here - Catalyst Financial Partners

Transcription

Q U A R T E R LY R E V I E W O F H E D G E F U N D S & A L T E R N A T I V E I N V E S T I N G
JANUARY 2014
VOLUME 14
CATALYST FINANCIAL:
ISSUE 1
SURVEY OF ALLOCATORS’
INVESTING TRENDS 2014
HEDGE FUND FOURTH QUARTER PERFORMANCE REPORT
RADIUS 2014 CALENDAR OF EVENTS
@RadiusFE
In step with
market needs
kpmg.ca
80% 32% 88%
Agree that the demands of regulatory
compliance have increased since 2008.
Have had to increase staff headcount
in order to increase transparency.
Say investors have become more demanding
in terms of due diligence since 2008.
AIMA and KPMG have teamed up and conducted
quantitative and qualitative research with 150 hedge
fund managers around the world over the period
from October 2011 to February 2012. The results of
this survey indicate that the changes brought on by
the institutionalization of the alternative fund industry
have been underestimated.
PETER HAYES
KPMG is focused on providing informed perspectives
to help navigate challenge and take advantage
of opportunity – from value creation to realization –
keeping in step with market needs.
JAMES LOEWEN
Partner,
National Director,
Alternative Investments
T: 416-777-3939
E: [email protected]
Partner,
National Asset
Management Leader
T: 416-777-8427
© 2012 KPMG LLP, a Canadian limited liability partnership and a member firm of the KPMG network of independent member firms
O P E N I N G
J A N U A R Y
S T A T E M E N T
Q U A R T E R L Y
Year End Highlights
• Total assets in the hedge fund industry increased by almost 13% during the year to breach the
US$2.0 trillion mark
• Hedge funds realised their best year of performance-based gains since 2010, raking in US$100 billion
during the year, with long/short equities strategies accounting for almost half of this gain
• Net asset allocations to hedge funds stood at US$130 billion in 2013, with long/short equities managers
witnessing net inflows of US$82.2 billion during the year
• European hedge fund managers were up 8.77% in 2013 with net asset inflows for the year standing at
US$60.2 billion – the highest level on record
• North American long/short equities hedge funds ended the year with gains of 18.48%, with 20% of
these hedge fund managers outperforming the S&P500 Index by an average of 20.52% during the year
• Asian hedge funds outperformed their global peers and were up 15.86% in 2013, with fund managers
recording net asset inflows of US$11 billion during the year – the highest level on record since 2007
• Japanese hedge funds remained ahead of other regions, up 26.77% with pure Japan mandated funds
recording net inflows of US$700 million since June 2013
• Greater China focused hedge funds were up 19.39% in 2013, outperforming the Hang Seng Index by
more than 16%
• Distressed debt hedge funds have delivered the best returns among all strategies and were up 17.95%
in 2013
And a couple newsworthy items to start the year:
Eric Sprott, founder and chairman of Toronto-based Sprott Inc.. is among the new appointments to the
Order of Canada recently announced by the Governor General of Canada. Mr. Sprott was appointed as
a Member of the Order of Canada for his contributions as a philanthropist, notably in the areas of health
care, education and international development. "Eric and his family are committed philanthropists
who give back to the community through their generous support of a number of worthy causes,"
said Peter Grosskopf, CEO of Sprott, in a release.
The Alternative Investment Management Association (AIMA), the global hedge fund industry association, has
announced that Jack Inglis will take over as CEO of the organisation on 1 February 2014. Mr Inglis replaces
Andrew Baker, AIMA’s CEO since January 2009, who announced last year that he would be stepping down.
“This is an exciting time to be joining AIMA and I am very much looking forward to building on Andrew’s
outstanding legacy,” said Mr Inglis. “AIMA has been able to forge excellent working relationships with
regulators globally, and I intend to continue that work in the spirit of constructive co-operation that has
always defined AIMA’s regulatory engagement. We will also strengthen our engagement with investors in
hedge funds as we look to build on the very good work to date of the AIMA Investor Steering Committee,
a group of leading institutional investors from around the world. Mr Inglis was previously with Barclays
where he was a member of the Global Executive Committee for Prime Services. Prior to that he was the
CEO of Ferox Capital between 2007 and 2010. He also spent 16 years at Morgan Stanley where he was
Co-Head of European Prime Brokerage from 2003-2007.
Wishing you a Happy New Year and all the best in 2014.
Terry Krowtowski
Canadian Hedge Watch Inc.
Volume 14 Issue 1 - January 2014
1
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that fit
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customized to meet your individual needs. With wide-ranging capabilities, we provide
effective support to clients of all sizes. To learn more about how we can help you succeed,
contact us at [email protected]
CAPITAL RAISING • MERGERS & ACQUISITIONS • RISK MANAGEMENT • RESEARCH • INSTITUTIONAL SALES & TRADING
BMO Capital Markets is a trade name used by BMO Financial Group for the wholesale banking businesses of Bank of Montreal, BMO Harris Bank N.A. and Bank of Montreal Ireland p.l.c., and the institutional broker dealer
businesses of BMO Capital Markets Corp., BMO Nesbitt Burns Trading Corp. S.A., BMO Nesbitt Burns Securities Limited and BMO Capital Markets GKST Inc. in the U.S., BMO Nesbitt Burns Inc. in Canada, Europe and Asia,
BMO Nesbitt Burns Ltée/Ltd. in Canada, BMO Capital Markets Limited in Europe, Asia and Australia, BMO Advisors Private Limited in India and Bank of Montreal (China) Co. Ltd. in China. ® Registered trademark of
Bank of Montreal in the United States, Canada and elsewhere. ®† Registered trademark of Bank of Montreal in the United States and Canada.
Performance Summary
QUARTERLY REVIEW OF HEDGE FUNDS & ALTERNATIVE INVESTING
JANUARY 2014
VOLUME 14
ISSUE 1
CHW HEDGE FUND INDICES (CHW-HF)
Editor
Terry Krowtowski
YTD
%
%
0.33
-3.42
CHW-HF Equity Hedged Index
0.25
-3.72
CHW-HF Notes Index
0.21
4.60
CHW-FOHF Index
1.03
0.32
CHW-HF Composite Index
Editorial and Sales
Dec.
2013
Scotia Capital Canadian Hedge Fund Performance Index
Sales Director
Judy Street
Art Director
Vic Finucci
SC CDN HF Index Asset Weighted
1.01
1.40
SC CDN HF Index Equal Weighted
1.22
4.38
1.19
9.73
Convertible Arbitrage
0.53
6.03
Emerging Markets
1.28
8.81
Event Driven
1.61
15.47
Fixed Income Arbitrage
0.18
3.80
Global Macro
0.71
4.32
Long/Short Equity
1.80
17.73
Managed Futures
0.10
-2.56
Hennessee Hedge Fund Index
1.52
12.86
HFRI Fund Weighted Composite Index
1.09
9.24
HFRI Equity Market Neutral Index
0.43
6.65
HFRI Fund of Funds Composite Index
1.19
8.79
Dow Jones Global Index (C$)
1.80
29.49
Dow Jones Global Index (U$)
1.65
20.78
Dow Jones 30 Industrial Average (US$)
3.05
26.50
NASDAQ Composite Index (C$)
3.03
48.29
NASDAQ Composite Index (US$)
2.88
38.32
S&P 500 Total Return Index (C$)
2.69
41.93
S&P 500 Total Return Index (US$)
2.53
32.39
S&P/TSX Composite Index Total Return
1.69
9.56
Dow Jones Credit Suisse Hedge Fund Indices
Online Developer
Ferenc Schneman
Dow Jones Credit Suisse Hedge Fund Index
Contact Information
20 Toronto St., Suite 820, Toronto, Ontario M5C 2B8
tel: 416.848.0277 toll free: 1.877.249.9249 fax: 416.848.0278
Media, Advertising & Editorial: [email protected]
Subscriptions: [email protected]
Canadian Hedge Watch is published 11 times per year by
Canadian Hedge Watch Inc. We welcome articles, suggestions
and comments from our readers. All submissions become the
property of Canadian Hedge Watch Inc., which reserves the right
to exercise editorial control in accordance with its policies
and educational goals.
HEDGE FUND INDICES
MARKET INDICES
Disclaimer
Canadian Hedge Watch (CHW) presents news, information and data on
both Canadian and Global alternative investment activity. The information
presented is not to be taken as an endorsement, investment advice or a
promotion for the organizations and individuals whose material and
information appears in this CHW publication or on the Canadian Hedge
Watch website.
The material presented, separate from paid advertisements, is for the sole
purpose of providing industry-specific information. As with all areas of
financial investing, CHW recommends strongly that readers should
exercise due diligence by consulting with their investment advisor or other
trusted financial professional before taking any action based upon the
information presented within these pages.
3
Exchange Traded Forum (ETF)
Monday, March 31, 2014 ~ Toronto
Canadas leading event dedicated to Exchange Traded Products. Hear from leading financial industry
professionals and industry experts who will provide valuable insights into the issues and trends that matter
most to Canadas financial professionals. Join us for presentations, advisor/client-focused sessions,
roundtable discussions, networking events and knowledge sharing critical issues facing the financial
industry. This is an opportunity for IIROC based financial advisors and also Portfolio Managers to gather
together in a great location to network, learn from each other, and participate in the numerous
educational opportunities that fill the agenda.
EXCHANGE
TRADED
FORUM
ExchangeTradedForum.com
Radius Practice Management & Retirement Summit (RPMRS)
Thursday, May 8, 2014 ~ Toronto
RPMRS offers proven practice management tools and education to help enhance business-building
efforts, increase efficiencies within your practice, and grow revenue to sustain your practice. This
extensive one day event delivers a focused set of tools and resources from select sponsor partners that
include products, retirement coaching and planning, current economic perspectives, information on
advisor support programs and tools for your business and development. This is an opportunity for financial
advisors to gather together in a great location to network, learn from each other, and participate in the
numerous educational opportunities that fill the agenda.
RadiusPRMS.com
RadiusPMRS.com
Niagara Institutional Dialogue (NID)
Mon., June 9 to Wed., June 11, 2014 ~ Niagara-on-the-Lake
Niagara Institutional Dialogue is an exchange of ideas, knowledge and practices for Canadian
Institutional Investors. A selected group of senior representatives from Canadian pensions and family
offices will participate in three days of informative discussions, education and networking. This
confidential closed-door event is reserved for select industry participants.
