 15 2 � 30 Jun ’03 266.52 Italy
Reichmuth Himalaja CHF 7 52.13 22.59 0.61 0.71 20 16 2 CHF 5 Jan ’04 258.75 Switzerland
Prifund Alpha Uncorrelated CHF G 8 50.96 19.04 0.56 0.69 22 14 2 CHF 26 Sep ’07 863.2 Luxembourg
Key Multi-Strategy SEK 9 49.92 23.43 0.39 0.83 20 16 2 SEK 1 Mar ’99 124.59 BVI
Agenta Hedge 10 48.45 17.15 0.53 0.88 23 13 2 SEK 31 May ’06 106.42 Sweden
Includes funds over $50m in assets under management. To 31 Oct ’11 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 macro/systematic
hedge funds database which
has grown to include more
than 3,200 products. We only
allow those with a minimum
size of $50m in assets under
management.
Following bespoke research
with fund buyers, investors
in funds of hedge funds are
not looking exclusively for
performance at any cost,
but are looking at downside
protection, a lack of correlation
to other assets and a view
on how they have performed
during the course of the
past three years, including
during the credit crunch
when all asset classes took
a downward spiral, and the
subsequent recovery in
markets in 2009 and 2010.
A shift in the attitude of
those investing in funds of
hedge funds in recent times
has been to take a far closer
look at their correlation with
other asset classes.
The assumption that they
were not correlated has been
shattered so we have included
an explicit comparison of their
correlation, or lack of it, with
equities and bonds.
The equity index is the MSCI
World, and the bond index is
the Citi World Government
Bond Index.
Another quantitative
measure asked for is the
absolute number of months
over which these funds have
had a positive return, again
harking back to their claims
of providing a positive return
over a given time frame, which
not all funds have been able
to fulfil.
Rank 3-year 3-year 3-yr fixed 3-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date ($m)
Permal Macro Holdings S$ D 1 57 12.04 0.65 0.75 24 12 2 S$ 31 Mar ’08 5,527 BVI
Generali Hedge Fds Global Macro G � Acc 2 46.43 16.06 0.76 0.69 25 11 2 � 14 May ’04 132.07 Luxembourg
Permal Macro Holdings ¥ A 3 44.99 13.19 0.76 0.27 23 13 1 ¥ 31 Mar ’06 5,527 BVI
GAM Trading II – CHF Open Class 4 43.22 17.66 0.7 0.54 20 16 2 CHF 12 Feb ’08 155.03 BVI
Mosaic Trading – HI – CHF 5 42.85 17.63 0.63 0.58 21 15 2 CHF 31 Mar ’05 683.3 Luxembourg
Mosaic Trading – HP – CHF 6 41.6 17.63 0.63 0.58 21 15 2 CHF 28 Nov ’03 683.3 Luxembourg
Generali Hedge Fds Global Macro B � Acc 7 40.16 16.04 0.76 0.69 24 12 2 � 14 May ’04 132.07 Luxembourg
Mosaic – HI – CHF 8 39.56 18.16 0.59 0.64 21 15 2 CHF 31 Mar ’05 971.41 Luxembourg
Mosaic Trading – HR – CHF 9 39.52 17.62 0.63 0.58 21 15 2 CHF 31 Mar ’05 683.3 Luxembourg
Permal Macro Holdings S$ A 10 38.68 11.27 0.67 0.75 23 13 2 S$ 31 Mar ’08 5,527 BVI
Includes funds over $50m in assets under management. To 31 Oct ’11 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
JANUARY 2012 [www.portfolio-adviser.com] PORTFOLIO ADVISER
47
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