SOUTH AFRICAN HEDGE FUND SURVEY DECEMBER 2009

Transcription

1 SOUTH AFRICAN HEDGE FUND SURVEY DECEMBER 2009

2 COMMENTS DECEMBER 2009 THE HEDGE FUNDS For the months ended 31 December 2009, the SYmmETRY Hedge Index returned +14.1%, Long Short Equity returned +18.9%, Market Neutral +11.9%, Fixed Income +17.9%, Multi Strategy +13.1% and Trading -3.1%. CHANGES The Coronation MultiStrategy and the Peregrine Capital Oakmont are now open for investment. The Peregrine Investment Mangagement Big Rock Capital enters the survey in the market neutral category. The fund is managed by Lars Piepke, Dave Tunnington, Jacques Groenewald, Roelof Jobing and Lee Goodman.The fund can engage in 3.5X leverage and is currently open for investment. The Kagiso FreeStone fund enters the survey in the fixed income category. The fund can be geared 10X.The fund is managed by Steynburg Kuhn and Alfred Hoernle. The Signal Automated has been moved into the small funds category. PARTICIPATION It is our intention to attempt to increase the participation of existing managers into the survey. This to create a more representative survey and hence a more reliable industry benchmark. Over the years the local hedge fund industry has been plagued by survivorship bias and we would encourage more managers to join the survey as and when they meet with the survey s listing requirements. It is also the intention in the future to look at making further content changes and we therefore ask that should you have any recommendations for this, that you please send your suggestions to hedgefunds@symmetry.co.za. SYm metry Multi-Manager is a division of Old Mutual Life Assurance Company (South Africa) Limited. This survey is for the use of Old Mutual and its clients only and may not be published externally without permission first being obtained from SYm metry Multi-Manager. The information in this survey is for general guidance and does not constitute an offer made by SYm metry Multi-Manager. Users should be aware that short term performance can be volatile and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 1

3 RETURNS DECEMBER 2009 Start Date Status Max Leverage Size (R'm) Returns Yrs p.a. 5 Yrs p.a. YTD LONG-SHORT EQUITY Return Return Return Return Return Return Return 36ONE Asset 36ONE Hedge Apr-06 Open 2X % 1 9.9% % % % % 2 Alpha Macro Managers The Absolute Alpha Nov-03 Open 1.5X % % % 14.4% 13.5% % % 13 Breakwater Capital Impact Feb-02 Open 2X % % % % 8 1.5% % % 8 Catalyst Manager Variable Bias Equity Long Short Feb-06 Open 7X % 3.8% % % % % 1 Coronation Managers Presidio Oct-05 Open 3X % 7 5.2% % % % % 4 Fairtree Capital Long/Short Equity Aug-07 Open 3X % 8 3.4% % % % 9 i capital Nitrogen Hedge Aug-06 Open 2.5X % % % % % % 7 Investec Asset Equity Hedge Dec-07 Open 5X % % % % % 14 Oryx IM Oryx SA Jun-03 Open 2.2X 1, % 6-2.1% % % % % 3 2.3% 18 Peregrine Capital High Growth Feb-04 Closed 5X % 5 4.6% % % % % % 5 Peregrine Capital Oakmont Jun-03 Open 5X 2, % 9 3.5% 10.4% % 9.5% % % Peregrine Capital Performance Feb-04 Closed 5X % % % % % % % 10 Praesidium SA Hedge Dec-03 Open 2X % % % % % % % 11 RMB Asset RMBAM Long Short Equity Feb-06 