STATISTICS PA QuAlITy fundS of hedge fundS
PA Quality Funds of Hedge Funds
In association with
The PA Quality Funds of Hedge
Funds comprise 30 funds,
ten in each of three different
quants screens.
The basic universe
from which we select our
funds is the Morningstar
funds of hedge funds database,
which consists of
around 500 products. We only
allow those with a minimum
Top 10 by Sortino ratio
size of £10m to get through.
We have made an assumption
that most investors in
funds of hedge funds are not
looking for performance at
any cost, but are looking for
downside protection of various
sorts, and so it is on the basis
of this we chose our three
categories of topten funds.
Firstly, Sortino ratio. This
takes the threeyear returns of
a fund and divides it by just the
downside volatility (adjusted
according to a riskfree rate
– in this case 5%).
The next table is Sharpe
ratio – this includes both up
and downside vol – it includes
funds that are a lot more
aggressive, rewarding them if
they manage to justify their
rank 3-year 3-year 3-year 3-yr ann 3-year 3-year Curr Launch Fund size Domicile
sortino* change volatility growth sharpe* max loss date (£m)
OMGB Brandeaux Prop £ 1 619.45 31.01 1.8 9.4 2.45 0.09 £ 24 Aug ’04 24.38 Guernsey
Primeo Executive Fund € 2 88.26 37.44 5.64 11.16 1.1 2.05 € 03 Jan ’96 30.28 Caymans
Auriga International € 3 86.89 38.64 5.66 11.48 1.15 1.73 € 30 Sep ’98 68.69 BVI
Auriga Internationd chf 4 45.42 36.17 7.86 10.82 0.74 5.56 sfr 17 Apr ’98 15.75 BVI
MMIP International Fund 5 38.56 39.23 8.02 11.64 0.83 6.89 $ 2 Apr ’91 50.38 Caymans
RMF Commodity Strategies 6 37.32 54.88 11.45 15.67 0.93 6.68 $ 30 Sep ’03 165.38 Cayman
RMB Global Spread Capture Fund 7 36.89 31.95 8.79 9.66 0.53 7.23 $ 1 Apr ’99 68.66 Luxembourg
Man RMF Commodity Strategies $ 8 34.18 47.64 11.04 13.84 0.8 6.67 $ 31 Dec ’04 114.67 Caymans
SC Turnaround A $ 9 33.12 28.6 8.97 8.73 0.42 6 $ 5 Mar ’99 24.6 Guernsey
Prifund Alpha Uncorrelated $ A 10 31.85 38.61 9.39 11.47 0.69 8.19 $ 23 May ’01 555.66 Luxembourg
*Riskfree 5%. To 3 Nov ’08. Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 by Sharpe ratio
rank 3-year 3-year 3-year 3-yr ann 3-year 3-year Curr Launch Fund size Domicile
sharpe* change volatility growth sortino* max loss date (£m)
OMGB Brandeaux Prop £ 1 2.45 31.01 1.8 9.4 619.45 0.09 £ 24 Aug ’04 24.38 Guernsey
Auriga International € 2 1.15 38.64 5.66 11.48 86.89 1.73 € 30 Sep ’98 68.69 BVI
Primeo Executive Fund € 3 1.1 37.44 5.64 11.16 88.26 2.05 € 3 Jan ’96 30.28 Caymans
Man RMF Commodity Strategies € 4 0.96 53.51 10.74 15.32 25.37 8.05 € 30 Jun ’05 125.41 Caymans
RMF Commodity Strategies chf 5 0.94 59.49 12.6 16.8 23.86 8.86 chf 30 Nov ’04 107.84 Caymans
RMF Commodity Strategies 6 0.93 54.88 11.45 15.67 37.32 6.68 $ 30 Sep ’03 165.38 Caymans
MMIP International Fund 7 0.83 39.23 8.02 11.64 38.56 6.89 $ 2 Apr ’91 50.38 Caymans
Man RMF Commodity Strategies $ 8 0.8 47.64 11.04 13.84 34.18 6.67 $ 31 Dec ’04 114.67 Caymans
Prifund Alpha Traders $ A 9 0.77 40.84 9.19 12.07 28.48 9.8 $ 28 Apr ’03 161.67 Luxembourg
Aurum Isis Fund $ 10 0.77 36.3 7.64 10.85 21.69 6.57 $ 31 Mar ’98 199.77 Bermuda
*Riskfree 5%. To 3 Nov ’08. Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Maximum possible loss – bottom 10
rank 3-year 3-year 3-year 3-yr ann 3-year 3-year Curr Launch Fund size Domicile
max loss change volatility growth sortino* sharpe* date (£m)
OMGB Brandeaux Prop £ 1 0.09 31.01 1.8 9.4 619.45 2.45 £ 24 Aug ’04 24.38 Guernsey
Auriga International € 2 1.73 38.64 5.66 11.48 86.89 1.15 € 30 Sep ’98 68.69 BVI
Absolute Insight Plus B £ 3 2.03 11.79 2.12 3.78 76.01 0.57 £ 5 Nov ’05 289.78 Cayman
Primeo Executive Fund € 4 2.05 37.44 5.64 11.16 88.26 1.1 € 3 Jan ’96 30.28 Caymans
TR Sentinel Class C £ 5 4.44 25.94 4.97 7.98 25 0.6 £ 31 May ’03 21.22 Caymans
GAM Trading II £ 6 4.55 27.65 6.39 8.46 22.26 0.54 £ 29 Apr ’97 1,765.22 BVI
FPIL Thames River Mainstay £ 7 4.87 21.39 4.04 6.66 21.69 0.41 £ 29 Nov ’01 12.14 Isle of Man
Magnum Bull and Bear Fund 8 5.01 34.21 9.1 10.28 23.84 0.58 $ 8 Jan ’00 16.83 BVI
Magnum Multi Fund 9 5.36 29.73 9.53 9.05 14.7 0.43 $ 4 Jan ’94 14.03 BVI
Aurum Isis Fund £ 10 5.43 18.32 4.62 5.75 7.32 0.17 £ 30 Nov ’04 60.92 Bermuda
*Riskfree 5%. To 3 Nov ’08. Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
December 2008 [www.portfolio-adviser.com] POrTFOLIO ADVISer
high volatility with similarly
high returns.
Finally, we have listed the
top ten by smallest maximum
loss. For the truly riskaverse,
this list shows those funds
where, had you chosen the
most unfortunate dates to
enter and exit the fund – the
perfect storm, as it were – you
still would have lost the least.
CAtegorIes
sortino ratio: returns divided
by downside volatility
sharpe ratio: returns divided
by both upside and downside
volatility
Maximum Loss: the biggest
drawdown possible over the
past three years
49
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