Exchange Traded Forum (ETF West)
Tuesday, June 17, 2014 ~ Vancouver
Canadas leading event dedicated to Exchange Traded Products. Hear from leading financial industry
professionals and industry experts who will provide valuable insights into the issues and trends that matter
most to Canadas financial professionals. Join us for presentations, advisor/client-focused sessions,
roundtable discussions, networking events and knowledge sharing critical issues facing the financial
industry. This is an opportunity for IIROC based financial advisors and also Portfolio Managers to gather
together in a great location to network, learn from each other, and participate in the numerous
educational opportunities that fill the agenda.
World Alternative Investment Summit Canada (WAISC)
Mon., Sept. 15 to Wed., Sept. 17, 2014 ~ Niagara Falls
WAISC is in its 12th year and is Canadas largest gathering of alternative and exempt market investment
professionals and service providers. Featuring panel discussions with top-level Canadian and
international speakers, fund managers and leading service providers, WAISC brings together over 300
delegates to explore every side of alternative investments. WAISC is a popular annual event that is not to
be missed.
World Alternative Investment Summit Canada (WAISC West)
Wednesday, November 12, 2014 ~ Vancouver
WAISC West is in its 3rd year and is Canadas largest gathering of alternative and exempt market
investment professionals and service providers. Featuring panel discussions with top-level international
speakers, fund managers and leading service providers, WAISC brings together over 200 delegates to
explore every side of alternative investments.
InstitutionalDialogue.com
InstitutionalDialogue.com
EXCHANGE
TRADED
FORUM
WAISC
World Alternative Investment
Summit Canada
waisc.com
waisc.com
WAISC
World Alternative Investment
Summit Canada
waisc.com
waisc.com
Radius Financial Education (Radius), a division of CHW Inc., has been producing high level conferences within the financial services sector in Canada for over
12 years. As Canadas leading producer of conferences within the financial sector, Radius events focus on education and networking through an exchange
of independent ideas and information, allowing our delegates to be leaders in their chosen fields. Our top-down approach to the agenda enables us to
deliver relevant, thought-provoking, cutting edge, and sometimes controversial insight in a stimulating manner. We understand the importance of learning
from the best. Each conference offers a well balanced speaker composition consisting of insight from authors, educators, economists, regulatory bodies and
industry leaders from around the globe.
C O N T E N T S
J A N U A R Y
Q U A R T E R L Y
FEATURES
DATA
Radius 2014 Calendar of Events
4
Catalyst Financial:
Survey of Allocators’ Investing Trends 2014
6
Hedge Fund Performance Tables Q4
14
Graphs and Tables Related to Asset Size
and Distribution of Canadian Hedge Funds
24
Number of Hedge Funds Reporting
24
25
26
Number of Hedge Fund Managers Reporting
Hedge Funds Reporting Assets
12-month Rolling Standard Deviation
27
28
29
30
31
32
33
34
37
38
Performance Comparison:
39
Hedge Funds Assets Under Management
Hedge Fund Asset Change
Distribution of Canadian Hedge Funds by Asset Size
Reported Canadian Hedge Fund Assets by Fund Manager
Average Asset Size of Canadian Hedge Funds Over Time
Monthly Average Return
Distribution of Returns in the most recent Quarter
Distribution of Monthly Average Returns
Quarterly Average Returns
Canadian Hedge Funds vs. Major Indices
Correlation Matrices
39
40
40
42
Canadian Hedge Fund Indices – December 2013
45
Commentary
Comparison of Returns
Efficiency and Calendar Year Returns
@RadiusFE
5
XX
www.canadianhedgewatch.com
Survey of Allocators Investment Trends
January 2014
Carl Berg, Catalyst Financial Partners, and Susan Weerts, Contributor at Seekingalpha
Scope of Survey
In our pursuit to understand, to see what works and does not work, and what lies ahead, we
now want again take the pulse of what allocators currently think of the industry.
We think this short survey is especially interesting, since it not only explores trends within the
hedge fund industry and across time, but also investigates how compelling hedge funds are
across different products.
We conducted similar surveys in May 2010 and January 2013, and we compare some of those
answers with this survey to see changes through time.
Executive Summary
In 2014, investors continue as last year to pay more attention to a funds portfolio
characteristics than performance. This will allow them to discern inherited risks and systemic
ambiguities. This also explains why strategies that are run in a non-discretionary fashion seem
to be, as a general observation, more attractive than discretionary.
Investors also prefer funds with more friendly fees and investor terms. This could be
expressed in the many types of share classes and discounts that are now offered based on size
of investment, lock-up accepted, and maturity of the fund.
Private Equity is the strongest substitute. There is also an increased interest in holding cash,
which could explained by profit taking motives or to have cash ready for opportunistic investing
in a growth cycle.
Going into 2014, within the hedge fund space, L/S Equity is with a good margin the most
preferred strategy destination, followed by Event Driven and Emerging Markets. This
continues the drift into equity orientated strategies that took off early 2013.
CatalystFinancialPartnersLLC
CarlBerg,CatalystFinancialPartners
SusanWeerts,Seekingalpha
[email protected]
[email protected] 118E28thStreet,Suite314,NewYork,NY10016
+12129662993
+17327665678
Tel:+12129662993Email:[email protected]
XX
SurveyofAllocatorsInvestmentTrends
January2014
Survey Results
1. In 2014, would you consider allocating to hedge funds?
60%
2013
50%
40%
30%
20%
10%
0%
YES, but only if we find
the appropriate manager
YES, now should be a
good time
PERHAPS, but we'll wait
and see how the year
develops
NO, too much admin,
high fees and risks
involved
NO, we have been
disappointed by the
industry
Allocation appetite appears strong. Most of the allocators indicate that they are looking to
make investments to hedge funds. Only a small portion of the investors takes a wait and see
approach. However, no investors (of the group surveyed) dismiss hedge funds outright.
2. Within the hedge fund space, what sectors do you think would be
especially interesting in 2014?
30%
2013
25%
20%
15%
10%
5%
0%
L/S Equity
Event Driven
Emerging
Markets
Credit & Fixed
Income
Macro
Commodities,
Energy
Mortgage
Quant & CTAs
Trade Finance
The top preference is L/S Equity strategies, followed by Event Driven. There is a trend
to invest in funds that look at companies and their events, and general economic growth.
Mortgage, CTAs, Energy and Macro funds are shunned in place of funds betting on
companies, while also major macro and political events are staying on the side lines.
Emerging Markets has dropped somewhat in appeal for 2014, but is still the third most
interesting sector for the year.
8
January2014
3. What other investment opportunities would you consider, if unwilling or
unable to consider hedge funds?
35%
2013
30%
25%
20%
15%
10%
5%
0%
Private Equity Funds Direct Investments in
Equity / Debt
ETFs and Mutual
Funds
Cash
Real Estate Funds
'Public' Hedge Funds
Private Equity is the most attractive investment substitute to hedge funds.
ETFs and mutual funds are also an attractive substitute to hedge funds. However, they
are measurably less interesting than a year ago.
Cash is a stronger option compared to 2013. This might indicate that some investors are
taking some cash off the table, either from profit taking, or to have cash in hand to be ready
for opportunistic investing in a growth cycle.
4. What are the most important criteria for a hedge fund that you would
consider investing in?
60%
2013
50%
40%
30%
20%
10%
0%
Portfolio
Characteristics
Meaningful
Performance
Appropriate AUM
Size
Low Fees and
Attractive Terms
Star Management
Team
Long Track-record
Portfolio Characteristics (non-correlation, diversification, etc) is the top reason to
allocate to hedge funds. How a product fits in their portfolio and core investment objective
is of highest importance.
The performance of hedge funds is the second top reason.
However, Low fees & Attractive terms have become an important criterion for
investors.
9
January2014
5. What are the considerations that discourage you most in investing in
hedge funds?
45%
40%
2013
35%
30%
25%
20%
15%
10%
5%
0%
Too High fees, Unfriendly
Investor Terms
Lackluster Performance
There Are Other, More
Appealing Investment
Opportunities
Difficulty in Selecting the 'Right'
Manager
High fees and unfriendly investor terms keep allocators at bay. And arguably managers
that are responding back with deals like Founders Shares, different rates for size of
allocation or lock up, or reducing fees outright, are the ones that manage to be more
successful in raising capital.
Over 20% of respondents thought there are other, more appealing, investment
opportunities than hedge funds. This is a large increase compared to 2013.
In our 2010 survey, identifying the Right manager was allocators top discouraging
factor. For 2014, this has dropped to fourth place.
10
January2014
What type of allocators participated in the
survey?
Over 750 allocators were sent the survey in
early 2014, of which a portion responded. The
largest groups of responders were fund-of-funds
and family offices.
Eight types of allocators responded. There was
no analysis made on the basis of allocator type; the
survey responders were anonymous and the
answers aggregated.
Endowment
5%
Pension Fund
5%
Fund-of-funds
26%
HNW Individual
11%
Other Inst.
Investor
16%
Wealth
Manager
5%
Single/ multifamily office
16%
Investor
Consultant
16%
About the Authors
Carl Berg runs Catalyst Financial Partners, an investor events firm for the private funds industry. The firm
links alternative investment managers and investors together through investor events. It has established
ourselves as one of the leading, independent cap intro providers.
He also works with selected alternative investment firms in a capital raising capacity.
[email protected]
Susan Weerts is a contributing writer to Seekingalpha.com since 2009. Current research areas are
strategic trading games on ETF and its underlying index, market-neutral L/S strategy. She is also a
consultant on China-related business.
[email protected]
This survey is copyright Catalyst Financial Partners but we accept that the survey is being linked to or quoted as long
as you refer to the source. For any comments or questions contact:
Catalyst Financial Partners LLC
118 E 28th Street, Suite 314
New York, NY 10016
T: +1 212 966 2993
11
XX
4TH ANNUAL
HEDGE FUND
BRAZIL FORUM
The Hedge Fund Brazil Forum is Latin America’s most specialized
international meeting of hedge funds, long only funds, Brazilian pension
funds, Latin American pension funds, Latin American family offices and
global endowments, foundations, sovereign wealth funds and pension
funds. Now in its fourth year, the program delivers cutting edge due
diligence for investors and managers alike.
April 3-4, 2014
Copacabana Palace Hotel
Rio de Janeiro, Brazil
Featured Speakers:
Jorge O.