Open 3X % % % % % 13.4% 15 Salient Quants SA Hedge Aug-06 Open 3X % 4 5.7% 6 8.1% % % % 16 Sentio Capital Plato Nov-07 Open 3X % % % 6 9.1% % 17 Steyn Capital Long/Short Equity May-09 Open 2X % % % 1 T-Cap Solario May-07 Open 4X % % % % % 6 X-Chequer Long/Short Jun-08 Open 3X % 3 6.8% % % % 3 Average/Total 6, % % % % 18.0% % % 18 Median 2.1% 4.6% 10.3% 15.5% 11.7% 17.1% 15.5% Best 5.2% 10.4% 26.6% 45.8% 19.3% 24.3% 45.8% Worst 0.0% -2.2% -1.4% 2.3% 1.5% 6.9% 2.3% MARKET NEUTRAL Return Return Return Return Return Return Return Abante Abante Statistical Arbitrage Jan-07 Open 5X % % % % % 6 9.0% 23 Allan Gray Optimal Oct-02 Open 2X 2, % % % % % % 8 6.5% 26 Blue Print Managers Blue Print Hedge Jul-07 Open 4X % 2 4.6% 3 7.0% % % 9 Storm Capital Sapphire Nov-02 Open 4X % % % % % % 9 6.5% 25 Cadiz Alternative Investments Emerald Market Neutral Jan-08 Open 3X % % % 18.3% 17.3% 17 Cadiz Alternative Investments Tungsten Oct-07 Open 5X % % % 15.0% 18.0% 18 Coronation Managers Multi-Strategy Arbitrage Jul-03 Open 3X % % 2 6.8% % % % % 13 Fairtree Capital Fairtree Oct-03 Open 3X % 6 1.9% % 16.7% % % % 11 Gryphon Alpha Jan-05 Open 4X % % % % % % 7 8.1% 24 Gryphon Market Neutral Equity Dec-02 Open 2X % % % % 22.2% % % 22 Huysamer Capital Investments HCi Conservative Hedge Jun-04 Open 1.6X % 8 1.6% % % % % % 27 Investec Asset Active Quants Hedge Sep-05 Open 3.3X % % 7 6.2% % % % 14 Khulalonda Asset Khulalonda Jul-06 Open 3X % 4.2% 4 1.7% % % % 5 Mazi Capital Mazi Visio Market Neutral Nov-06 Open 4X % 1 4.0% % % % % 3 OMIGSA Macro Strategy Investments Macro Solutions Stable Hedge Oct-05 Open 3X % % % % % % 16 Investments OM Volatility Arbitrage Sep-05 Open 1.33X 1, % 2.5% % % % % 19 Investments OM Volatility Arbitrage Plus Oct-07 Open 6X % 7 3.1% 9 8.1% % % 4 OMIGSA Select Equity Market Neutral Oct-05 Open 3X % % % % 4.9% % Peregrine Capital Pure Hedge Feb-04 Closed 4X % 3 3.1% 8 7.7% % % % % 15 Peregrine Investment Managers Arcis Oct-06 Open 5X % % % % % % 21 Peregrine Investment Managers Big Rock Capital Jan-99 Open 3.5X % 4 4.9% 1 7.5% % % % % 10 PSG Absolute Investments Black Swan Sep-06 Open 5X % % % % % % 28 PSG Absolute Investments Double Diamond Sep-08 Open 3X % 9 2.0% % % % 1 RMB Asset RMBAM Market Neutral Equity Aug-06 Open 3X % % % % % 10.8% 20 Gen-X Equity Market Neutral May-07 Open 3X % % % % % 6 Gen-X Statistical Arbitrage Jun-08 Open 3X % % 4.8% % % 7 T-Cap Pardus Hedge Oct-02 Open 3X % % % % 8 6.3% 18.4% % 8 X-Chequer X-Chequer Market Neutral Jun-06 Open 3.5X % 4 3.9% 6 8.8% % % % 2 Average/Total 9, % % % % % % % 28 Median 0.6% 2.1% 4.6% 14.8% 10.0% 11.9% 14.8% Best 3.0% 4.9% 15.1% 29.2% 19.3% 18.9% 29.2% Worst -1.2% -2.3% -7.8% -8.9% 4.9% 6.4% -8.9% MARKET RETURNS Return Return Return Return Return Return Return FTSE/JSE All Share Index 2.9% 11.4% 26.9% 32.1% 6.5% 20.2% 32.1% All Bond Index 1.2% 1.1% 4.1% -1.0% 6.5% 7.1% -1.0% STeFI (Cash) 0.6% 1.9% 3.9% 9.1% 10.0% 8.9% 9.1% and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 2

