Final jm slides

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Final jm slides

  1. 1. Jonathan MillerHead of investment research
  2. 2. o European equity managers home bias?o The Alternative Ucits space
  3. 3. o European equity managers home bias?
  4. 4. Cross border managers of fivetop decile funds:Where are they over andunderweight? UK France Germany Switzerland Spain Sweden Netherlands Italy Fund 1 8.9 -5.1 -12.7 -6.3 -5.1 -0.9 10.4 0.0 Fund 2 4.1 -12.7 -0.1 -3.4 -5.1 0.0 -3.5 -3.6 Fund 3 4.7 -2.9 -1.2 3.5 -5.1 -2.8 2.4 -3.6 Fund 4 -4.6 0.4 11.0 2.8 -2.8 -0.6 4.3 2.4 Fund 5 -2.2 -2.2 -1.6 -4.3 -2.6 -1.2 -0.1 -3.6 Underweight Overweight
  5. 5. France based managers of fivetop decile funds:Where they are over andunderweight? UK France Germany Switzerland Spain Sweden Netherlands Italy Fund 1 -26.2 17.3 0.0 0.8 1.5 0.1 -0.9 -2.8 Fund 2 1.7 4.9 1.6 -7.2 -1.2 -2.2 5.4 -3.6 Fund 3 -21.2 17.9 2 -3.8 -1.1 2.4 3.8 -1.5 Fund 4 -1.8 7.7 5.2 -6 -3.5 -1.8 3.6 -1.8 Fund 5 11.8 -1.9 -0.8 -0.5 -2 -0.9 -1.5 -2.5 Underweight Overweight
  6. 6. Germany based managers of fivetop decile funds :Where are they over andunderweight? UK France Germany Switzerland Spain Sweden Netherlands Italy Fund 1 4.4 -2.2 1.6 6.6 0.0 -2.6 -2.3 -3.6 Fund 2 9.6 -6.2 -2.4 -6.1 -0.2 2.3 0.1 -2.4 Fund 3 -18.2 -10.3 18.3 -5.0 -0.4 0.5 -0.4 -3.6 Fund 4 -15.5 0.6 1.3 -2.7 1.8 9.6 5.9 -0.2 Fund 5 -24.3 14.2 2.2 -10.0 -2.2 9.9 -2.3 -3.6 Underweight Overweight
  7. 7. Comparison of French equity holdings Cross border France based Germany based based managers managers managers Fund 1 -5.1 17.3 -2.2 Fund 2 -12.7 4.9 -6.2 Fund 3 -2.9 17.9 -10.3 Fund 4 0.4 7.7 0.6 Fund 5 -2.2 -1.9 14.2 Underweight Overweight
  8. 8. The France based The cross bordermanager view manager view
  9. 9. Citywire Spotlight
  10. 10. Top holdings across 15 funds
  11. 11. o The Alternative Ucits space
  12. 12. Alternative Ucits FundsLong/Short Equity Credit Strategies Multi Strategy Market Neutral Total Funds Currency EM inc Asia Global MacroManaged Futures 538 368 Volatility Trading at end at end Commodities September December Fund of Funds 2011 2010 Event Driven Convertibles 0 20 40 60 80 100 120 140
  13. 13. Alternative Ucits FundsLong/Short Equity 87 +48 Credit Strategies 55 +20 Multi Strategy Market Neutral Total Funds Currency EM inc Asia Global MacroManaged Futures 538 Volatility Trading at end Commodities December Fund of Funds 35 +29 2011 Event Driven Convertibles 0 20 40 60 80 100 120 140
  14. 14. Alternative Ucits Funds Total Funds 538 at end December 2011
  15. 15. Alternative Ucits Funds by Currency $ Funds 187 € Funds 431 £ Funds 230 Other 68
  16. 16. Alternative Ucits € Funds by Sector 104 Long/Short Equity 6 Convertibles 11 Commodities 60 15 Event Driven Credit 18 EM Equity inc AsiaStrategies 21 Volatility Trading € Funds 431 22 Currency 22 Managed Futures 46Fund of Funds 31 Market Neutral 43 32 Global Macro Multi Strategy
  17. 17. Alternative Ucits € Funds by Track Record 3 Year track record 160 1 Year 37% track record 5 Year 364 track record 82 85% 19% 4 Year track record 116 27%
  18. 18. Total Returns over 3 Years for € Funds100 90 80 70 60 50 40 30 20 10 0-10-20 2009 2010 2011
  19. 19. Total Returns over 3 Years for € Funds100 90 EM inc Asia 80 70 67.1 60 50 40 30 20 10 0-10-20 2009 2010 2011
  20. 20. Alternative Ucits EM inc Asia € vs MSCI EM140120100 EM inc Asia 86.9 80 MSCI EM 60 67.1 40 20 0-20 2009 2010 2011
  21. 21. Total Returns over 3 Years for € Funds100 90 80 70 60 50 40 30 20 10 0-10-20 2009 2010 2011
  22. 22. Total Returns over 3 Years for € Funds100 90 80 70 60 50 40 30 20 Managed Futures 10 0-10 -5.0-20 2009 2010 2011
  23. 23. Alternative Ucits Long/Short € vs MSCI World6050 MSCI World 49.440 Long/Short €302010 10.4 0-10-20 2009 2010 2011
  24. 24. Best Three Months for MSCI World6050 MSCI World 7.240 Long/Short €3020 7.3 2.010 11.5 0 1.2 2.2-10-20 2009 2010 2011
  25. 25. Worst Three Months for MSCI World6050 MSCI World -3.640 Long/Short €30 -7.220 -0.35 -2.910 -1.0 0-10 -9.4-20 2009 2010 2011
  26. 26. Volatility and Max Drawdown6050 MSCI World40 Long/Short €30 Drawdown -14.3 Volatility 14.02010 Drawdown -9.0 Volatility 6.2 0-10-20 2009 2010 2011
  27. 27. UCITS vs. Hedge Funds - 1 year performance Commodities Convertibles Credit Strategies Currency EM inc Asia Event Driven Fund of Funds Global Macro Long/Short Equity Managed Futures Hedge Funds Market Neutral Source: HFRX and EDHEC Multi Strategy UCITS Source: Citywire Volatility Trading -15 -10 -5 0 5
  28. 28. UCITS vs. Hedge Funds - 1 year performance Commodities Convertibles 3.9 Credit Strategies -0.84 Currency -5.2 EM inc Asia -14.65 Event Driven Fund of Funds Global Macro -6 Long/Short Equity -3.74 Managed Futures Hedge Funds Market Neutral Source: HFRX and EDHEC Multi Strategy UCITS Source: Citywire Volatility Trading -15 -10 -5 0 5
  29. 29. www.citywireglobal.com/alternative-ucits

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