Mariscal
Mauricio
Marcellini
Michel Del
Buono
David
Saunders
CIO Emerging
Markets
UBS Wealth
Management
CIO
Funcef
Global
Investment
Strategist
Makena
Capital
CEO
K2 Advisors
For sponsorship opportunities,
please contact:
William Frank
Head of Hedge Funds Group
+1.212.696.0848
[email protected]
DISCOUNTED
REGISTRATION THROUGH
FEBRUARY 28th
www.latinmarkets.org
HEDGE
Fund Name
Acorn Diversified Program
Asset Size
($MM)
1
Month
3
Month
FUND
6
Month
P E R F O R M A N C E (as of December 31, 2013)
YTD
1
Year
3
Year
(Ann.)
Since
Best
Inception 6 Mo.
(Ann.) (3 Year)
Worst
6 Mo.
(3 Year)
Max.
Draw
Down
Std.
Dev.
(1 Year)
Std.
Dev.
(3 Year)
Beta Alpha (%) Correl. Correl. % High % Pos.
(1 Year, (1 Year, (1 Year, (1 Year, WaterMonth
TSX)
TSX)
TSX) S&P500) mark Since Inc.
48.000
1.08
3.68
-3.86
8.65
8.65
1.12
2.58
13.08
-13.20
-17.77
13.59
14.46
0.01
8.55
0.01
0.28
95.83
50.00
-
1.73
11.71
21.45
52.79
52.79
25.23
20.19
29.54
-19.60
-46.04
10.73
14.77
0.42
48.77
0.34
0.38
100.00
62.67
AlphaNorth Partners Fund Class A
70.000
-0.50
-0.81
10.71
-12.93
-12.93
-5.94
14.86
30.42
-25.16
-63.33
15.05
23.33
0.61
-18.76
0.35
0.07
56.75
58.90
AlphaNorth Partners Fund Class F
-
8.70
16.24
43.14
13.02
13.02
2.61
19.89
43.14
-25.16
-63.33
22.91
25.25
1.38
-0.18
0.52
0.14
73.66
60.27
105.800
0.10
-0.19
2.16
-2.47
-2.47
0.83
6.62
7.08
-6.18
-34.47
3.29
4.22
0.31
-5.44
0.82
0.26
94.31
74.26
54.29
Agilith North American Diversified Fund
Amethyst Arbitrage Fund
Arrow Act II New Media Fund A
9.650
2.99
8.00
11.70
11.47
11.47
5.52
5.96
14.19
-16.38
-16.38
8.01
8.79
0.06
10.90
0.06
-0.24
100.00
Arrow Act II New Media Fund Class U
-
2.92
7.78
11.32
10.86
10.86
-
-0.53
11.32
-16.31
-16.31
7.97
-
0.06
10.29
0.07
-0.24
97.53
48.28
Arrow Act II New Media Fund F
-
3.09
8.31
12.34
14.12
14.12
6.84
7.25
13.62
-15.87
-15.87
7.70
8.73
0.08
13.35
0.09
-0.20
100.00
59.15
Arrow Curvature Market Neutral Fund A
96.450
1.51
1.90
4.33
2.11
2.11
8.11
7.14
9.42
-2.65
-5.61
6.72
5.66
-0.15
3.54
-0.19
-0.33
100.00
68.29
Arrow Diversified Fund Class A
24.100
1.16
2.20
0.59
-0.47
-0.47
-4.85
1.29
0.97
-8.84
-20.17
2.68
3.74
-0.01
-0.37
-0.04
-0.31
81.59
58.57
Arrow Diversified Fund Class A U$
93.620
1.13
2.09
0.33
-0.02
-0.02
-5.22
2.45
2.16
-9.72
-22.49
2.97
4.04
-0.09
0.84
-0.26
-0.45
79.13
57.25
Arrow Diversified Fund Class F C$
75.750
1.24
2.51
1.27
0.93
0.93
-3.67
2.58
1.71
-8.54
-17.21
2.67
3.78
-0.01
1.03
-0.05
-0.32
86.13
60.47
Arrow Diversified Fund Class F U$
75.750
1.22
2.40
0.98
0.77
0.77
-4.42
1.42
1.29
-9.11
-17.82
2.57
3.83
-0.02
0.96
-0.08
-0.30
84.15
57.39
Arrow High Yield Fund A C$
202.170
0.73
3.25
1.40
2.02
2.02
1.68
5.44
6.96
-5.60
-9.27
4.38
4.82
-0.08
2.79
-0.15
-0.41
97.87
65.71
Arrow High Yield Fund A U$
304.240
0.64
3.16
1.06
1.84
1.84
1.20
5.48
6.58
-5.89
-8.65
4.44
4.98
-0.07
2.51
-0.13
-0.35
96.75
68.75
95.570
0.80
2.95
1.31
2.64
2.64
2.20
5.96
7.42
-5.83
-9.82
4.11
4.90
-0.07
3.31
-0.15
-0.43
98.84
67.44
2.580
-0.89
-1.41
-5.16
-8.86
-8.86
-3.72
-11.25
7.47
-8.91
-71.45
5.96
8.05
0.11
-9.91
0.15
-0.08
40.87
43.75
33.880
-0.97
-2.33
-6.22
-10.21
-10.21
-4.47
-9.22
7.19
-8.89
-69.19
5.42
7.98
0.09
-11.07
0.15
-0.13
47.41
46.25
-
-0.71
-1.69
-5.69
-8.08
-8.08
-2.88
-10.42
8.07
-8.19
-71.06
5.70
8.02
0.08
-8.85
0.12
-0.04
43.34
46.25
Arrow High Yield Fund F
Arrow U.S. Equity Income Fund A C$
Arrow U.S. Equity Income Fund Class U U$
Arrow U.S. Equity Income Fund F
Aurion II Equity Fund
35.480
1.96
6.45
14.90
9.48
9.48
-3.99
6.76
14.90
-27.12
-41.81
8.43
14.00
0.73
2.50
0.75
0.35
84.18
62.11
7.020
1.88
6.20
14.36
8.43
8.43
-4.98
3.51
14.36
-27.54
-42.05
8.43
13.98
0.73
1.45
0.75
0.35
81.76
59.76
Auspice Diversified Trust Class A
-
-0.38
1.63
-5.32
-6.24
-6.24
-7.08
-3.26
4.77
-13.21
-26.33
5.64
7.60
-0.09
-5.38
-0.13
0.11
74.87
50.98
Auspice Diversified Trust Class S
-
-0.38
1.62
-5.33
-6.27
-6.27
-7.13
-7.13
4.66
-13.21
-26.38
5.64
7.58
-0.09
-5.41
-0.14
0.11
74.82
44.44
Auspice Managed Futures LP.
-
-0.36
1.68
-5.23
-6.03
-6.03
-6.82
1.06
5.08
-13.44
-25.93
5.65
7.69
-0.09
-5.17
-0.14
0.12
75.32
49.46
6.660
5.14
13.61
15.61
28.54
28.54
-2.49
5.52
17.19
-19.19
-32.59
11.50
15.95
0.70
21.84
0.52
0.37
91.50
57.83
-
2.24
10.13
7.31
16.37
16.37
0.46
4.22
8.44
-12.79
-18.59
9.09
10.12
0.36
12.93
0.34
0.41
94.73
55.00
62.75
Aurion II Equity Fund Series D
Barometer Long Short Equity Pool Class A
Barometer Tactical Exchange Traded Fund Pool
Blackheath Futures Fund L.P. Class A
3.920
3.05
5.39
-16.54
-12.68
-12.68
-2.13
0.24
21.38
-18.69
-27.46
24.76
20.03
-0.57
-7.23
-0.20
-0.26
79.39
Blackheath Volatility Arbitrage Fund L.P. Class A
47.400
1.11
2.44
4.86
-3.11
-3.11
7.07
8.15
20.08
-9.46
-11.69
8.89
10.36
0.10
-4.07
0.09
0.37
96.58
53.85
BluMont Hirsch Performance Fund
31.200
2.86
10.27
15.33
26.18
26.18
7.78
10.20
22.15
-16.09
-41.19
4.50
9.31
0.34
22.93
0.66
0.64
100.00
63.10
Broadview Dark Horse LP
33.000
0.70
3.75
11.67
19.86
19.86
12.47
17.31
13.49
-5.14
-7.41
4.80
6.68
0.39
16.13
0.69
0.50
100.00
82.46
Brompton Energy Opportunities Fund Series 2009
8.680
4.64
3.61
9.38
-2.39
-2.39
-2.07
19.53
20.26
-22.80
-33.30
11.81
19.60
0.63
-8.42
0.46
0.14
75.30
60.00
Brompton Energy Opportunities Fund Series 2010
2.550
4.64
3.61
9.38
-2.39
-2.39
-10.07
-0.21
15.66
-22.80
-44.11
11.81
23.55
0.63
-8.42
0.46
0.14
63.10
53.49
Brompton Energy Opportunities Fund Series A
3.720
4.63
3.59
9.34
-2.43
-2.43
-3.66
3.09
15.64
-22.83
-52.21
11.80
19.11
0.63
-8.46
0.46
0.14
75.17
58.73
BSP Absolute Return Fund L/S Eq. US$
-
1.77
4.54
7.21
11.93
11.93
-
5.51
7.21
-5.35
-5.35
2.39
-
0.16
10.40
0.57
0.79
100.00
73.53
BSP Absolute Return Fund Multi Strat.US$
-
1.05
3.36
5.11
9.75
9.75
5.11
6.07
5.68
-4.61
-15.21
1.87
2.87
0.13
8.51
0.59
0.78
100.00
76.00
BT Global Growth Fund L.P.
-
6.47
16.11
21.11
27.49
27.49
1.16
11.90
21.11
-17.23
-40.84
10.43
14.84
0.57
22.04
0.47
0.29
100.00
63.22
Burlington Partners Plus LP
-
3.68
7.80
12.25
15.93
15.93
11.26
11.47
21.51
-13.48
-14.40
5.26
9.40
0.39
12.20
0.64
0.48
100.00
67.44
Burlington Partners1 LP
-
2.48
5.03
6.75
9.23
9.23
7.23
5.42
12.70
-7.28
-13.27
4.11
5.56
0.26
6.74
0.55
0.53
100.00
63.55
Calrossie Partners Fund
-
1.72
9.63
15.32
26.40
26.40
13.77
10.32
16.53
-10.26
-35.06
7.10
8.29
0.59
20.76
0.72
0.70
100.00
69.57
453.239
0.97
3.39
7.86
17.35
17.35
15.73
14.56
12.94
1.12
-4.23
3.89
3.85
0.10
16.39
0.23
0.59
100.00
89.69
ChapelGate Credit Opportunity Fund Ltd.
