Hilltop decorrelated fund october 2013 factsheet
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The Hilltop Decorrelated Fund gained 1.2% in October. After months of offsetting winning and losing positions cancelling each other out in the first half of the year, the fund has seen a return to normality over the past 4 months with more winning than losing positions. The fund employs a multi-manager strategy investing in 12-20 underlying hedge funds pursuing decorrelated returns across asset classes like equities, fixed income, currencies and commodities. The target is an average annual return of 10-12% with low volatility and correlation to markets.
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Hilltop decorrelated fund october 2013 factsheet
- 1. October 2013 1.2%e An estimate, based on actual results from 2/18 funds and an estimate from 16/18 funds The Hilltop Decorrelated Fund Delivering decorrelated returns in a highly correlated environment The fund enjoyed a strong month in October gaining 1.2%. In July we wrote about the unusual and frustrating phenomena that plagued us in the first half of the year when month after month the number of losing funds seemed to cancel out the number of winning ones. Our fear was that some would view this repetitive offsetting of winning and losing positions as inevitable; that a portfolio of non-correlated funds is bound to cancel each other out. However intuitive this may seem, it is incorrect: non-correlated investments, by definition, perform independently of each other (and markets). It has been pleasing, therefore, to see a return to normality over the past 4 months with twice the number of winning to losing positions (a number entirely in line with our Core Select Funds 44 month history). Indeed, during that time, there have been just two instances where we had more losing positions than winning ones and both of those were down to our much-discussed (and long since disposed) macro exposure. Monthly perf (%)* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2013 -0.8 0.3 0.1 0.5 -1.0 -0.2 0.5 -0.3 1.5 1.2 HTDCBC2 TL (USD) HTDHDFS TL (GBP) 2012 1.3 1.2 1.3 1.2 0.5 1.0 0.8 -0.3 0.3 -0.1 -0.3 2.7 9.7 Target returns An average of 10-12% p.a. net of fees over a three-year period 2011 2.6 0.0 0.7 2.8 2.0 1.2 2.2 -0.4 2.0 0.4 4.2 23.2 * Pro forma results are shaded in grey. Results are shown net of all fees and costs assuming a fund size of $20m excluding any redemption fees. Expected volatility Less than 5% Correlation target A maximum of 0.4 to the MSCI World Index over any three-year period and on average closer to zero Investment liquidity 75% of AuM invested in funds with monthly redemption or better Leverage Maximum of 33% long-term and 10% short-term Target size $500m Share class USD and GBP GI000A1J6ZB9 (USD) GI000A1T87X1 (GBP) Bloomberg: Risk metrics (Jan 2011 Oct 2013) DecorHFR Fund related HFR FoF Weighted Fund* Composite Composite MSCI World 37.4% 6.7% 7.8% 25.2% Compound annual 11.9% 2.3% 2.7% Annual volatility 4.3% 4.3% 5.4% 14.2% Fund domicile Gibraltar / Experienced Investor / type Fund Max drawdown -1.2% Minimum investment $10k if invested via a life wrapper, $ equivalent of 50k if advised by an IFA, 100k if investing directly Sharpe ratio促 Fund liquidity Monthly Redemption notice 45 days notice Fees Initial fee: none Management fee: 1.75% Performance fee: 10% above HWM with 3% trigger Redemption fee: 5% reducing Fund manager Hilltop Fund Management LLP Auditors Deloitte, Gibralta Custodian Royal Bank of Canada Administrator Helvetic Fund Administration Contact Contact Cressida St Aubyn, Investor Relations cressida.staubyn@hilltop.co.uk -0.1 0.4 73.5% 61.8% 64.7% 55.9% Portfolio snapshot 0% -6% 2011 2012 2013 Rolling 24-mth correlation with MSCI 1 0 -1 2013 High correlation 促 Assumes minimum acceptable return of 3%. Underlying fund* Headline strategy RDC Equity derivative arbitrage ATP Equity long/short non-directional SAC Volatility arbitrage RAB Trade finance CRA Equity long/short non-directional FJE Activist credit PGD Equity long/short non-directional LOP Long/short convertibles NNM Long/short dividend futures SEK Activist micro-cap equity CBK Volatility arbitrage TCC Equity long/short non-directional IAH Fixed income arbitrage TEM Long/short mortgages WTH Long/short commodity FSP Relative value commodity SUT Long/short commodity equities COK Macro volatility * Codes for internal use only 3.6 6% Portfolio weighting 10.4% 9.6% 8.6% 8.3% 8.2% 7.8% 7.6% 6.7% 6.7% 5.5% 5.4% 4.9% 4.4% 3.7% 3.5% 3.3% 2.8% 2.6% Medium correlation Low correlation Portfolio characteristics (Oct 2013) Asset allocation Bonds/FI (3%) Commodities (5%) Lending (7%) Mortgages (3%) Equities (45%) Credit (12%) Cash (12%) Volatility (13%) Liquidity Quarterly (24%) ed R Distribution partner The Synergy Partnership +603 2301 0930 info@thesynergypartnership.com % positive periods 8.3% -7.7% -9.0% -20.5% -0.2 1.7 Historical performance Total return 2.1 YTD ng ISIN: u ci Monthly (76%) 息 2013 Hilltop Fund Management LLP | Regulated and authorised by the Financial Conduct Authority | +44 (0)20 7788 7799 | www.hilltop.co.uk 1
