The fund follows a top down approach to stock selection, determining sector and geographic weightings with particular emphasis to timing. The managers recognise the importance of macro factors like the weather, commodities prices, and supply and demand mechanics, and how these increasingly play a role in the prices of shares in the sectors they follow.
The fund has an actively managed short book, and the managers seem comfortable using it, for example switching from a net short position on emerging markets fertilizers to a net long one over the summer months.
This fund does not follow some of the more well-trodden routes in the water and agriculture space: Bulkai is sceptical about the benefits of water utilities in his portfolio, and the scarcity of good opportunities in the desalination industry means he has not been tapping into this area lately. Instead, the fund tackles more esoteric but equally important investment stories, like the decision by the Chinese government to push its pork farming industry down the road towards more centralisation.
Taking a theme like the one above, the managers then seek means to realise the potential returns via stock exposure, using their risk management framework to inform position sizing. Stop losses are set against losses to NAV rather than the position itself.
As a UCITS III fund there is an acute awareness of the fund’s liquidity requirements on the part of the portfolio management team: the normal position size is 2% (high conviction positions can go up to 4%), and the managers avoid anything that cannot be liquidated in a day. Consequently, shares listed on major securities exchanges are favoured over local equivalents.
About the managers
Kristof Bulkai joined Thames River in 2008 and was with Griffin Capital prior to that. He has a track record of low volatility, mid teen returns. Prior to becoming a fund manager he worked for the data research group at Goldman Sachs. Hugo Rogers was a senior analyst with Copenhagen Capital before joining Thames River in 2008. He started his financial services career as an analyst with Odey Asset Management.
Key details
Fund name Thames River Water and Agriculture Absolute Return Fund
Management company Thames River Capital
Promoter Thames River Capital
Status Open
Inception date 2nd March 2009
Strategy
Kind of fund Hedge Fund
Strategy group Long/short
Region Global All
Asset classes Equities
Particulars
Currency USD, EUR, GBP, NOK
Share class name Retail $ Acc
ISIN IE00B3DXTC14
Bloomberg ticker THRWAUA ID
Domicile Ireland
Listing Irish Stock Exchange
Fund structure Investment Company with Variable Capital
NAV calculation Daily
Liquidity Daily
Notice (banking days) 1
Minimum investment 15,000
Min. investment currency USD
Fees
Entry fee 0%
Exit fee 0%
Management fee 1.75%
Performance fee 10%
High water mark No
Hurdle rate Yes
Hurdle Libor USD 3m +2.00%
Analysis (to end of October 2010)
Current YTD 9.04%
Annualised return 13.20%
Annualised volatility 6.40%
Sharpe ratio (2%) 1.75
Correlation to S&P 500 37.67%
Correlation to iBoxx -23.85%
Service providers
Administrator Northern Trust International Fund Administration Services
Custodian Northern Trust Fiduciary Services
Auditor PricewaterhouseCoopers
Lawyer Dillon Eustace
