New Capital AllWeather Fund: EFG Asset Management

Ninth European Fund of Hedge Funds Awards 2010

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The New Capital AllWeather Fund opened in July 2003 by EFG Asset Management, currently has assets under management (AUM) of $35.6 million. Although this is a tiny fraction of EFG Asset Management $10 billion AUM, the company says the fund of hedge funds (FoHF) is a core product.

“The New Capital All Weather Fund is our flagship fund of hedge fund vehicle and a testimony to our solid research based process,” according to fund manager and chief investment officer Mozamil Afzal. He manages the fund along with a six-strong team of analysts. “The fund has been a top performer in this sector, withstanding the shocks of 2008 and recovering strongly in 2009 and 2010,” he adds.

The fund aims to maximise capital returns with low volatility by employing a diversified multi-manager framework. It has a large and experienced team including over 20 analysts covering the entire spectrum from top down macro economic research to fund specific investments and operational due diligence.

“This way we can deliver a hedge fund product that combines a forward looking macro view driving our strategy allocation together with in-depth due diligence that guides our selection of individual hedge funds for inclusion in the portfolio,” says Afzal “This entire effort is brought together with a state of the art in-house technology platform.”

The fund, which benchmarks itself against the HFRX Equal Weighted Strategies Index, MSCI World Index-Price and JP Morgan three-month dollar cash deposits, is listed on the Irish Stock Exchange. It charges a management fee of 1.5% a year with a 10% performance charge subject to high watermark.

All investors are currently European with a mix of 80% high net worth individuals and 20% institutional clients. Minimum initial investment is a low $2,500 and the fund offers monthly liquidity with no lock up.

Since the onset of the financial crisis, managing funds has become increasingly demanding. “The top-down view is now driving the manager call,” Afzal explains. “For EFG the top-down global macro picture now accounts for 70% of the investment process and the bottom-up manager selection 30%. Asset allocation became even more key after the crisis."

The fund believes its competitive edge comes from a combination of deep fundamental research with a focus on differentiation. It seeks to find the best “undiscovered” managers in every area where hedge funds are active and incorporate them in the portfolio. It also tries to maintain diversity through a broad number of positions, taking a long-term view on where to invest.

Due diligence is a major focus, with a team dedicated to this task. Risk management is supported by proprietary technology through which the portfolio manager is able to monitor funds and performance continuously, measure risk and take advantage of opportunities in the markets.

The fund has returned 3.38% since inception, benefiting from strong returns in 2009 when the fund was up 16.41%.

Fund facts

Full name of fund: New Capital All Weather Fund
Name of investment/management company: EFG Asset Management
Contact: Mozamil Afzal
Launch date: July 1, 2003
Assets under management: $35.6 million
Net cumulative performance since inception: 3.38%
Annualised return: 1.89% (up to end September 2010)
Annualised volatility: 5.60%
Sharpe ratio: 0.27
Strategy: multi-strategy
Share classes: US dollar, euro, sterling
Administrator: GAM Fund Management
Auditor: PricewaterhouseCoopers
Custodian: Fortis Prime Fund Solutions Custodial Services
Domicile: Dublin
Listing: Irish Stock Exchange
Management fee: 1.50% a year
Performance fee: 10% of outperformance, subject to high watermark
Minimum investment: $2,500
Redemption period/liquidity terms: monthly

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