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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