- 2. Investment approach To achieve its targets Hilltop adopts a multi-manager approach investing in 12 to 20 underlying hedge fund strategies globally, which we are convinced can deliver decorrelated returns on a sustainable basis. Our aim is to select strategies that are decorrelated to market movements and decorrelated to each other. It is an important feature of our approach that we are not making any macro calls and with rare exceptions neither are the managers we are investing with. This is partly because we do not believe anyone has an edge in making such calls and partly because even if they did, they would wish to be highly correlated in a bull market which runs counter to our ambition of being decorrelated at all times (it is entirely possible to be up in a bull market without being correlated). Our preference is for managers pursuing a clearly defined opportunity set and with the requisite investment skills to exploit it. Whilst, on occasion, this could include managers operating in unconventional areas the primary focus is on managers operating in mainstream asset classes (equities, fixed income, FX and commodities) but in unusual and/or distinctive ways. The fund will not invest in managers with less than a 2遜 year track record. Disclaimer This document does not constitute or form part of, and may not be used for the purpose of, an offer or solicitation to anyone in any jurisdiction in which such offer or solicitation is not authorised or to any person to whom it is unlawful to make such offer or solicitation. Shares in the Hilltop Decorrelated Fund (the Fund) will not be offered to the general public. This document may not be distributed in any jurisdiction where it is unlawful to do so. A subscription for shares in the Fund may only be made in reliance on the private placement memorandum and relevant supplement of Hilltop Funds PCC Limited by persons who are eligible to subscribe as set out in such documents. While the information in this document has been prepared in good faith, no representation or warranty, express or implied, is or will be made and no responsibility or liability is or will be accepted by the Fund or Hilltop Fund Management LLP (Hilltop) or by any of their respective members, officers, employees or agents in relation to the accuracy or completeness of the information contained in this document and any such liability is expressly disclaimed. In particular, but without prejudice to the generality of the foregoing, no representation or warranty is given as to the achievement or reasonableness of any future projections, management estimates, prospects or returns contained in this document. Actual results may vary from estimates. Hilltop is not acting for any recipient of this document. Hilltop is not responsible to such a recipient for providing protections afforded to clients of Hilltop and Hilltop is not advising such a recipient in respect of investing in Hilltop Funds PCC Limited. Past performance is not a guide to future performance. The pro-forma results in this document are calculated by the retroactive application of a model constructed on the basis of the historical data of the intended underlying fund investments utilised by the Fund at its inception and in the same mix at the launch date of the Fund. There is no assurance that the Fund will be able to invest in the intended underlying funds at launch and/or at the level intended. There is also no assurance that the Fund would have achieved the returns shown prior to August 2012 and the pro-forma returns are shown for illustrative and informational purposes only and should not be construed as an indicator of future performance of the Fund or any other fund managed by Hilltop. Pro-forma returns do not represent actual trading and may not reflect the impact that material economic and market factors might have had on any decision-making if the portfolio were actually being managed. The pro-forma returns also assume that the Fund would have been able to purchase the securities recommended by the model and that the markets were sufficiently liquid to permit this trading. Hilltop has clients other than the Fund and results across clients may differ materially. 息 2013 Hilltop Fund Management LLP | Regulated and authorised by the Financial Conduct Authority | +44 (0)20 7788 7799 | www.hilltop.co.uk 2