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 feel they are the
most relevant to portfolio
managers today.
The basic universe from
which we select the funds
is the Morningstar funds of
hedge funds database which
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
Non-directional: Seeking
positive returns irrespective of
market direction
Rank 1-year 1-year 1-yr fixed 1-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date (£m)
FMG Rising 3 Ltd A £ 1 74.91 30.17 0.59 0.72 10 2 11 £ 30 Nov ’04 87.39 Bermuda
Ermitage Selz Fund $ 2 63.96 15.46 0.24 0.68 11 1 11 $ 1 Mar ’84 142.31 Bermuda
Benchmark Plus Inst Large Cap+Alpha 3 61.15 21.25 0.67 0.98 9 3 3 $ 1 Jul ’04 1,359.93 United States
Benchmark Plus Small Cap + Alpha Fd 4 55.01 28 0.37 0.91 9 3 3 $ 1 Jan ’98 281.75 Bahamas
HFA - Diversified Investments HR A$ 5 53.18 14.34 0.72 0.7 10 2 1 A$ 2 Apr ’01 444.53 Australia
Fortune European Small Cap € Class 6 51.82 29.78 0.76 0.83 8 4 1 € 1 Oct ’05 54.63 Caymans
Benchmark Plus Large Cap + Alpha Fund 7 51.36 21.47 0.64 0.99 9 3 3 $ 1 Jan ’98 281.75 Bahamas
HFA - International Shares HR A$ 8 37.78 17.11 0.78 0.79 10 2 1 A$ 2 Apr ’01 135.84 Australia
Benchmark Plus L/S sel Large Cap+Alpha 9 36.74 21.89 0.73 0.98 9 3 3 $ 4 Jan ’06 209.02 US
Benchmark Plus L/S Large Cap+Alpha Fund 10 33.97 21.91 0.69 0.97 9 3 3 $ 3 Jan ’06 179.2 US
Includes funds over $50m in assets under management. To 1 Jan ’10 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 multi-strategy
Rank 1-year 1-year 1-yr fixed 1-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date (£m)
Gottex Market Neutral Fund Class I 1 57.8 16.67 0.79 0.76 10 2 1 A$ 2 Jan ’03 155.26 BVI
Dexion Absolute Limited A$ 2 52.25 16.58 0.74 0.78 9 3 1 A$ 26 Sep ’06 1,540.63 Guernsey
Benchmark Plus Gold + Alpha 3 50.1 22.9 0.35 -0.03 8 4 1 $ 29 Jun ’07 86.75 US
Thames River Warrior I 4 42.64 10.26 0.56 0.66 10 2 7 NOK 3 Mar ’08 246.79 Caymans
Ermitage Asset Selection Fund L NOK 5 37.21 10.02 0.54 0.51 10 2 1 NOK 2 May ’05 76.75 Jersey
Cimarron Partners 6 36.9 6.86 0.43 0.7 11 1 11 $ 2 Jan ’02 50.89 US
Key Hedge NOK 7 35.15 9.77 0.55 0.56 9 3 1 NOK 1 Oct ’02 63.91 BVI
DnB NOR Global Hedge Inc 8 34.54 10.48 0.57 0.52 9 3 1 NOK 30 Aug ’02 149.5 Sweden
Ermitage Asset Selection Fund G NOK 9 32.45 10.08 0.54 0.29 10 2 1 NOK 3 Nov ’03 76.75 Jersey
Guidance Green Terrain 10 31.74 4.17 0.33 0.4 12 0 13 $ 1 Dec ’01 114 US
Includes funds over $50m in assets under management. To 1 Jan ’10 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 non-directional
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
credit crunch.
A three-year performance
view leaves too high a
weighting to their pre-credit
crunch performance with
wealth managers wanting to
look at how these types of
fund, which all but promise to
give a cash-plus return in all
market conditions, have done
over the past year.
Another shift in the attitude
of those investing in funds of
hedge funds was to take a far
closer look at their correlation
with other asset classes. The
assumption that they were not
Rank 1-year 1-year 1-yr fixed 1-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date (£m)
LODH Multiadv Market Neutral € Acc 1 39.48 63.57 0.12 -0.03 8 4 1 € 30 Jul ’03 108.75 Luxembourg
Generali Hedge Fds Arb Opp H Acc 2 24.55 4.71 0.34 0.45 12 0 13 $ 28 May ’04 287.1 Luxembourg
Generali Hedge Fds Fix Inc Arbit B Acc 3 18.52 13.45 0.9 0.64 8 4 1 € 28 May ’04 177.46 Luxembourg
Ivy Maplewood Associates II LP - Class C 4 17.64 3.06 0.01 0.18 11 1 10 $ 1 Jan ’02 214.81 US
HSBC Multi-Adviser Arbitrage Fund $ 5 15 2.95 0.12 -0.01 10 1 10 $ 15 Jun ’95 91.57 Jersey
Vasco da Gama Strategies Class C € 6 10.9 14.2 0.75 0.36 9 3 1 € 1 Apr ’01 1,381.24 Caymans
Argon Fund $ 7 10.66 2.98 0.16 0.37 9 2 10 $ 31 Dec ’03 264.42 Guernsey
MVP Fund of Funds £ B Class 8 7.87 13.78 0.22 0.27 6 6 1 £ 1 Dec ’05 54.7 BVI
J.P. Morgan Alpha Fund 9 7.78 2.46 0.18 0.05 10 2 9 $ 3 Oct ’05 119.26 Caymans
MVP Fund of Funds Euro C Class 10 -4.1 11.87 0.86 0.6 6 6 1 € 1 Apr ’07 54.7 BVI
Includes funds over $50m in assets under management. To 1 Jan ’10 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
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.
MARCH 2010 [www.portfolio-adviser.com] PORTFOLIO ADVISER
71
To view a Ceros magazine you need to have JavaScript enabled in your browser and have the flash player 8 or higher installed. To install the latest flash player, click the icon above, install the flash plugin and then click here to refresh this page.