AIMhedge decided to partner with Deutsche to minimise tracking error: thanks to this structure and because they found db funds was competitive on costs, charging 0.49% for swap administration - with 0.10% charged by a separate custodian for safekeeping the collateral backing the swap. These extra fees are partly offset by AIMhedge itself sacrificing some 0.45% of its normal management fees, so fixed costs for the daily dealing onshore UCITS, at around 2.30% are only marginally higher than the monthly offshore fund costs of 2% management fee (plus service providers).
Realised volatility on the offshore vehicle has always been well inside the top-down UCITS ceiling for Value at Risk, and this statistical approach is bolstered by AIMhedge’s long standing “dollar based” absolute target limit for fund losses if all stop losses are hit.
AIMhedge’s risk philosophy also sets controls on individual instruments: sizing positions inversely to their volatility and, unusually for a CTA, employing position level stop losses intended to lock in gains by trailing up (long) or down (short) as trades move into profit: for instance the fund lately stopped out of silver at USD 43.2 after entering at 32.9.
AIMhedge’s UK Business Development Manager Persa Vucevic points out that if the months of April and May this year are considered as a combined, volatile, episode, the fund has ratcheted up a profit over two together.
The hard stop loss policy reflects another differentiator: trade selectivity. Many CTAs eschew stops because they effectively exit trades by cutting and reversing into directionally opposite positions, and so are always exposed to all their markets. AIMhedge instead only trades when its models identify robustly trending markets, typically around 40 of its 83 investable markets. A black box this is not: investors can request full portfolio transparency.
AIMhedge has greater weighting in commodities than many CTAs, including some smaller markets such as Malaysian palm oil, with a European carbon emissions contract the most recent addition.
Chief Investment Officer Richard Bibb - who spent 12 years building and testing investment models as Development Manager at Man Group - believes that commodity markets deliver the really big moves that are the lifeblood of trend following.
Key details
Fund name: DB Platinum AIMHedge Index
Management company: AIMHedge Management
Promoter: Deutsche Bank Securities
Status: Open
Inception date: 3rd August 2010
Strategy
Kind of fund: Hedge Fund
Strategy group: Macro
Sub-strategy: Systematic
Region: Global All
Asset classes: Equities, Currencies, Interest rates, Sovereign bonds, Commodities
Particulars
Currency: EUR
Share class name: I1C
ISIN: LU0515551710
Bloomberg ticker: DBAHI1C LX
Domicile: Luxembourg
Listing: Luxembourg Stock Exchange
Fund structure: SICAV
NAV calculation: Daily
Liquidity: Daily
Notice (banking days): 2
Minimum investment: 500,000
Minimum retail: 100
Min. investment currency: EUR
Income: Accumulative
Fees
Entry fee: 0%
Exit fee: 0%
Management fee: 1.55% (+ DB fees)
Performance fee: 20%
High water mark: Yes
Hurdle rate: No
Analysis
Year to Date: -0.45%
2010 return: 12.52%
Annualised return: 14.70%
Annualised volatility (monthly data): 16.37%
Sharpe ratio (2%) (monthly data): 0.78
Correlation to S&P 500 (monthly data): 50.01%
Correlation to iBoxx (monthly data): 7.40%
