The fund does not make use of futures or index-linked products, focusing entirely on physical stocks. To maintain their high level of liquidity, the portfolio managers ensure that they do not own more than two days’ trading volume in any one position, which equates to roughly €20 million. The original Sofaer fund was never closed, and this continues to be “a cast iron principle” of the managers.
“Our defence is the liquidity in the market,” explains co-portfolio manager Michael Browne. “During the recent financial crisis, the last asset you could still trade was equities. You could always sell an equity.”
The fund focuses on well-managed companies, with an emphasis on cash flow. Solid and successful management teams are a key factor. This has led to some companies being part of the original strategy’s portfolio for three to five years, although the average holding period is around the 14-18 months mark.
Full use is made of shorting opportunities, particularly where management is seen to be destroying value. Qualitative macro oversight is also used to provide insights into the overall health of the European economy, which then informs the stock criteria that should be focused on.
Although once a stand-alone team within Sofaer, managers Steve Frost and Michael Browne now liaise on a daily basis with the other Martin Currie portfolio management teams, and are also actively supported by the firm’s team of research analysts.
The fund’s managers describe themselves as generalists. Where required – e.g. pharmaceuticals – they seek outside advice, but any purchases or sales need to be approved by both managers.
About the managers
Michael Browne and Steve Frost, co-managers, European long/short products, are based in London. They joined Martin Currie in 2010 from Sofaer Capital. They have a history of managing an active short book, with over $250 million under their aegis at Sofaer. Previously, they launched a European equities fund for Chase Asset Management in 1994 and a long/short fund in 1998.
Key details
Fund name Martin Currie GF - European Absolute Alpha
Management company Martin Currie Investment Management
Promoter Martin Currie
Status Open
Inception date 29th September 2010
Strategy
Kind of fund Hedge Fund
Strategy group Long/short
Region Europe All
Asset classes Equities
Particulars
Currency EUR, USD, GBP
Share class name Ordinary €
ISIN LU0541661251
Bloomberg ticker MCEABAE LX
Domicile Luxembourg
Listing Luxembourg Stock Exchange
Fund structure SICAV
NAV calculation Daily
Liquidity Daily
Notice (banking days) 1
Minimum investment 250,000
Minimum retail 10,000
Min. investment currency USD
Fees
Entry fee 5%
Exit fee 0%
Management fee 1.5%
Performance fee 20%
High water mark Yes
Hurdle rate No
Analysis
2010 Return 2.80%
Annualised return 11.31%
Annualised volatility (monthly data) 6.45%
Sharpe ratio (2%) (monthly data) 1.44
Correlation to S&P 500 (monthly data) 20.05%
Correlation to iBoxx (monthly data) 88.48%
Service providers
Administrator State Street Fund Services
Custodian State Street Custodial Services
Auditor Deloitte
