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)
Benchmark Plus Small Cap + Alpha Fund 1 87.57 21.23 -0.08 0.84 10 2 2 $ 1 Jan ’98 281.75 Bahamas
Benchmark Plus Inst Large Cap + Alpha 2 83.96 15.36 0.43 0.99 10 2 2 $ 1 Jul ’04 1,359.93 US
Benchmark Plus Large Cap + Alpha Fund 3 73.55 15.42 0.36 0.99 10 2 2 $ 1 Jan ’98 281.75 Bahamas
Fortune European Small Cap € Class 4 69.98 25.58 0.57 0.71 8 4 1 € 1 Oct ’05 51.86 Caymans
StoneWater Capital Asia (ex Japan) 5 65.92 17.15 0.3 0.83 10 2 2 $ 1 Jul ’04 91 US
Benchmark Plus L/S Sel Large Cap + Alpha 6 64.39 13.9 0.51 0.97 10 2 2 $ 4 Jan ’06 209.02 US
Ermitage Selz Fund $ 7 63.93 14.1 0.17 0.82 12 0 13 $ 1 Mar ’84 142.41 Bermuda
Benchmark Plus L/S Large Cap + Alpha Fd 8 61.78 13.21 0.43 0.96 10 2 2 $ 3 Jan ’06 179.2 US
FMG Rising 3 A 09 Euro 9 58.77 27.05 0.62 0.75 8 4 1 € 3 Feb ’09 78.78 Bermuda
Van Biema Asia Value Fund 10 56.55 16.12 0.26 0.88 10 2 2 $ 1 Aug ’08 281.77 Caymans
Includes funds over $50m in assets under management. To 26 Feb ’10 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
Top 10 multi-strategy
Rank 1-year 1-year 1-yr fixed 1-year Positive Negative Mths since Curr Launch Fund size Domicile
return % volatility inc corr eqty corr months months last -ve date (£m)
Select Gottex Market Neutral Fund A$ 1 62.27 12.18 0.65 0.73 11 1 3 A$ 2 Jan ’03 68.3 Australia
Whitebox Multi Strategy Lp 2 57.62 9.91 -0.05 0.42 12 0 15 $ 2 Jan ’02 751.06 US
Whitebox Multi Strat Combined 3 57.35 9.9 -0.05 0.43 12 0 15 $ 2 Jan ’02 474.58 US
Dexion Absolute Limited A$ 4 56.88 15.57 0.61 0.8 10 2 2 A$ 26 Sep ’06 1,540.63 Guernsey
Select Alternatives Portfolio A$ 5 55.89 15.06 0.7 0.78 9 3 2 A$ 1 Aug ’03 54.71 Australia
Brummer & Partners Multi-Strategy 2xL 6 52.23 17.91 0.64 0.75 8 4 2 SEK 29 Aug ’08 425.19 Sweden
Key Multi-Strategy SEK 7 45.41 16.27 0.57 0.79 8 4 2 SEK 1 Mar ’99 124.59 BVI
Agenta Hedge Inc 8 43.51 14.76 0.6 0.79 8 4 2 SEK 31 May ’06 106.42 Sweden
Brummer & Partners Multi-Strategy 9 41.74 15.05 0.64 0.76 8 4 2 SEK 1 Apr ’02 3,025.81 Sweden
Guide Hedgefond 10 41.55 15.6 0.5 0.72 8 4 2 SEK 1 Oct ’03 405.9 Sweden
Includes funds over $50m in assets under management. To 26 Feb ’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
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 43.74 59.56 -0.19 -0.38 9 3 3 $ 30 Jun ’00 142.15 Luxembourg
LODH Multiadv Market Neutral € Acc 2 28.15 33.3 0.02 -0.17 10 2 3 € 30 Jul ’03 142.15 Luxembourg
Ivy Maplewood Associates II – Class C 3 16.1 2.89 0.08 0.33 11 1 12 $ 1 Jan ’02 215.81 US
TAG Relative Value Client Fund 4 13.14 3.06 0.36 0.3 11 1 12 $ 1 Oct ’99 396.6 US
TAG Relative Value Fund 5 12.2 3.06 0.37 0.29 11 1 12 $ 1 Oct ’00 369.6 US
TAG Relative Value Offshore Fund 6 11.54 3.06 0.36 0.3 11 1 12 $ 2 Jul ’01 396.6 US
Argon Fund $ 7 10.45 2.94 0.04 0.27 9 2 1 $ 31 Dec ’03 264.42 Guernsey
Vasco da Gama Strategies Class C Euro 8 9.46 13.26 0.74 0.38 8 4 1 € 1 Apr ’01 1,381.24 Caymans
Pinnacle Natural Resources 9 8.01 5.78 0.4 0.29 7 5 2 $ 1 Oct ’03 1,735 US
Vasco da Gama Strategies Class B Shares 10 2 5.25 0.19 -0.25 8 4 1 $ 1 Sep ’00 1,381.24 Caymans
Includes funds over $50m in assets under management. To 26 Feb ’10 (funds priced monthly in arrears). Bid to bid, £, gross income, no cap, filtered. Source: Morningstar
MAY 2010 [www.portfolio-adviser.com] PORTFOLIO ADVISER
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