DKAM Capital Ideas Fund
107.000
3.48
20.53
33.42
51.63
51.63
20.36
28.87
33.42
-8.15
-11.98
9.95
11.41
0.31
48.66
0.27
0.32
100.00
76.19
Dynamic Alpha Performance Fund Series A
458.698
0.08
1.41
3.39
9.68
9.68
2.99
6.92
7.69
-8.29
-15.50
5.28
5.98
0.21
7.67
0.34
0.33
100.00
61.15
Dynamic Alpha Performance Fund Series F
-
0.14
1.74
3.96
10.60
10.60
4.02
7.05
7.86
-7.60
-15.12
5.07
5.86
0.21
8.59
0.37
0.37
100.00
60.00
Dynamic Alpha Performance Fund Series FH U$
-
0.19
1.73
3.70
11.06
11.06
-
6.52
8.44
-0.62
-2.05
5.60
-
0.20
9.15
0.30
0.32
100.00
62.50
Dynamic Alpha Performance Fund Series H
-
0.02
1.38
3.80
10.39
10.39
-
6.73
8.59
-1.25
-2.28
5.64
-
0.23
8.19
0.36
0.35
100.00
63.16
Dynamic Alpha Performance Fund Series T
7.930
0.10
1.42
3.27
9.50
9.50
2.93
4.61
7.51
-8.28
-8.47
5.19
5.98
0.21
7.49
0.34
0.32
100.00
55.56
Dynamic Contrarian Fund
Dynamic Income Opportunities Fund
Dynamic Power Hedge Fund Series C
Exemplar Diversified Portfolio Series A
14
9.164
4.72
6.85
5.28
5.09
5.09
-15.95
2.05
5.28
-39.54
-63.12
6.69
15.24
0.22
2.99
0.29
-0.33
58.63
52.48
43.682
1.52
7.74
12.15
15.84
15.84
7.61
8.36
12.15
-4.17
-29.50
6.36
6.77
0.55
10.58
0.74
0.83
100.00
67.42
-
-2.36
-5.87
-2.01
-17.84
-17.84
-21.80
11.52
13.30
-38.65
-79.61
14.07
23.57
0.77
-25.21
0.47
0.40
47.26
52.73
37.840
2.11
7.56
1.18
8.27
8.27
-3.53
1.77
7.30
-16.67
-21.78
8.34
10.57
-0.18
9.99
-0.19
0.40
85.13
53.57
HEDGE
Fund Name
Exemplar Diversified Portfolio Series F
Asset Size
($MM)
1
Month
3
Month
FUND
6
Month
YTD
3
Year
(Ann.)
1
Year
Since
Best
Inception 6 Mo.
(Ann.) (3 Year)
Worst
6 Mo.
(3 Year)
Max.
Draw
Down
Std.
Dev.
(1 Year)
Std.
Dev.
(3 Year)
TSX)
TSX)
-
2.20
7.85
1.75
9.46
9.46
4.80
7.56
18.18
-9.36
-9.36
8.35
10.88
-0.18
11.18
-0.19
0.40
99.90
Exemplar Leaders Fund Series A
29.610
1.53
6.44
13.17
28.94
28.94
12.00
8.56
23.19
-13.65
-39.46
6.77
12.13
0.45
24.64
0.58
0.64
100.00
65.79
Exemplar Leaders Fund Series F
2.910
1.63
6.73
13.75
29.18
29.18
15.74
5.39
19.55
-13.19
-38.51
6.98
13.08
0.48
24.59
0.60
0.62
100.00
64.52
Fiera Global Macro Fund Class A
0.950
1.58
0.66
4.25
9.32
9.32
-0.06
-0.90
6.47
-6.83
-14.86
3.99
5.36
-0.01
9.42
-0.02
0.16
96.30
46.00
Fiera Global Macro Fund Class F
1.730
1.67
0.93
5.83
11.59
11.59
1.42
0.07
8.10
-6.29
-14.29
4.32
5.49
0.02
11.40
0.04
0.15
99.52
61.19
73.68
Fiera Long Short Equity Fund Class A
58.14
-
3.85
9.34
11.37
24.26
24.26
-
10.53
11.62
-5.71
-5.71
5.20
-
0.05
23.78
0.08
0.07
100.00
Fiera Market Neutral Equity Fund Class A
34.240
1.92
1.77
2.44
6.70
6.70
-2.34
-0.13
11.26
-14.93
-21.62
3.62
6.75
-0.04
7.08
-0.11
-0.29
83.72
53.97
Fiera Market Neutral Equity Fund Class F
47.900
2.02
2.06
2.95
7.82
7.82
-1.29
1.34
11.79
-14.45
-20.34
3.62
6.74
-0.04
8.20
-0.11
-0.27
86.05
58.06
63.33
Fiera Tactical Bond Yield Fund Class A
67.355
0.44
-0.18
0.67
-1.26
-1.26
-
0.73
4.68
-1.92
-2.65
2.36
-
0.19
-3.08
0.68
0.49
98.01
Formula Growth Alpha II Fund Class B
41.900
0.34
4.05
8.53
12.30
12.30
-
8.49
26.68
-8.92
-17.40
5.45
-
0.31
9.33
0.50
0.29
99.49
62.50
Formula Growth Global Opportunities Fund Cl. S C$
47.000
5.83
17.52
22.44
36.44
36.44
7.70
9.71
26.79
-19.87
-24.00
12.24
14.82
0.70
29.74
0.50
0.04
100.00
63.33
Formula Growth Hedge Fund Class F C$
210.800
-0.16
5.10
7.89
15.13
15.13
7.59
17.47
28.39
-19.19
-20.73
6.64
14.45
0.39
11.40
0.51
0.05
99.84
64.93
Formula Growth Hedge Fund Class F U$
-
-0.51
1.63
6.63
7.69
7.69
5.20
21.46
33.34
-24.33
-25.96
6.37
18.86
0.39
3.96
0.53
0.59
98.05
68.42
55.950
-2.35
-1.16
1.18
-8.92
-8.92
0.94
5.80
12.87
-11.55
-18.49
9.81
11.94
0.58
-14.47
0.51
0.60
82.48
61.22
Friedberg Asset Allocation Fund
Friedberg Global Macro Hedge Fund U$
290.390
1.88
1.88
-24.75
-39.08
-39.08
-5.98
12.65
37.48
-41.98
-45.58
23.37
30.12
0.27
-41.66
0.10
-0.10
58.13
55.70
Front Street Canadian Energy Resource Fund Ser B
14.300
4.42
3.90
16.72
-7.86
-7.86
-26.96
3.35
20.27
-43.97
-72.55
16.83
31.48
1.43
-21.54
0.73
0.23
36.97
62.62
Front Street Canadian Energy Resource Fund Ser F
0.920
4.52
4.18
17.37
-6.83
-6.83
-26.45
-11.81
20.99
-43.69
-67.98
16.84
31.55
1.43
-20.51
0.73
0.23
37.58
54.76
Front Street Canadian Hedge Fund Series B
FrontFour Opportunity Fund
103.120
1.28
8.13
14.79
17.24
17.24
-3.33
11.26
14.79
-26.95
-43.40
5.51
13.92
0.43
13.13
0.68
0.45
86.15
63.95
28.000
-1.16
3.38
11.38
27.73
27.73
-
16.01
17.26
0.99
-5.84
8.63
-
0.50
22.95
0.50
0.71
98.84
70.00
GFM 130/30 Fund
-
1.92
6.57
15.62
16.99
16.99
1.25
11.43
15.62
-16.18
-20.72
8.05
12.53
0.79
9.43
0.85
0.71
100.00
61.90
GFM Dividend Income Fund
-
1.54
6.68
12.04
16.64
16.64
-
6.81
15.47
-4.87
-12.73
4.74
-
0.48
12.05
0.87
0.75
100.00
60.00
GFM Market Neutral Fund
-
0.11
2.76
5.74
8.55
8.55
0.17
5.84
6.46
-5.57
-8.81
5.23
5.24
-0.08
9.32
-0.13
0.11
100.00
58.73
Goodwood Fund Class A
61.220
0.87
2.26
13.62
15.88
15.88
-0.77
10.39
15.52
-21.03
-55.80
7.00
10.79
0.16
14.35
0.20
0.02
71.53
62.62
Goodwood Fund Class B
-
0.87
2.26
13.61
15.86
15.86
-0.76
1.60
15.51
-21.03
-55.41
7.00
10.79
0.16
14.33
0.20
0.03
72.21
59.03
73.96
Goodwood Milford Fund
-
0.89
3.41
4.97
8.25
8.25
12.59
16.60
15.01
0.96
-49.99
2.10
5.44
0.15
6.82
0.63
0.40
100.00
Hillsdale Canadian Long/Short Equity Fund Class A
4.310
0.91
9.47
17.28
13.04
13.04
2.00
7.50
17.98
-7.07
-24.49
9.01
8.51
0.26
10.55
0.25
0.27
92.07
58.93
Hillsdale Enhanced Income Fund Class A
9.510
0.45
5.05
4.25
0.79
0.79
3.39
2.77
7.66
-8.22
-11.70
10.41
8.06
0.39
-2.94
0.33
0.61
93.75
63.16
IA Multi-Strategy
1.290
0.51
3.71
3.31
-0.93
-0.93
-3.02
-2.97
3.31
-6.92
-38.57
6.66
4.71
0.53
-6.00
0.69
0.55
63.70
45.80
IMFC Global Concentrated Program
-
0.54
4.22
-2.32
3.24
3.24
-3.22
2.58
8.03
-13.50
-17.77
9.23
10.63
-0.10
4.20
-0.09
0.57
87.23
52.63
IMFC Global Investment Program
-
2.33
8.05
2.08
10.01
10.01
-2.52
8.67
8.08
-16.05
-21.06
8.34
10.63
-0.18
11.73
-0.18
0.40
87.39
50.60
JC Clark Adaly Fund Class A
-
1.96
10.69
15.97
15.23
15.23
-5.31
13.12
15.97
-27.52
-35.68
9.83
15.29
0.58
9.68
0.51
