Just as most systematic, single strategy hedge funds satisfy the UCITS criteria through collateralised swaps into indices that replicate their original strategy, this fund is exposed to an index, as opposed to directly investing in funds. The reason for the structure is mainly historical: in 2008 when this product launched, Man deemed the then universe of UCITS funds to be insufficiently diversified and not of the requisite quality. This gap is thought by Man to have closed in recent years and future products will likely draw from today’s far broader pool of alternative UCITS products.
While non-UCITS hedge funds have recently outperformed UCITS hedge funds, Man Multi Manager outpaced UCITS hedge fund indices in 2010, delivering a 3.53% return after all costs.
Man charges a 0.5% management fee and a 5% performance fee, subject to high watermark principle. There is a further 1.15% fee due to the index sponsor, which covers the cost of the index construction and maintenance. The swap provider bridges the gap between the underlying funds that comprise the index, which typically have monthly liquidity, and the daily liquidity offered to investors.
As the fund launched in August 2008 the principle of daily dealing was put through tough market conditions, but nevertheless managed to pass the test.
The Man Multi Manager index is designed to be broadly representative of the global hedge fund industry, so is never likely to reduce to zero the allocation to any of its five “big picture” style groupings (although more granular strategies may be avoided). That said, Man does aim to add value by tactically over-weighting and under-weighting some styles. Thus, ramping up allocations to managed futures and equity hedge in late 2010 helped to enhance returns. Meanwhile, relative value and event driven were de-emphasised. The fifth style, global macro, was the largest of the five style groupings in 2010, based on a structurally over-weighted view.
The portfolio is managed in Pffaffikon, on Lake Zurich in Switzerland, by Head of Discretionary Management Reto Grau. Chief Investment Officer Luke Ellis, who co-founded Financial Risk Management, has top level oversight of the process.
Key details
Fund name: Man Multi Manager
Management company: Man Investments
Promoter: Man Investments
Status: Open
Inception date: 18th July 2008
Strategy
Kind of fund: Fund of Funds
Strategy group: Multi-strategy
Region: Global All
Asset classes: Equities, currencies, interest rates, sovereign bonds, credit, convertible bonds, commodities, volatility (options)
Particulars
Currency: EUR
Share class name: EUR D
ISIN: LU0361196081
Bloomberg ticker: RMFUMBR LX
Domicile: Luxembourg
Listing: Not listed
Fund structure: SICAV
NAV calculation: Daily
Liquidity: Daily
Notice (banking days): 1
Minimum investment: 1,000
Min. investment currency: EUR
Income: Accumulative
Fees
Entry fee: 1%
Exit fee: 1%
Management fee: 2.65%
Performance fee: 5%
High water mark: Yes
Hurdle rate: No
Analysis
2010 return: 3.53%
Annualised return: 3.52%
Annualised volatility (monthly data): 4.44%
Sharpe ratio (2%) (monthly data): 0.34
Correlation to S&P 500 (monthly data): 63.77%
Correlation to iBoxx (monthly data): -22.56%
Service providers
Administrator: RBC Dexia Investor Services
Custodian: RBC Dexia Investor Services Bank
Auditor: Deloitte
Lawyer: Arendt & Medernach