4 RETURNS DECember 2009 Start Date Status Max Leverage Size (R'm) Returns Yrs p.a. 5 Yrs p.a. YTD FIXED INCOME Return Return Return Return Return Return Return Flying Cloud Fixed Income Oct-07 Open X % 3 7.1% 3.4% % % 3 Coronation Managers Granite Fixed Income Oct-02 Open 10X % 9 2.3% 8 4.3% % % % % 5 Investec Asset Fixed Income Hedge Apr-04 Closed 10X % 6 2.6% 6 4.6% 7 8.1% 8.7% % 1 8.1% 8 KADD Capital Validus Fixed Income Sep-06 Open 10X % % % % % % 2 KADD Capital Validus + Fixed Income Sep-08 Open 20X % % % % % 1 Kagiso Hedge s FreeStone Jul-09 Open 10X % 8 5.2% 4 7.5% 4 PSG Absolute Investments South Easter Fixed Interest Nov-05 Open 20X % 4 2.5% 7 5.0% 6.0% % 2.0% 6 RMB Asset RMBAM Proton Aug-01 Open 7X % 5 5.0% 5 6.3% % 4 9.3% 6 9.7% % 4 Gen-X Fixed Income Arbitrage Oct-04 Open X % 7 1.8% 9 3.8% 9 8.4% % % 2 8.4% 7 Average/Total 3, % 9 6.7% 9 9.0% % % % % 8 Median 1.2% 5.0% 6.3% 14.6% 13.0% 11.5% 14.6% Best 3.1% 22.5% 21.8% 74.1% 26.1% 13.5% 74.1% Worst 0.6% 1.8% 3.8% 8.1% 9.3% 9.7% 8.1% SINGLE MANAGER MULTI STRATEGY Return Return Return Return Return Return Return Mayflower Oct-03 Open 3.5X % 1.2% % % 3 8.9% % % 3 Brait Multi-Strategy Oct-06 Open 5X % 4 8.1% % % % % 1 Cadiz Alternative Investments ZAR Opportunities Apr-09 Open 3X % 7-1.8% 7 2.1% 6 Clear Horizon Capital Clear Horizon Multi-Strategy Oct-05 Open 5X % 5 6.3% % % 2 6.2% % 2 Genesis Genesis Hedge May-05 Open 4X % 6-1.6% 6-3.8% 7-0.2% 6 6.4% 4-0.2% 6 Mergence Africa Investments Mergence Africa Lerumo Nov-07 Open 2.5X % 2 5.2% 5 8.5% 4.1% 4.1% 4 Mergence Africa Investments Mergence Africa Uvuno Jun-06 Open 1X % 3 5.2% 4 8.4% % 5 7.5% % 5 Average/Total 1, % 7 4.8% 7 9.4% % % % % 6 Median 1.0% 5.2% 8.5% 13.9% 7.5% 15.2% 13.9% Best 6.7%.2% 18.5% 25.8% 21.7% 15.2% 25.8% Worst -1.1% -1.8% -3.8% -0.2% 6.2% 15.2% -0.2% TRADING Return Return Return Return Return Return Return Badger Capital Badger Quant Jan-04 Open 1.5X % 2 7.4% % % % % % 1 Interneuron Freestyle Portfolio Jun-01 Open 1X % 1 2.9% 2 4.7% 2-7.5% 4-0.8% 3 6.2% 2-7.5% 4 Nexus Asset Triton Mar-08 Open % 3-0.6% 3-3.3% 3 8.1% 2 8.1% 2 Trendline Diversified Mar-03 Open 3.5X 1-3.4% 4-3.3% 4-4.4% 4-6.3% 3 3.2% 2 3.7% 3-6.3% 3 Average/Total % 4 1.6% 4 2.2% 4 5.4% 4 8.9% % 3 5.4% 4 Median 1.2% 1.1% 0.7% 0.9% 3.2% 6.2% 0.9% Best 3.3% 7.4% 11.9% 27.2% 24.2% 34.3% 27.2% Worst -3.4% -3.3% -4.4% -7.5% -0.8% 3.7% -7.5% FUNDS SMALLER THAN R 10M Return Return Return Return Return Return Return Aylett & Co Aylett Hedge Jun-08 Open 2X 1 1.1% 2 3.1% % % % 1 Futuregrowth Asset Market Neutral Hedge Jan-06 Open 5X 9 1.7% 1 1.5% 5 5.8% 3-8.4% 5 1.1% 3-8.4% 5 Investec Asset Opportunity Hedge Composite Jun-05 Open 1.5X 5 0.5% 5 2.1% 4 5.2% % 3 7.0% % 3 Rock Capital The Honey Jan-08 Open 2X 6 0.8% 3 4.3% 1 9.4% % % 2 Signal Futures Signal Automated (Trading) Aug-04 Open 2X % 4 2.5% % 5-2.0% % % 1-2.0% 4 Average/Total % 5 2.7% 5 3.5% 5 7.8% % % 1 7.8% 5 Median 0.8% 2.5% 5.8% 10.2% 7.0% 25.9% 10.2% Best 1.7% 4.3% 10.5% 21.5% 24.0% 25.9% 21.5% Worst 0.5% 1.5% -13.2% -8.4% 1.1% 25.9% -8.4% TOTAL FUNDS SUMMARY Return Return Return Return Return Return Return Total/Average 21, % % % % % % % 69 Best 6.7% 22.5% 26.6% 74.1% 26.1% 25.9% 74.1% Worst -3.4% -3.3% -13.2% -8.9% -0.8% 3.7% -8.9% HEDGE FUND INDEX Jun % 3.5% 7.2% 14.1% 10.1% 13.5% 14.1% Long Short Index Long