0.47
79.74
69.64
JC Clark Adaly Fund Class B
-
1.69
10.05
15.14
14.09
14.09
-6.03
5.89
15.14
-27.72
-36.14
9.79
15.24
0.57
8.64
0.51
0.47
78.17
65.04
JC Clark Focused Opportunities Fund (Class A)
-
1.86
6.37
9.44
12.51
12.51
5.73
7.65
19.24
-11.47
-14.02
5.24
8.54
0.38
8.88
0.62
0.65
100.00
65.05
JC Clark Patriot Trust (Class B)
-
3.43
7.37
14.42
11.46
11.46
-3.38
8.32
14.42
-17.01
-29.64
8.06
12.88
0.74
4.38
0.79
0.52
85.00
65.65
JC Clark Preservation Trust (Class B)
-
2.33
9.79
14.40
18.41
18.41
5.03
11.26
18.60
-9.84
-22.61
7.46
7.94
0.58
12.86
0.67
0.64
100.00
59.66
19.600
0.95
2.82
12.07
23.10
23.10
15.53
13.56
13.82
3.87
-3.31
3.90
4.39
0.23
20.90
0.52
0.19
100.00
81.94
Kensington Global Private Equity Fund Class E+G
-
3.40
9.97
10.85
0.71
0.71
7.26
2.84
20.22
-9.97
-15.93
9.30
10.30
0.35
-2.64
0.33
0.11
100.00
48.15
Kensington Hedge Fund 1 Series A+E+F
-
0.76
4.02
4.53
8.84
8.84
-
9.77
8.68
1.08
-1.04
3.25
-
0.22
6.74
0.59
0.53
100.00
80.77
King & Victoria Fund LP
-
2.60
5.39
11.27
36.15
36.15
20.99
25.96
35.96
-11.98
-32.14
7.40
10.67
0.26
33.66
0.30
0.57
100.00
77.37
King & Victoria RSP Fund Class A Units
-
2.60
5.39
11.27
36.15
36.15
20.63
17.39
35.96
-11.99
-33.73
7.40
10.66
0.26
33.66
0.30
0.57
100.00
72.73
JM Catalyst Fund
Kootenay Global Energy Abs. Return Fund LP Class A
-
3.43
8.63
15.15
8.79
8.79
-
0.49
15.15
-12.47
-17.73
10.65
-
0.90
0.18
0.73
0.31
100.00
53.33
Landry Global Equity Long/Short Fund Series F
29.100
-0.53
0.79
3.77
14.56
14.56
5.08
4.65
11.59
-10.02
-26.44
4.89
7.78
-0.02
14.75
-0.03
0.42
94.71
58.59
Landry Global Equity Long/Short Fund Series I
-
-0.43
1.08
4.39
9.36
9.36
4.19
0.81
12.17
-9.56
-25.62
5.29
7.72
-0.13
10.60
-0.21
-0.02
94.78
57.47
Lightwater Conservative Long/Short - Class A
-
2.44
13.24
40.90
46.03
46.03
-0.08
2.85
40.90
-19.67
-33.19
12.98
14.04
0.81
38.28
0.54
0.19
97.57
59.72
Lightwater Nimble Fund
-
2.65
3.28
27.85
53.04
-
-
-
-
-
-4.35
-
-
-
-
-
-
100.00
90.00
Lycos Value Fund Class O
1.800
-7.28
4.68
5.08
17.11
17.11
25.91
17.11
68.00
-14.32
-22.62
26.92
26.92
0.71
10.32
0.23
0.35
92.31
58.33
Lycos Value Fund Class P
1.200
0.51
1.48
3.02
6.02
6.02
6.01
6.01
3.03
2.90
0.00
0.10
0.09
0.00
6.02
0.39
0.37
100.00
100.00
-
4.50
4.71
-10.61
-9.95
-9.95
-8.80
-0.61
12.89
-20.07
-32.95
11.68
16.79
0.21
-11.96
0.16
0.40
70.21
46.88
Majestic Global Diversified Fund
Majestic Global Diversified Fund Series A
Marret High Yield Hedge LP Class B
-
4.46
4.68
-10.90
-10.05
-10.05
-8.85
0.61
12.78
-20.03
-33.00
11.68
16.84
0.18
-11.77
0.14
0.38
70.13
47.62
43.170
-0.10
1.05
2.46
-0.87
-0.87
1.21
9.21
3.04
-3.72
-7.60
3.38
3.70
0.32
-3.93
0.82
0.71
98.94
72.18
15
HEDGE
Fund Name
Meson Capital Partners Fund
Niagara Discovery Fund
Asset Size
($MM)
FUND
3
Year
(Ann.)
Worst
6 Mo.
(3 Year)
Max.
Draw
Down
Std.
Dev.
(1 Year)
Std.
Dev.
(3 Year)
TSX)
TSX)
3
Month
6
Month
-
3.92
17.10
10.86
7.91
7.91
-14.82
25.82
21.37
-26.71
-59.12
16.99
26.03
1.40
-5.48
0.71
0.73
48.40
53.45
9.900
1.10
2.39
-8.14
-2.38
-2.38
-0.94
10.62
9.86
-9.86
-14.06
11.14
13.05
-0.12
-1.23
-0.09
0.07
89.85
53.49
YTD
1
Year
Since
Best
Inception 6 Mo.
(Ann.) (3 Year)
1
Month
Niagara Legacy Class B Fund
41.800
1.83
1.48
-23.86
-34.82
-34.82
-6.21
9.14
60.16
-41.54
-49.57
24.39
31.69
0.28
-37.50
0.10
0.15
53.80
56.86
Norrep Market Neutral Income Fund
10.790
-0.82
3.72
2.17
6.90
6.90
-
9.88
13.81
-1.90
-2.99
5.12
-
0.22
4.80
0.37
0.59
99.18
60.71
Northern Rivers Conservative Growth Fund LP
14.166
1.70
6.85
14.63
35.90
35.90
15.72
11.06
26.84
-12.83
-49.62
6.97
12.86
0.27
33.32
0.34
0.52
100.00
66.33
63.27
Northern Rivers Global Energy Fund LP
2.052
2.23
5.61
28.38
18.56
18.56
7.21
6.36
37.20
-28.69
-61.25
13.96
21.05
0.86
10.33
0.53
0.01
92.10
130.000
2.63
9.81
15.38
24.98
24.98
8.30
12.15
15.38
-13.58
-40.08
5.17
8.57
0.50
20.20
0.84
0.78
100.00
72.30
2.100
-0.03
-5.15
-4.51
-31.43
-31.43
-38.39
-31.17
2.28
-49.90
-92.29
17.58
27.18
1.36
-44.44
0.67
0.03
7.71
47.83
Pathway Multi SF Explorer Series A Rollover MIN001
-
-1.78
-16.46
-23.58
-58.13
-58.13
-51.49
-23.39
-10.99
-45.21
-94.98
18.01
24.77
1.44
-71.90
0.69
0.12
5.02
40.00
Performance Diversified Fund
-
1.34
3.68
4.54
5.18
5.18
-0.47
8.71
4.54
-6.08
-19.84
2.37
3.91
0.08
4.41
0.31
0.35
96.65
73.29
Performance Growth Fund
-
1.25
2.63
1.62
1.99
1.99
-1.87
8.71
12.46
-14.15
-34.64
2.41
8.34
0.09
1.13
0.31
0.30
91.56
70.69
66.67
Palos Income Fund, L.P.
Pathway Energy Series A Rollover MIN002
Picton Mahoney Diversified Strategies Fund Class A
14.590
0.67
4.42
8.59
13.11
13.11
6.14
7.84
9.62
-7.99
-7.99
4.06
5.08
0.38
9.48
0.81
0.83
100.00
Picton Mahoney Global Long Short Equity Fd Cl A C$
12.080
1.31
4.88
9.56
21.42
21.42
8.68
3.26
13.21
-7.72
-25.98
7.00
7.37
0.36
17.98
0.44
0.78
100.00
61.64
1.970
1.30
4.20
12.40
12.16
12.16
-
4.94
12.89
-9.98
-12.13
8.73
-
0.80
4.51
0.79
0.41
99.68
64.00
Picton Mahoney Global Market Netural Equ Cl A C$
37.600
0.11
0.81
1.80
8.05
8.05
4.85
1.80
6.14
-1.14
-17.21
3.70
3.25
0.04
7.67
0.09
0.51
99.45
58.90
Picton Mahoney Income Opportunities Fund Class A
200.840
0.36
3.14
6.23
8.10
8.10
3.99
7.20
6.23
-8.16
-9.14
3.92
5.08
0.39
4.37
0.86
0.74
100.00
75.00
Picton Mahoney Long Short Equity Fund Class A
116.430
0.77
5.25
10.77
14.18
14.18
4.39
11.35
10.77
-10.78
-24.86
4.49
6.23
0.45
9.88
0.86
0.72
100.00
71.88
Picton Mahoney Market Neutral Equity Fund Class A 292.980
-0.11
1.60
3.60
5.45
5.45
2.24
8.54
4.28
-2.29
-4.63
1.65
2.16
0.04
5.07
0.21
0.46
99.89
68.75
2.03
5.33
17.42
2.59
2.59
-13.21
9.79
17.42
-23.69
-46.13
16.60
17.91
1.05
-7.45
0.55
0.11
64.59
63.73
Picton Mahoney Global Long Short Resource Cl A
Primevestfund
2.780
Radin Global Opportunities Fund Fd Class Series F
-
1.80
6.71
10.85
18.38
18.38
-
20.62
14.40
2.57
-2.41
7.23
-
0.64
12.26
0.77
0.48
100.00
80.00
RDA Mons Regalis Multi-Strategy LP
-
-1.27
-0.62
-8.21
-14.86
-14.86
1.11
1.11
12.35
-10.10
-18.03
8.63
9.43
-0.32
-11.80
-0.32
-0.61
81.97
50.00
Rosalind Capital Partners L.P.
