Final jm slides

Jonathan Miller

Head of investment research

o European equity managers

home bias?

o The Alternative Ucits space

o European equity managers

home bias?

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

Cross border managers of five

top decile funds:

Where are they over and

underweight?

Underweight

Overweight

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

France based managers of five

top decile funds:

Where they are over and

underweight?

Underweight

Overweight

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

Germany based managers of five

top decile funds :

Where are they over and

underweight?

Underweight

Overweight

Overweight

Cross border

based managers

France based

managers

Germany based

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

Comparison of French equity holdings

The France based

manager view

The cross border

manager view

Citywire Spotlight

Top holdings across 15 funds

o The Alternative Ucits space

0 20 40 60 80 100 120 140

Alternative Ucits Funds

Convertibles

Event Driven

Fund of Funds

Commodities

Volatility Trading

Managed Futures

Global Macro

EM inc Asia

Currency

Market Neutral

Multi Strategy

Credit Strategies

Long/Short Equity

Total Funds

368 at end

September 2010

Total Funds

538 at end

December 2011

0 20 40 60 80 100 120 140

Alternative Ucits Funds

Convertibles

Event Driven

Fund of Funds

Commodities

Volatility Trading

Managed Futures

Global Macro

EM inc Asia

Currency

Market Neutral

Multi Strategy

Credit Strategies

Long/Short Equity

Total Funds

538 at end

December 2011

87 +48

55 +20

35 +29

Alternative Ucits Funds

Total Funds

538 at end

December 2011

Alternative Ucits Funds by Currency

€ Funds

431 £ Funds

230

$ Funds

187

Other

68

Alternative Ucits € Funds by Sector 104 Long/Short Equity

60 Credit

Strategies

43 Multi Strategy

46 Fund of Funds 31 Market Neutral

21 Volatility Trading

22 Managed Futures

22 Currency

32 Global Macro

18 EM Equity inc Asia

15 Event Driven 11 Commodities

6 Convertibles

€ Funds

431

Alternative Ucits € Funds by Track Record

1 Year track record

364 85%

3 Year track record

160 37%

4 Year track record

116 27%

5 Year track record

82 19%

Total Returns over 3 Years for € Funds

2009 2010 2011 -20

-10

0

10

20

30

40

50

60

70

80

90

100

2009 2010 2011

Total Returns over 3 Years for € Funds

-20

-10

0

10

20

30

40

50

60

70

80

90

100

EM inc Asia

67.1

2009 2010 2011

Alternative Ucits EM inc Asia € vs MSCI EM

86.9

67.1

0

20

40

60

80

100

120

140

MSCI EM

EM inc Asia

-20

Total Returns over 3 Years for € Funds

2009 2010 2011 -20

-10

0

10

20

30

40

50

60

70

80

90

100

2009 2010 2011

Total Returns over 3 Years for € Funds

-20

-10

0

10

20

30

40

50

60

70

80

90

100

Managed Futures

-5.0

2009 2010 2011

Alternative Ucits Long/Short € vs MSCI World

10.4

0

10

20

30

40

50

60

49.4

-10

-20

MSCI World

Long/Short €

2009 2010 2011

Best Three Months for MSCI World

0

10

20

30

40

50

60

-10

-20

MSCI World

11.5

2.2

7.3

1.2

7.2

2.0

Long/Short €

2009 2010 2011

Worst Three Months for MSCI World

0

10

20

30

40

50

60

-10

-20

MSCI World

-9.4

-1.0

-0.35

-3.6

-7.2

-2.9

Long/Short €

2009 2010 2011

Volatility and Max Drawdown

0

10

20

30

40

50

60

Long/Short €

-10

-20

MSCI World

Drawdown -14.3 Volatility 14.0

Drawdown -9.0 Volatility 6.2

UCITS vs. Hedge Funds - 1 year performance

0 -5 -10 -15 5

Hedge Funds

UCITS Source: Citywire

Source: HFRX and EDHEC

Commodities

Convertibles

Credit Strategies

Currency

EM inc Asia

Event Driven

Fund of Funds

Global Macro

Long/Short Equity

Managed Futures

Market Neutral

Multi Strategy

Volatility Trading

UCITS vs. Hedge Funds - 1 year performance

0 -5 -10 -15 5

-6 -3.74

3.9 -0.84

-5.2 -14.65

Commodities

Convertibles

Credit Strategies

Currency

EM inc Asia

Event Driven

Fund of Funds

Global Macro

Long/Short Equity

Managed Futures

Market Neutral

Multi Strategy

Volatility Trading

Hedge Funds

UCITS Source: Citywire

Source: HFRX and EDHEC

www.citywireglobal.com/alternative-ucits