Short Index Feb % 1 4.0% % % % % % 1 Market Neutral Index Market Neutral Index Oct % 4 2.3% 4 5.1% % % 2.9% % 4 Fixed Income Index Fixed Income Index Aug % 2 6.7% 1 8.9% % % % % 2 Multi Strategy Index Multi Strategy Index Oct % 3 4.8% 2 9.3% % 3 5.9% 4.0% % 3 Trading Index Trading Index Jun % 5 1.7% 5-1.9% 5-3.1% 5 3.1% 5 7.6% 5-3.1% 5 MARKET RETURNS Return Return Return Return Return Return Return FTSE/JSE All Share Index 2.9% 11.4% 26.9% 32.1% 6.5% 20.2% 32.1% All Bond Index 1.2% 1.1% 4.1% -1.0% 6.5% 7.1% -1.0% STeFI (Cash) 0.6% 1.9% 3.9% 9.1% 10.0% 8.9% 9.1% and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 3

5 RISK MEASURES DECEMBER 2009 % Pos Best Worst Drawdown Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio ALSI Correlations ALBI Group LONG-SHORT EQUITY 36ONE Asset 36ONE Hedge 75.6% 6.3% -11.6% -.6% 8.1%.6% % -14.4% 83.1% Alpha Macro Managers The Absolute Alpha 68.9% 15.4% -5.6% -7.5% 10.5% % % 21.9% 27.3% Breakwater Capital Impact 73.7% 6.9% -10.2% -24.7% 14.6% 18.7% (0.8) (0.7) % 37.4% 61.3% Variable Bias Equity Long Short Catalyst Manager 61.7% 17.5% -9.6% -25.0% 11.6% % % 26.8% 58.1% Coronation Managers Presidio 74.5% 7.1% -7.3% -9.8% 10.2% % % 11.9% 78.4% Fairtree Capital Long/Short Equity 75.9% 11.0% -5.7% -5.7% 5.2% i capital Nitrogen Hedge 87.8% 7.5% -3.4% -3.4% 3.5% 2 6.0% % 26.0% 70.6% Investec Asset Equity Hedge 72.0% 5.2% -2.7% -5.4% 4.9% Oryx IM Oryx SA 74.7% 11.8% -3.0% -5.3% 6.4% 9 8.2% 4 (1.2) 18 (0.4) (1.0) 18 (0.3) % 9.3% 19.3% Peregrine Capital High Growth 78.9% 7.4% -7.9% -17.7% 7.4% % % -29.9% 76.3% Peregrine Capital Oakmont 79.7% 5.6% -4.7% -16.5% 6.3% 8 9.2% (0.1) (0.1) % 1.8% 90.4% Peregrine Capital Performance 77.5% 5.8% -4.7% -15.9% 6.6% % % -6.6% 88.4% Praesidium SA Hedge 84.9%.0% -11.8% -25.8% 6.0% % % 2.1% 61.9% RMB Asset RMBAM Long Short Equity 82.9% 5.5% -4.2% -7.5% 2.6% 1 6.6% (0.5) (0.4) 57.0% -16.8% 43.4% Salient Quants SA Hedge 73.2% 5.7% -4.8% -7.9% 5.5% 5 7.7% % -40.7% 52.9% Sentio Capital Plato 73.1% 4.8% -3.9% -6.1% 8.3% Steyn Capital Long/Short Equity 87.5% 8.5% -0.6% -0.6% T-Cap Solario 71.9% 7.5% -5.3% -5.3% 11.2% X-Chequer Long/Short 94.7% 6.6% -0.7% -0.7% 6.1% Average/Total 77.3% 8.3% -5.7% -10.7% 7.5% % % 2.2% 62.4% Median 75.6% 7.1% -4.8% -7.5% 6.5% 10.5% % 2.1% 61.9% Best 94.7% 17.5% -0.6% -0.6% 2.6% 6.0% % -40.7% 19.3% Worst 61.7% 4.8% -11.8% -25.8% 14.6% 21.3% (1.2) (0.8) (1.0) (0.7) 73.3% 37.4% 90.4% MARKET NEUTRAL Abante Abante Statistical Arbitrage 86.1% 5.2% -2.6% -2.6% 2.2% 6 5.0% (0.1) (0.0) % 1.2% 14.6% Allan Gray Optimal 85.1% 3.9% -1.0% -1.4% 3.4% 2.8% 3 (1.1) 27 (0.3) (0.8) 26 (0.2) % 9.2% -20.9% Blue Print Managers Blue Print Hedge 90.0% 7.2% -5.0% -5.0% 3.2% Storm Capital Sapphire 79.1% 5.4% -3.3% -3.3% 2.9% 9 5.5% 13 (1.0) 26 (0.6) (0.9) 27 (0.5) % 3.1% 54.7% Cadiz Alternative Investments Emerald Market Neutral 95.8% 3.9% -0.5% -0.5% 1.4% Cadiz Alternative Investments Tungsten 81.5% 4.3% -1.7% -1.7% 3.5% Coronation Managers Multi-Strategy Arbitrage 89.7% 3.9% -1.6% -1.6% 4.5% % % 11.6% -18.4% Fairtree Capital Fairtree 85.1% 5.0% -1.3% -1.3% 3.6% % % -15.1% 49.0% Gryphon Alpha 73.3% 4.1% -3.4% -3.4% 4.0% % 11 (0.3) 24 (0.2) (0.2) 24 (0.2) % -19.7%.9% Gryphon Market Neutral Equity 89.4% 2.3% -1.0% -1.0% 2.2% 5 2.6% % -14.5% -4.1% Huysamer Capital Investments HCi Conservative Hedge 76.1% 2.9% -3.7% -3.7% 5.8% % 9 (0.8) 25 (1.0) (0.6) 25 (0.9) % 11.0% 0.5% Investec Asset Active Quants Hedge 68.6% 7.1% -14.7% -20.2% 3.9% 16.0% % -31.5% 46.4% Khulalonda Asset Khulalonda 76.2% 6.5% -2.7% -3.5% 6.7% % % -14.0% 21.3% Mazi Capital Mazi Visio Market Neutral 76.3% 9.0% -6.3% -8.5% 7.3% % % -35.5% 59.7% OMIGSA Macro Strategy Investments Macro Solutions Stable Hedge 72.5% 4.8% -3.2% -4.1% 7.7% % (0.0) (0.0) % 31.4% 43.5% Investments OM Volatility Arbitrage 88.5% 2.6% -1.4% -3.0% 1.9% 4 2.7% (0.3) (0.2) % 5.6% 45.3% Investments OM Volatility Arbitrage Plus 85.2% 4.5% -8.9% -.4% 3.4% OMIGSA Select Equity Market Neutral 66.0%.1% -7.6% -16.9% 15.4% % (0.7) (0.5) % 24.6% 25.7% Peregrine Capital Pure Hedge 85.9% 4.1% -2.1% -3.2% 4.4% % % -9.3% 52.1% Peregrine Investment Managers Arcis 84.6% 3.0% -1.9% -3.0% 1.1% 1 3.3% (0.0) (0.0) % 34.8% -24.6% Peregrine Investment Managers Big Rock Capital 63.6% 5.2% -4.7% -5.5% 4.1% % % 1.6% 6.3% PSG Absolute Investments Black Swan 47.5% 16.8% -3.5% -.6% 6.4% % 20 (2.4) 28 (0.6) (2.8) 28 (0.3) % 6.7% -46.7% PSG Absolute Investments Double Diamond 68.8% 7.9% -9.7% -15.7% 9.9% RMBAM Market Neutral Equity RMB Asset 90.2% 2.5% -3.3% -4.9% 1.9% 3 3.8% (0.0) (0.0) 4.2% -16.2% 45.2% Gen-X Equity Market Neutral 84.4% 5.2% -2.3% -2.3% 2.4% Gen-X Statistical Arbitrage 94.7% 3.3% -2.4% -2.4% 3.4% T-Cap Pardus Hedge 67.8% 16.1% -5.6% -14.4% 7.0% % (0.5) (0.4) % -13.4% 41.7% X-Chequer X-Chequer Market Neutral 95.3% 4.8% -1.5% -1.5% 2.5% 8 4.1% % -29.8% 54.4% Average/Total 80.3% 5.8% -3.8% -5.7% 4.5% % % -2.8% 21.8% Median 84.5% 4.8% -2.9% -3.4% 3.5% 4.8% 2.8 (0.0) (0.0) 4.7% 1.2% 25.7% Best 95.8% 16.8% -0.5% -0.5% 1.1% 2.6% % -35.5% -46.7% Worst 47.5% 2.3% -14.7% -20.2% 15.4%.0% (2.4) (1.0) (2.8) (0.9) 72.0% 34.8% 59.7% MARKET RETURNS FTSE/JSE All Share Index 66.7%.5% -13.2% -40.4% 21.9% 20.9% 1.9 (0.2) (0.2) 100% -5.2% All Bond Index 55.6% 8.5% -2.9% -9.4% 4.8% 8.1% (1.9) (0.7) (2.1) (0.4) -5.2% 100% STeFI (Cash) 100.0% 1.0% 0.6% 0.0% 0.4% 0.4% % 21.1% and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 4

6 RISK MEASURES DECEMBER 2009 % Pos Best Worst Drawdown Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio Correlations ALSI ALBI Group FIXED INCOME Flying Cloud Fixed Income 96.3% 4.6% -6.1% -6.1% 2.5% Coronation Managers Granite Fixed Income 98.9% 3.5% -1.2% -1.2% 3.0% 4 2.1% % -11.6% 19.0% Investec Asset Fixed Income Hedge 97.1% 5.9% -1.6% -1.6% 2.3% 1 3.9% 3 (0.5) (0.4) % 74.1% -31.4% KADD Capital Validus Fixed Income 90.0% 9.5% -5.7% -5.7% 10.0% 7 8.0% % -.8% 74.1% KADD Capital Validus + Fixed Income 93.8% 15.5% -3.8% -3.8% 19.5% Kagiso Hedge s FreeStone 83.3% 3.5% -0.5% -0.5% PSG Absolute Investments South Easter Fixed Interest 82.0% 6.9% -5.3% -5.3% 5.2% 5 7.6% % -25.9% 56.2% RMB Asset RMBAM Proton 89.11% 4.3% -9.5% -17.9% 6.0% 6 9.2% (0.1) (0.1) % -69.2% 41.7% Gen-X Fixed Income Arbitrage 90.48% 3.5% -0.6% -0.6% 2.8% 3 3.3% 2 (0.4) (0.2) % 0.9% 34.7% Average/Total 91.2% 