-
7.50
11.63
41.41
92.08
92.08
10.74
21.52
47.73
-38.79
-40.85
12.74
19.97
0.62
86.15
0.42
-0.12
100.00
66.67
Ross Smith Capital Investment Fund
21.452
1.38
1.67
3.85
8.49
8.49
7.51
10.43
6.38
0.30
-17.17
2.86
2.79
0.01
8.39
0.02
-0.14
100.00
70.59
Ross Smith Opportunities Fund
25.428
1.55
1.86
3.12
6.51
6.51
-
8.93
10.22
1.08
-1.18
2.57
-
0.05
6.03
0.16
0.40
100.00
70.83
RPH Global Sovereign Bond Pooled Fund
-
0.98
1.86
2.02
6.74
6.74
-
5.36
6.13
-2.05
-4.02
5.63
-
0.02
6.55
0.03
0.10
100.00
65.38
SEI Futures Index Fund Class D
0.030
0.51
0.83
0.31
-2.89
-2.89
-2.95
-2.88
4.04
-7.21
-13.12
2.33
3.55
-0.06
-2.32
-0.21
-0.14
87.96
39.47
SEI Futures Index Fund Class E
0.010
0.64
1.23
1.11
-1.81
-1.81
-2.24
-2.18
4.32
-6.95
-11.75
2.41
3.57
-0.05
-1.33
-0.18
-0.14
89.58
39.47
SEI Futures Index Fund Class F
0.180
0.61
1.15
1.02
-1.35
-1.35
-1.27
1.13
4.98
-6.37
-9.79
2.31
3.55
-0.06
-0.78
-0.22
-0.15
91.51
51.09
SEI Futures Index Fund Class O
19.650
0.76
1.55
1.75
-0.09
-0.09
-0.17
2.33
5.53
-5.88
-8.66
2.35
3.56
-0.06
0.48
-0.21
-0.14
93.52
54.49
SEI Futures Index Fund Class P
1.990
0.61
1.12
0.90
-1.75
-1.75
-1.83
0.66
4.65
-6.68
-10.95
2.34
3.56
-0.06
-1.18
-0.21
-0.15
90.33
50.00
52.46
SG US Market Neutral Fund
34.660
3.53
4.07
3.05
4.62
4.62
5.21
0.83
6.15
-1.78
-12.63
5.41
4.31
0.08
3.85
0.12
-0.40
100.00
SG US Market Neutral Fund Class G
-
2.82
3.48
2.55
4.12
4.12
-
4.41
4.63
-1.62
-1.94
4.63
-
0.04
3.74
0.08
-0.42
100.00
58.33
SG US Market Neutral Fund Class U
-
1.49
1.94
0.74
2.14
2.14
-
3.23
6.39
-2.05
-2.53
4.77
-
0.09
1.28
0.16
-0.41
99.37
53.33
Sherpa Diversified Returns Fund Class A
-
1.00
3.72
5.45
9.88
9.88
4.44
3.90
11.56
-10.76
-21.95
2.84
6.21
0.19
8.06
0.59
0.98
100.00
70.15
Sherpa Market Neutral Income Fund Class A
-
0.38
0.56
0.55
0.25
0.25
0.31
1.82
3.09
-5.30
-6.90
0.49
3.17
0.02
0.06
0.34
0.09
98.26
76.74
14.312
1.80
-2.18
1.05
-4.09
-4.09
-1.46
3.59
8.20
-8.85
-10.98
5.93
7.26
0.39
-7.82
0.57
0.29
93.40
56.86
145.200
-1.65
-0.71
-27.02
-33.80
-33.80
-6.78
15.12
8.90
-28.55
-33.80
16.24
11.63
-0.69
-27.20
-0.37
-0.22
66.20
83.87
3.400
3.09
6.87
14.62
21.98
21.98
-
22.24
14.62
4.82
0.00
4.02
-
0.21
19.97
0.45
-0.19
100.00
100.00
Spartan Dorset Fund
-
2.76
-
-
4.89
-
-
-
-
-
0.00
-
-
-
-
-
-
100.00
100.00
Spartan Eleven Fund
-
0.63
3.58
5.90
6.80
6.80
-
10.27
12.87
-1.97
-4.16
3.82
-
0.41
2.88
0.92
0.54
100.00
80.77
Spartan Humber Global Opportunity Fund
-
1.53
4.32
6.98
9.97
-
-
-
-
-
-0.66
-
-
-
-
-
-
100.00
77.78
Spartan Humber Global Preservation Fund
-
0.66
2.48
2.84
4.44
4.44
-
2.89
3.02
-2.39
-3.04
3.17
-
0.11
3.39
0.29
0.12
100.00
65.00
Silvercove Hard Asset Fund L.P.
SMI Defensive LP
SMI Income LP
Spartan LSQ
-
0.89
1.81
1.85
3.21
3.21
-
7.42
7.69
0.08
-1.65
3.02
-
0.10
2.25
0.29
-0.08
100.00
90.91
Spartan onTREND Fund
-
-0.47
7.02
15.38
15.31
15.31
-
15.31
18.79
-0.06
-3.08
10.16
-
0.81
7.56
0.69
0.26
99.53
58.33
1.000
0.83
-0.09
5.28
-7.97
-7.97
-
-8.84
5.28
-15.98
-24.09
10.54
-
0.56
-13.33
0.46
0.01
79.92
37.50
31.785
0.26
0.18
-1.82
-6.62
-6.62
-0.37
0.71
5.74
-7.72
-8.94
6.77
5.23
0.41
-10.54
0.52
0.37
91.29
62.50
Spartan Teraz Fund
Sprott Absolute Return Income Fund Class A
Sprott Absolute Return Income Fund Class T
Sprott Bull/Bear RSP Fund Class A
-
0.26
0.18
-1.84
-6.69
-6.69
-0.30
0.77
5.81
-7.74
-9.01
6.77
5.29
0.41
-10.61
0.52
0.37
91.23
62.50
18.377
-3.78
-22.01
-18.84
-59.18
-59.18
-39.33
-2.34
6.41
-49.70
-78.69
35.30
29.62
1.71
-75.54
0.42
-0.24
21.31
51.88
Sprott Enhanced Long/Short Equity Fund
52.935
0.77
4.94
7.93
17.81
17.81
0.04
12.02
9.16
-13.52
-19.15
3.86
9.05
0.12
16.66
0.28
0.68
96.62
58.62
Sprott Enhanced Long/Short Equity RSP Fund
19.244
0.74
4.84
7.78
17.44
17.44
-0.26
6.04
8.96
-13.62
-19.39
3.85
9.05
0.13
16.20
0.28
0.68
95.89
53.54
16
HEDGE
Asset Size
($MM)
Fund Name
Sprott Hedge Fund L.P. Class A
1
Month
3
Month
FUND
6
Month
YTD
3
Year
(Ann.)
1
Year
Since
Best
Inception 6 Mo.
(Ann.) (3 Year)
Worst
6 Mo.
(3 Year)
Max.
Draw
Down
Std.
Dev.
(1 Year)
Std.
Dev.
(3 Year)
TSX)
TSX)
114.413
-4.09
-19.48
-17.53
-55.75
-55.75
-38.53
5.44
6.06
-46.34
-77.79
32.49
28.36
1.62
-71.25
0.43
-0.25
22.21
Sprott Hedge Fund L.P. II Class A
75.941
-4.27
-20.74
-18.89
-57.07
-57.07
-38.83
-4.43
6.30
-47.07
-78.10
33.09
28.27
1.58
-72.18
0.41
-0.27
21.90
55.70
50.00
Sprott Small Cap Hedge Fund
14.157
3.88
9.20
17.57
1.86
1.86
-7.40
3.62
17.57
-18.87
-54.39
10.82
14.02
0.87
-6.46
0.69
0.23
74.54
59.04
SW8 Strategy Fund LP Class A
27.916
-0.14
-5.30
-7.49
-9.32
-9.32
0.13
0.13
8.42
-7.49
-10.52
6.39
6.42
0.04
-9.70
0.05
-0.40
89.48
47.22
SW8 Strategy Fund LP Class B
-
-0.10
-5.16
-7.23
-8.80
-8.80
0.62
9.89
8.66
-7.23
-10.08
6.38
6.41
0.04
-9.18
0.05
-0.40
89.92
57.78
SW8 Strategy Trust Class A
13.260
-0.14
-5.30
-7.49
-9.32
-9.32
-0.37
-0.37
7.88
-7.49
-10.52
6.39
6.39
0.04
-9.70
0.05
-0.40
89.48
47.22
SW8 Strategy Trust Class B
-
-0.10
-5.16
-7.23
-8.80
-8.80
0.29
0.29
8.27
-7.23
-10.08
6.38
6.39
0.04
-9.18
0.05
-0.40
89.92
47.22
Tapestry Balanced Growth Private Port Corp Cl A
11.180
1.14
6.25
8.44
11.07
11.07
2.56
3.95
8.44
-6.05
-8.55
4.89
5.24
0.46
6.67
0.81
0.65
100.00
62.50
Tapestry Balanced Growth Private Port Corp Cl T
2.550
1.06
6.26
8.44
11.03
11.03
2.56
3.80
8.44
-5.98
-8.48
4.97
5.24
0.47
6.53
0.81
0.64
100.00
62.50
Tapestry Balanced Income Private Port Corp Cl A
3.980
0.80
4.99
6.07
7.27
7.27
2.89
3.59
6.07
-3.42
-5.18
4.54
4.23
0.40
3.44
0.75
0.63
100.00
68.09
Tapestry Balanced Income Private Port Corp Cl T
0.630
0.72
4.98
6.03
7.24
7.24
2.22
3.33
6.03
-3.45
-5.26
4.51
4.13
0.39
3.51
0.75
0.63
100.00
62.50
Tapestry Divers Income Private Port Corp Class A
3.820
0.34
3.46
3.63
4.37
4.37
3.12
4.34
5.12
-2.27
-3.20
4.22
3.13
0.33
1.21
0.67
0.62
100.00
65.96
Tapestry Global Balanced Private Port Corp Cl A
4.670
1.20
6.78
9.15
13.33
13.33
4.26
4.52
9.15
-5.86
-7.38
5.22
5.75
0.46
8.93
0.76
0.63
100.00
59.57
Tapestry Global Growth Private Port Corp Cl A
1.550
1.56
8.48
13.03
21.69
21.69
6.88
6.28
13.03
-8.43
-10.32
6.09
7.71
0.53
16.62
0.75
0.69
100.00
65.22
Tapestry Global Growth Private Port Corp Cl T
-
1.50
8.46
12.98
21.52
21.52
5.65
5.37
12.98
-8.77
-10.65
6.12
7.63
0.53
16.45
0.75
0.69
100.00
64.58
Tapestry Growth Private Portfolio Corporate Cl A
3.140
1.34
7.57
10.18
13.54
13.54
2.37
3.81
10.18
-8.13
-10.62
5.81
6.47
0.55
8.28
0.82
0.66
100.00
60.42
Tapestry Growth Private Portfolio Corporate Cl T
-
1.39
7.60
10.19
13.44
13.44
2.26
3.70
10.19
-8.29
-10.84
5.75
6.45
0.55
8.18
0.82
0.65
100.00
58.33
The Vantage Fund
90.000
1.22
2.76
7.60
5.14
5.14
2.86
6.31
8.95
-9.93
-12.68
5.60
8.19
0.13
3.90
0.19
-0.12
100.00
67.39
Topaz Multi-Startegy Fund (Canada) Series H
37.600
-0.29
-1.33
0.55
-4.99
-4.99
-
-4.31
0.89
-8.01
-10.29
3.61
-
0.31
-7.96
0.73
0.07
90.20
45.83
Trident Performance Corp II
10.770
0.32
0.22
-2.80
-2.43
-2.43
-1.21
-2.02
10.14
-9.32
-15.35
7.08
7.13
-0.32
0.63
-0.39
0.10
85.79
45.28
Venator Founders Fund Class A
73.000
2.60
5.80
11.22
31.43
31.43
12.16
14.25
24.71
-20.64
-32.02
4.89
12.94
0.10
30.47
0.18
0.60
100.00
69.15
Venator Income Fund Class F
81.54
61.000
2.70
4.24
6.55
16.03
16.03
13.20
16.11
11.39
-6.55
-12.91
4.13
5.92
0.13
14.79
0.26
0.45
100.00
Venator Investment Trust Class A
-
2.71
5.87
11.33
31.45
31.45
12.26
9.73
24.77
-20.55
-32.72
4.81
12.90
0.10
30.49
0.19
0.59
100.00
67.11
Venator Select Fund
-
4.60
12.81
-
16.75
-
-
-
-
-
0.00
-
-
-
-
-
-
100.00
100.00
Vertex Fund Class A
1,115.890
2.32
6.22
10.06
16.11
16.11
5.17
15.95
10.06
-14.36
-47.22
5.00
8.61
0.35
12.76
0.61
0.35
100.00
70.37
Vertex Fund Class B
225.210
2.34
6.06
9.84
15.65
15.65
4.90
10.80
9.84
-14.88
-47.05
5.37
8.75
0.37
12.11
0.60
0.36
100.00
72.13
Vertex Fund Class F
499.430
2.32
6.19
10.01
16.04
16.04
5.05
13.67
10.01
-14.37
-47.60
5.00
8.61
0.35
12.69
0.61
0.35
100.00
72.66
Vision Opportunity Fund L.P.
