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 B $ 1 48.86 24.73 0.41 0.83 8 4 5 $ 31 Oct ’03 91.56 Bermuda
FMG Rising 3 Ltd A $ 2 48.26 24.9 0.44 0.84 8 4 5 $ 31 Oct ’03 91.56 Bermuda
Ermitage Selz Fund $ 3 45.12 18.84 -0.05 0.71 10 2 9 $ 1 Mar ’84 121.09 Bermuda
van Biema Asia Value Fund, Ltd. 4 44.74 19.85 0.47 0.91 8 4 3 $ 1 Aug ’08 266.34 Caymans
StoneWater Capital Asia (Ex-Japan) 5 44.61 20.63 0.4 0.88 8 4 3 $ 1 Jul ’04 97 US
Benchmark Plus LongTerm Gov Bnd+Alpha 6 29.1 15 0.78 0.02 8 4 1 $ 1 Jan ’98 281.75 Bahamas
Benchmark Plus Inst Large Cap+Alpha 7 26.92 26.74 0.14 0.9 7 5 1 $ 1 Jul ’04 1,359.93 US
van Biema Value Fund 8 25.71 13.81 0.28 0.9 9 3 9 $ 1 Jul ’06 281.58 Caymans
Permal Asian Holdings NV A 9 24.6 11.3 0.38 0.88 8 4 1 $ 30 Dec ’94 406.68 Netherlands
LCF Asian Capital Holdings Fund 10 23.9 10.14 0.6 0.65 10 2 9 $ 31 Mar ’93 432.59 Luxembourg
Only includes funds over $50m in assets under management. To 30 Oct ’09 (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)
Benchmark Plus Gold + Alpha 1 63.79 19.46 0.12 -0.21 9 3 5 $ 29 Jun ’07 92.4 US
Whitebox Multi Strategy Lp 2 42.8 17.6 -0.47 0.38 10 2 11 $ 2 Jan ’02 694 US
Whitebox Multi Strat Combined 3 42.78 17.55 -0.47 0.38 10 2 11 $ 2 Jan ’02 419.35 US
Strategic Global Opportunities Fd $ 4 25.34 20.66 0.57 0.8 6 6 1 $ 16 Oct ’97 102.63 Guernsey
Acorn Partners LP 5 17.94 9.85 0.02 0.77 9 3 9 $ 1 Jan ’82 191 US
RBC Arc Fund 6 17.3 5.72 -0.49 0.3 10 2 11 $ 31 Mar ’00 89.2 Guernsey
SSARIS Multi-Manager Relative Value Stra 7 16.5 5.74 -0.15 0.43 8 4 8 $ 1 Feb ’02 115.35 Caymans
Dexion Absolute Limited $ 8 16.38 8.43 -0.4 0.32 8 4 1 $ 28 Jun ’05 1,540.62 Guernsey
Culross H Fund $ 9 15.61 5.99 0.35 0.57 9 3 1 $ 31 Aug ’05 511.91 BVI
Magnitude US Partners 10 15.6 8.04 -0.3 0.55 10 2 11 $ 2 Feb ’04 207.47 US
Only includes funds over $50m in assets under management. To 30 Oct ’09 (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
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.
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 $ 1 37.54 58.52 -0.21 -0.06 7 5 8 $ 30 Jun ’00 123.55 Luxembourg
Pinnacle Natural Resources 2 17.67 6.02 -0.1 -0.34 9 3 2 $ 1 Oct ’03 1,563.00 US
Generali Hedge Fds Arb Opp H Acc 3 12.7 9.41 -0.35 0.44 10 2 11 $ 28 May ’04 314.3 Luxembourg
Generali Hedge Fds Fix Inc Arbit H Acc 4 12.31 3.88 -0.53 0.3 10 2 11 $ 28 May ’04 199.1 Luxembourg
Ivy Maplewood Associates II LP - Class C 5 9.45 6.23 -0.5 0.3 9 3 8 $ 1 Jan ’02 289.5 US
HSBC Multi-Adviser Arbitrage Fund $ 6 7.52 5.84 -0.42 0.24 8 3 8 $ 15 Jun ’95 86.53 Jersey
TAG Relative Value Client Fund 7 5.37 6.59 -0.44 0.31 8 4 8 $ 1 Oct ’99 403.8 US
Argon Fund USD 8 5.23 4.48 -0.27 0.42 7 4 8 $ 31 Dec ’03 71.97 Guernsey
TAG Relative Value Fund LP 9 4.42 6.6 -0.44 0.31 8 4 8 $ 1 Oct ’00 403.8 US
Argon CHF 10 4.38 4.1 -0.21 0.42 8 4 8 $ 1 Sep ’04 71.97 Guernsey
Only includes funds over $50m in assets under management. To 30 Oct ’09 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
JANUARY 2010 [www.portfolio-adviser.com] PORTFOLIO ADVISER
51
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