6.3% -3.8% -4.7% 6.4% 8 5.7% % -7.4% 32.4% Median 90.5% 4.6% -3.8% -3.8% 4.1% 5.8% % -.2% 38.2% Best 98.9% 15.5% -0.5% -0.5% 2.3% 2.1% % 74.1% 74.1% Worst 82.0% 3.5% -9.5% -17.9% 19.5% 9.2% (0.5) (0.1) (0.4) (0.1) -27.1% -69.2% -31.4% ears ears ears SINGLE MANAGER MULTI STRATEGY Mayflower 73.3% 7.9% -17.8% -23.7% 10.6% % (0.1) (0.1) % -53.3% 80.2% Brait Multi-Strategy 74.4% 8.7% -7.4% -11.9% 8.0% % % -26.7% 0.1% Cadiz Alternative Investments ZAR Opportunities 77.8% 2.2% -1.3% -2.4% Clear Horizon Capital Clear Horizon Multi-Strategy 60.8%.5% -8.4% -31.3% 10.4% % (0.4) (0.3) %.2% 68.2% Genesis Genesis Hedge 60.7% 6.2% -4.2% -7.3% 5.5% 3 7.7% 2 (1.7) 6 (0.6) (1.7) 6 (0.5) 5-3.9% -3.5% 26.6% Mergence Africa Investments Mergence Africa Lerumo 65.4% 4.6% -7.3% -15.1% 3.7% Mergence Africa Investments Mergence Africa Uvuno 69.8% 4.8% -4.9% -9.7% 3.7% 1 7.5% (0.4) (0.3) % -19.7% 87.2% Average/Total 68.9% 6.7% -7.3% -14.5% 7.0% % (0.0) % -18.2% 52.4% Median 69.8% 6.2% -7.3% -11.9% 6.8% 10.3% 1.5 (0.4) (0.3) 44.6% -19.7% 68.2% Best 77.8%.5% -1.3% -2.4% 3.7% 7.5% % -53.3% 0.1% Worst 60.7% 2.2% -17.8% -31.3% 10.6% 15.2% (1.7) (0.6) (1.7) (0.5) 64.2%.2% 87.2% ears ears ears TRADING Badger Capital Badger Quant 75.0% 19.5% -14.0% -16.7% 8.8% 2 9.3% % -6.4% 8.9% Interneuron Freestyle Portfolio 61.2% 9.4% -7.4% -21.9% 11.2% % 2 (1.5) 3 (1.2) (1.5) 3 (1.1) % -11.3% 64.8% Nexus Asset Triton 68.2% 9.2% -7.6% -8.1%.1% 4 (0.1) (0.1) 2 Trendline Diversified 54.9% 16.2% -15.3% -22.0% 6.7% % 3 (2.1) 4 (0.6) (2.3) 4 (0.4) % -42.0% 60.5% Average/Total 64.8% 13.6% -11.1% -17.2% 9.7% % 3 (0.0) (0.4) % -19.9% 44.7% Median 64.7%.8% -10.8% -19.3% 10.0% 10.0% (0.8) (0.6) (0.8) (0.4) 26.0% -11.3% 60.5% Best 75.0% 19.5% -7.4% -8.1% 6.7% 9.3% % -42.0% 8.9% Worst 54.9% 9.2% -15.3% -22.0%.1% 16.0% (2.1) (1.2) (2.3) (1.1) 32.9% -6.4% 64.8% FUNDS SMALLER THAN R 10M Aylett & Co Aylett Hedge 100.0% 4.8% 0.5% 0.0% 4.1% Futuregrowth Asset Market Neutral Hedge 56.3% 7.3% -8.3% -19.1% 10.3% % 2 (1.6) 5 (1.0) (1.7) 5 (0.8) % 9.0% 15.2% Investec Asset Opportunity Hedge Composite 64.8% 5.4% -5.1% -16.0% 9.6% 2 9.4% (0.4) (0.3) % 13.4% -1.2% Rock Capital The Honey 66.7% 5.3% -.6% -.6% 10.0% Signal Futures Signal Automated (Trading) 63.1% 17.1% -10.9% -15.6% 13.9% % 3 (1.0) (0.8) % -8.2% 59.3% Average/Total 70.2% 8.0% -7.3% -.7% 9.6% % (0.1) (0.1) % 4.7% 24.5% Median 64.8% 5.4% -8.3% -15.6% 10.0% 11.3% 0.2 (0.4) (0.3) 19.8% 9.0% 15.2% Best 100.0% 17.1% 0.5% 0.0% 4.1% 9.4% % 13.4% 59.3% Worst 56.3% 4.8% -.6% -19.1% 13.9% 20.4% -1.6 (1.0) (1.7) (0.8) -13.2% -8.2% -1.2% TOTAL FUNDS SUMMARY Average/Total 78.2% 7.2% -5.3% -8.9% 6.4% 8.4% % -4.1% 37.9% Best 100.0% 19.5% 0.5% 0.0% 1.1% 2.1% % 74.1% 90.4% Worst 47.5% 2.2% -17.8% -31.3% 19.5% 21.3% (2.4) (1.2) (2.8) (1.1) -59.1% -69.2% -46.7% HEDGE FUND INDEX 85.4% 6.8% -7.2% -9.0% 2.2% 4.1% % -9.28% Long Short Index Long Short Index 74.7% 7.4% -5.7% -.2% 4.8% 4 7.8% % 11.0% Market Neutral Index Market Neutral Index 88.9% 5.0% -2.1% -2.1% 1.5% 1 2.4% % -22.5% Fixed Interest Index Fixed Income Index 97.0% 3.4% -1.5% -1.5% 3.1% 2 3.0% % -46.0% Multi Strategy Index Multi Strategy Index 77.3% 7.9% -7.0% -.8% 3.6% 3 8.0% (0.6) (0.5) % -23.6% Trading Index Trading Index 61.2% 10.3% -5.8% -9.6% 6.3% 5 7.8% 3 (1.8) 5 (1.0) (1.9) 5 (0.9) % -28.7% MARKET RETURNS FTSE/JSE All Share Index 66.7%.5% -13.2% -40.4% 21.9% 20.9% 1.9 (0.2) (0.2) 100% -5.2% All Bond Index 55.6% 8.5% -2.9% -9.4% 4.8% 8.1% (1.9) (0.7) (2.1) (0.4) -5.2% 100% STeFI (Cash) 100.0% 1.0% 0.6% 0.0% 0.4% 0.4% % 21.1% and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 5