-
2.83
10.08
7.00
4.05
4.05
10.54
20.69
16.64
-12.39
-17.27
11.76
10.26
0.24
1.75
0.17
0.53
100.00
72.73
Vision Opportunity Fund L.P. II
-
2.85
9.97
6.78
3.66
3.66
10.87
20.45
16.44
-12.59
-12.59
11.82
9.95
0.24
1.36
0.17
0.53
99.71
75.00
Vision Opportunity Fund Trust
-
2.51
7.24
4.30
2.11
2.11
8.13
16.60
17.35
-12.37
-15.47
10.12
9.27
0.33
-1.05
0.28
0.59
97.35
71.21
WARATAH Income Fund
94.600
1.30
6.95
11.59
17.16
17.16
7.37
8.19
11.59
-5.00
-5.85
5.86
5.47
0.52
12.19
0.77
0.60
100.00
69.05
WARATAH One Fund
184.300
0.70
4.15
7.83
10.88
10.88
6.79
8.09
7.83
-1.22
-1.99
2.65
3.24
0.14
9.54
0.46
0.08
100.00
80.95
WARATAH Performance Fund
201.900
2.10
9.26
13.99
22.40
22.40
10.44
15.40
13.99
-3.39
-4.73
5.15
5.91
0.33
19.24
0.56
0.71
100.00
76.19
Wealhouse Panorama Fund, L.P.
252.515
2.12
5.82
9.18
19.84
19.84
4.51
11.88
13.34
-14.39
-17.00
5.12
8.40
0.36
16.40
0.60
0.72
100.00
66.15
-
6.28
18.23
21.05
10.78
10.78
-14.03
-9.39
21.05
-37.20
-48.94
13.30
18.25
1.13
-0.03
0.74
0.60
61.81
51.28
Equally Weighted Average Performance of All Funds 8,086.171
1.40
4.03
6.12
7.35
7.04
0.56
-
-
-
-
-
-
-
-
-
-
-
-
Number of Funds in Sample
185
184
183
185
181
156
-
-
-
-
-
-
-
-
-
-
-
-
Wolverine Opportunity Fund Series A
112
Canadian Hedge Watch receives, tracks and presents the data and results of Canadian funds as a service to
the hedge fund and alternative investment community. Business announcements, key personnel appointments and
press releases are also welcome for publication. Please send to [email protected].
To ensure the highest level of accuracy, Hedge Funds are encouraged to directly submit
monthly/quarterly/annual data to: [email protected]
17
M A R K E T I N D I C E S (as of December 31, 2013)
INDEX NAME
1
Month
3
Month
183 Day Canada T-Bill
0.08
0.24
91 Day Canada T-Bill
0.08
BMO Canadian Small Cap Index
1.74
6
Month
YTD
1
Year
Since
Inception
Best
6mo.
(3 Year)
Worst
6mo.
(3 Year)
1.01
6.46
0.54
0.46
3
Year
Max.
Draw
Down
0.00
Std.
Dev.
(1 Year)
Std.
Dev.
(3 Year)
Alpha
(1 Year,
TSX)
Beta
(1 Year,
TSX)
% High
Watermark
% Pos.
Months
0.02
0.02
1.00
0.00
100.00
100.00
100.00
0.51
1.00
1.00
0.24
0.49
0.97
0.97
0.95
6.18
0.49
0.43
0.00
0.01
0.02
0.97
0.00
100.00
5.82
13.19
4.31
4.31
-4.60
5.71
13.19
-22.25
-57.31
10.53
14.48
-5.64
1.04
83.82
58.64
0.33
-0.02
4.17
-3.42
-3.42
-7.12
0.05
4.17
-11.60
-32.08
5.68
6.54
-7.92
0.47
72.69
58.33
0.25
-0.19
4.44
-3.73
-3.73
-7.35
1.60
4.44
-11.79
-34.75
6.12
6.84
-8.42
0.49
72.05
59.26
CHW-HF FoHF Index
1.03
2.83
2.89
0.32
0.32
-5.08
-7.74
2.89
-9.85
-57.95
3.09
3.91
-2.55
0.30
43.27
49.53
CHW-HF Notes Index
0.21
0.77
2.05
4.71
4.71
3.63
0.44
3.75
-1.83
-11.09
0.88
1.91
4.42
0.03
100.00
58.49
1.80
10.20
16.18
29.42
29.42
9.76
4.94
16.18
-11.97
-50.31
6.81
9.28
23.78
0.59
92.26
56.06
Dow Jones Global Index (U$)
1.65
6.81
14.96
20.79
20.79
7.03
5.30
18.68
-18.57
-55.89
9.53
14.40
15.34
0.57
97.20
59.85
Nasdaq Composite Index (C$)
3.03
14.25
24.03
48.20
48.20
18.98
9.22
24.03
-6.54
-74.24
7.05
9.94
42.65
0.58
65.28
58.59
S&P 500 Total Return Index C$
2.69
14.03
17.55
41.87
41.87
18.84
10.81
21.42
-6.83
-51.16
7.88
8.42
36.80
0.53
100.00
61.36
S&P 500 Total Return Index US$
1.69
9.61
15.36
31.32
31.32
15.86
10.60
25.88
-13.78
-50.98
8.51
12.09
26.54
0.50
100.00
61.86
S&P/TSX 60 Index TR
1.82
7.24
13.00
10.12
10.12
2.01
6.99
13.00
-16.44
-47.89
8.52
10.07
0.75
0.98
100.00
60.45
S&P/TSX Composite Index
1.69
6.53
12.31
9.57
9.57
0.45
6.37
12.31
-17.66
-45.05
7.92
10.29
0.77
0.92
92.59
59.18
ANNOUNCEMENTS
AIMA ANNOUNCES NEW CHAIR AND DEPUTY CHAIR
OF INVESTOR STEERING COMMITTEE
London – December 6, 2013
AIMA, the global hedge fund association, has announced a new Chair and Deputy Chair of the AIMA Investor Steering Committee (ISC),
which features leading institutional investors in hedge funds from around the world and undertakes educational initiatives.
The new Chair is Michelle McGregor-Smith, Chief Executive, British Airways Pension Investment Management Ltd, and the Deputy Chair
is Kurt Silberstein, Managing Director, Alternative Investments, Ascent Private Capital Management, a subsidiary of U.S. Bank.
Ms McGregor-Smith is an adviser to the Investment Committee of the Health Foundation, a UK based charity, and a member of the UK Advisory
Council of the CFA Institute. A member of the ISC since 2009, she co-authored the ISC’s investors’ views and preferences paper in 2011 and
wrote the foreword to Beyond 60/40: The evolving role of hedge funds in institutional investor portfolios, which was published in May 2013.
She said: “I have enjoyed working with my ISC colleagues and AIMA on the various projects and research initiatives undertaken in the last few
years, and I look forward to collaboration with a broadened ISC which will add new insights and experience to further the work of the Committee.”
Prior to joining Ascent in August 2011, Mr Silberstein worked for 12 years at CalPERS. He has been a key contributor to many of the ISC’s
publications over the years, including being a co-author of the first edition of AIMA’s Roadmap to Hedge Funds guide for investors in 2008.
Mr Silberstein said: “I look forward to working with AIMA and the ISC in furthering its efforts to providing information and addressing specific
issues associated with investing in alternatives."
Their appointments coincide with an expansion of the ISC, which now includes more than 20 institutional investor members who collectively
manage over $800 billion in assets.
AIMA CEO Andrew Baker said: “I would like to pay tribute to Michelle and Kurt, who have been among the ISC's strongest supporters in
recent years. The ISC now comprises pension funds, endowments and sovereign wealth funds from every region of the world and goes
from strength to strength.”
For media enquiries, please contact:
Christen Thomson, Deputy CEO, Head of External Affairs
18
Tel: +44 (0)20 7822 8380
Email: [email protected]
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will be
LOOPHOLE New rules the
put in place to restrict
Pg. 8
activities of EMDs.
is the
TOP 25 Louis Vachon
2012 Quebec Financial
Pg. 10
Person of the Year.
way
DOOMSDAY? Our Western
says a
of life faces collapse, Pg. 12
new economic report.
seeing sizable
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volumes comincreases in sales
few years.
pared with the past
who were
“A number of clients secure’
and
running to the ‘safe more optilast year are much
says Bill Bell,
mistic this year,”
Financial Inc.
president of Bell
year, they
of Aurora, Ont. “Last the interabout
talk
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guaranteed
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In fact, financial advisors
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add to their clients
4
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> TURN TO SOME / PAGE
Fund companequities exposure.
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report sizable boosts
sales volumes
now is
MOVE Bruce Kagan
with
back in front of clients
20
Gluskin Sheff. Pg.
retirees
RRSPS While mostsaving up
are happy, those 22
face hurdles. Pg.