7 GLOSSARY AND CONTACT DETAILS DECEMBER 2009 ALBI (All Bond Index) The Bond Exchange Association of South Africa All Bond Index, which is used as a proxy for the SA fixed interest (bond) market. ALSI (All Share Index) The FTSE/JSE All Share Index, which is used as a proxy for the SA equity market. The index consists of the largest 160 stocks on the JSE, weighted according to their free float market caps. Correlation A statistical measure of how two securities move in relation to each other. Correlation is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (a correlation co-efficient of +1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation means that if one security moves in either direction the security that is perfectly negatively correlated will move by an equal amount in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random. Drawdown The biggest cumulative loss the fund has experienced since inception. Fixed Income Category Managers in this category generate profit by exploiting opportunities in fixed interest securities and derivatives. Size The market value of the assets in the fund as at the survey date. Status Indicates the fund s ability to accept new investments. OPEN means the fund is still accepting new investments. CLOSED means the fund is no longer accepting new investments s Smaller Than R10 Million Category This category is for all funds with less than R10 million in assets. These funds are listed seperately to distinguish them from the larger and more established funds. Group Correlation The correlation of the fund with the average monthly return of its category. Leverage Leverage is calculated as the sum of the absolute value of total long exposure and total short exposure of the fund divided by the fund size. Leverage is used as an indication of the fund s exposure relative to its size. Leverage is sometimes also referred to as Total Gross Exposure or Gearing. Long-Short Equity Category s in this category generate profit by exploiting opportunities in the equity and equity derivatives market. Managers can hold both long and short positions in these securities and can actively manage the net equity market exposure of the fund depending on market conditions. Market Neutral Category s in this category generate profit by exploiting opportunities in the equity and equity derivatives market. Managers aim to neutralise directional market risk by combining long and short positions in broadly equal amounts. Maximum Leverage The maximum leverage the fund is allowed to utilise according to its mandate. Sharpe Ratio The Sharpe ratio is calculated by subtracting the risk-free rate - such as that of the 10-year U.S. Treasury bond - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. The Sharpe ratio tells us whether a portfolio s returns are due to smart investment decisions or a result of excess risk. This measurement is very useful because although one portfolio or fund can reap higher returns than its peers, it is only a good investment if those higher returns do not come with too much additional risk. The greater a portfolio s Sharpe ratio, the better its risk-adjusted performance has been. A negative Sharpe ratio indicates that a risk-less asset would perform better than the security being analyzed. Pos % The percentage of months that the fund had positive returns. Return and Risk Calculations All return calculations are based on time weighted returns from monthly data, are net of fees and are annualised for periods longer than 1 year (indicated by p.a.). Risk Free Return The rate of return that can be earned with almost no risk. For this survey this rate is assumed to be the return that is earned on short dated fixed interest instruments as measured by the STEFI index. Single Manager Multi-Strategy Category s in this category combine several distinct investment strategies into one fund. Standard Deviation A measure of the dispersion of a fund s returns around its mean. Standard deviation is often also referred to as the volatility of the fund and is a common measure of risk in a fund. s with higher standard deviations have more uncertain returns than funds with lower standard deviations. STEFI Index (Short Term Fixed Interest Index) The STEFI index measures the performance of various short-term fixed interest instruments (max maturity of 1 year). Sortino Ratio The Sortino ratio measures the downside risk-adjusted return of the fund. It is calculated by deducting the risk free return from the fund return. The result is then divided by the fund s downside deviation from the risk free rate. Trading Category s in this category generate profit by trading mainly in derivatives and indices rather than individual securities. Investment opportunities are identified using technical or quantitative systems and the funds are often traded very actively. Contact Details: For any queries or comments regarding the SYm metry South African Hedge survey or to participate in the survey, please contact Martin Hammond on or hedgefunds@symmetry.co.za. To receive the most recent survey every month, please subscribe on the SYm metry website at SYm metry Multi-Manager is a division of Old Mutual Life Assurance Company (South Africa) Limited. This survey is for the use of Old Mutual and its clients only and may not be published externally without permission first being obtained from SYm metry Multi-Manager. The information in this survey is for general guidance and does not constitute an offer made by SYm metry Multi-Manager. Users should be aware that short term performance can be volatile and that past performance is not necessarily a good guide to future performance. We have made every effort to ensure that information in this survey is correct. However, SYm metry Multi-Manager will not accept any liability for losses suffered as a result of inaccuracies. 6