FOCUS ON PRODUCTS
Select’s
GROWTH PLAN Sentry
off despite
strategy is paying 25
a tough climate. Pg.
growth
DECELERATION Slower bond
is predicted for global
funds. Pg. 26
OMBUDSER
RESEARCH
t
BONDS New governmen
producing
issues could start Pg. 30
real returns soon.
RUNNING FOR LIFE
Brian Culbert runs help save
ultramarathons to
lives. Pg. B10
helps to
BIKER Hal Spelliscy Pg. B14
fund ALS research.
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the omlate last year, Services
OTTAWA Will the Tories’ be a
next budget watchdog
lapdog? Pg. 33
BYB
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Quebec
ANGTON
BY JAM ES L
INSIGHT
says
ST. JOHN’S Opposition is too
the Petroleum Board Pg. 34
close to the industry.
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powers
“sin”
GUILTY GROWTH Why good
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returns for clients.
DAVE BUSTON
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with TD Waterhous
an investment advisor volunteers and raises
Andrea Kladar,
t Advice in Calgary,
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Crew
funds for organizati with the Alberta Animal Rescue
adopted
animals. She works in need of care. She eventually give to
dogs
” she says, “to
Society, fostering
have an obligation,
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Highest Return (3 Month)
Fund Name
3 Month
Highest Return (1 Year)
6 Month
20.53
Ann. std
Dev.
(1 Year)
1 Year
33.42
51.63
9.95
Fund Name
Ann. Return
Ann. Std.
Dev.
# of
Negative
Months
92.08
12.74
1
52.79
10.73
2
Wolverine Opportunity Fund Series A
18.23
21.05
10.78
13.30
17.52
22.44
36.44
12.24
51.63
9.95
1
Meson Capital Partners Fund
17.10
10.86
7.91
16.99
46.03
12.98
2
AlphaNorth Partners Fund Class F
16.24
43.14
13.02
22.91
36.44
12.24
3
16.11
21.11
27.49
10.43
36.15
7.40
1
13.61
15.61
28.54
11.50
36.15
7.40
1
12.98
35.90
6.97
1
1
13.24
40.90
46.03
Venator Select Fund
12.81
-
-
-
31.45
4.81
11.71
21.45
52.79
10.73
31.43
4.89
1
29.18
6.98
2
11.63
41.41
92.08
12.74
JC Clark Adaly Fund Class A
10.69
15.97
15.23
9.83
28.94
6.77
2
10.27
15.33
26.18
4.50
28.54
11.50
3
Barometer Tactical Exchange Traded Fund Pool
10.13
7.31
16.37
9.09
FrontFour Opportunity Fund
27.73
8.63
3
10.08
7.00
4.05
11.76
27.49
10.43
2
JC Clark Adaly Fund Class B
10.05
15.14
14.09
9.79
26.40
7.10
2
Kensington Global Private Equity Fund Class E+G
9.97
10.85
0.71
9.30
26.18
4.50
1
9.97
6.78
3.66
11.82
24.98
5.17
1
9.81
15.38
24.98
5.17
24.26
5.20
1
JC Clark Preservation Trust (Class B)
9.79
14.40
18.41
7.46
JM Catalyst Fund
23.10
3.90
0
9.63
15.32
26.40
7.10
22.40
5.15
3
Ann. Std.
Dev.
# of
Negative
Months
Lowest Return (3 Month)
Fund Name
3 Month
Sprott Bull/Bear RSP Fund Class A
-22.01
Highest Return (3 Year)
6 Month
-18.84
1 Year
-59.18
Ann. std
Dev.
(1 Year)
Fund Name
Ann. Return
35.30
Lycos Value Fund Class O
25.91
26.92
14
11
Sprott Hedge Fund L.P. II Class A
-20.74
-18.89
-57.07
33.09
25.23
14.77
Sprott Hedge Fund L.P. Class A
-19.48
-17.53
-55.75
32.49
20.99
10.67
6
20.63
10.66
6
-16.46
-23.58
-58.13
18.01
Dynamic Power Hedge Fund Series C
-5.87
-2.01
-17.84
14.07
20.36
11.41
8
SW8 Strategy Fund LP Class A
-5.30
-7.49
-9.32
6.39
15.74
13.08
10
SW8 Strategy Trust Class A
-5.30
-7.49
-9.32
6.39
15.73
3.85
4
SW8 Strategy Fund LP Class B
-5.16
-7.23
-8.80
6.38
15.72
12.86
10
SW8 Strategy Trust Class B
-5.16
-7.23
-8.80
6.38
JM Catalyst Fund
15.53
4.39
3
13.77
8.29
9
Pathway Multi SF Explorer Series A Rollover MIN001
Pathway Energy Series A Rollover MIN002
-5.15
-4.51
-31.43
17.58
Arrow U.S. Equity Income Fund Class U U$
-2.33
-6.22
-10.21
5.42
13.20
5.92
6
Silvercove Hard Asset Fund L.P.
-2.18
1.05
-4.09
5.93
12.59
5.44
7
Arrow U.S. Equity Income Fund F
-1.69
-5.69
-8.08
5.70
12.47
6.68
6
Arrow U.S. Equity Income Fund A C$
-1.41
-5.16
-8.86
5.96
12.26
12.90
11
Topaz Multi-Startegy Fund (Canada) Series H
-1.33
0.55
-4.99
3.61
12.16
12.94
10
Friedberg Asset Allocation Fund
-1.16
1.18
-8.92
9.81
12.00
12.13
10
AlphaNorth Partners Fund Class A
-0.81
10.71
-12.93
15.05
11.26
9.40
11
SMI Defensive LP
-0.71
-27.02
-33.80
16.24
10.87
9.95
11
RDA Mons Regalis Multi-Strategy LP
-0.62
-8.21
-14.86
8.63
10.74
19.97
14
Man Canada AHL DP Investment Fund Class T
-0.45
-6.09
-13.97
11.11
10.54
10.26
11
Man Canada AHL DP Investment Fund Class O
-0.42
-6.04
-13.87
11.11
10.44
5.91
10
20
Fewest Negative Months (1 Year)
Fund Name
Lowest Volatility (1 Year)
# of
Negative
Months
Ann.
Return
Ann. Std.
Dev.
Fund Name
Ann. Std.
Dev.
Ann.
Return
# of
Negative
Months
JM Catalyst Fund
0
23.10
3.90
0.10
6.02
0
SMI Income LP
0
21.98
4.02
0.49
0.25
6
0
6.02
0.10
Picton Mahoney Market Neutral Equity Fund Class A
1.65
5.45
3
1
92.08
12.74
1.87
9.75
1
1
51.63
9.95
2.10
8.25
1
1
36.15
7.40
2.31
-1.35
6
1
36.15
7.40
2.33
-2.89
6
1
35.90
6.97
2.34
-1.75
6
1
31.45
4.81
2.35
-0.09
6
6
1
31.43
4.89
Fiera Tactical Bond Yield Fund Class A
2.36
-1.26
1
26.18
4.50
2.37
5.18
3
1
24.98
5.17
BSP Absolute Return Fund L/S Eq. US$
2.39
11.93
2
1
24.26
5.20
Performance Growth Fund
2.41
1.99
3
Tapestry Global Growth Private Port Corp Cl A
1
21.69
6.09
2.41
-1.81
6
Tapestry Global Growth Private Port Corp Cl T
1
21.52
6.12
Ross Smith Opportunities Fund
2.57
6.51
4
4
1
19.86
4.80
2.57
0.77
1
17.35
3.89
WARATAH One Fund
2.65
10.88
1
1
16.03
4.13
2.67
0.93
4
1
15.93
5.26
2.68
-0.47
5
Tapestry Growth Private Portfolio Corporate Cl A
1
13.54
5.81
2.84
9.88
2
WARATAH One Fund
1
10.88
2.65
2.86
8.49
2
Fewest Negative Months (3 Year)
Fund Name
Lowest Volatility (3 Year)
# of
Negative
Months
Ann.
Return
JM Catalyst Fund
3
15.53
4
6
6
Ann. Std.
Dev.
Fund Name
Ann. Std.
Dev.
2.16
Ann.
Return
2.24
# of
Negative
Months
4.39
Picton Mahoney Market Neutral Equity Fund Class A
16
15.73
3.85
2.79
7.51
8
20.99
10.67
2.87
5.11
8
20.63
10.66
Tapestry Divers Income Private Port Corp Class A
3.13
3.12
14
10
6
13.20
5.92
3.17
0.31
6
12.47
6.68
WARATAH One Fund
3.24
6.79
8
7
12.59
5.44
Picton Mahoney Global Market Netural Equ Cl A C$
3.25
4.85
12
8
20.36
11.41
3.55
-1.27
22
8
7.51
2.79
3.55
-2.95
22
WARATAH One Fund
8
6.79
3.24
3.56
-0.17
21
8
5.11
2.87
3.56
-1.83
22
8
4.44
6.21
3.57
-2.24
22
9
13.77
8.29
Marret High Yield Hedge LP Class B
3.70
1.21
18
10
15.74
13.08
3.74
-4.85
22
10
15.72
12.86
3.78
-3.67
20
10
12.16
12.94
3.83
-4.42
21
10
12.00
12.13
3.85
15.73
4
10
10.44
5.91
3.91
-0.47
16
10
8.30
8.57
Arrow Diversified Fund Class A U$
4.04
-5.22
22
10
0.31
3.17
Tapestry Balanced Income Private Port Corp Cl T
4.13
2.22
14
SMI Defensive LP
10
-6.78
11.63
Amethyst Arbitrage Fund
4.22
0.83
16
21
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23
0
50
100
150
200
250
300
350
Number of Hedge Funds Reporting
Dec-10
Dec-09
Dec-08
Dec-07
Dec-06
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-96
Dec-95
Dec-94
88% of the funds reported positive returns for the fourth quarter of 2013 while 73% for the past 12 months.
Funds
400
Dec-97
1.1. Number of Hedge Funds Reporting
Dec-11
1
4
6
7
11
14
28
49
92
131
181
234
280
260
353
323
327
274
309
292
303
323
339
326
328
342
267
247
258
231
220
Dec-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
HEDGE
FUNDS
REPORTING
Dec-94
Dec-95
Dec-96
Dec-97
DATE
1. Graphs and Tables Related to Asset Size and Distribution of Canadian Hedge Funds
Dec-12
24
Mar-13
Jun-13
Sep-13
Dec-13
DATE
243
234
227
185
HEDGE
FUNDS
REPORTING
25
Number of Hedge Fund Managers Reporting
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
There are now a total of 71 hedge fund managers reporting their performance to Canadian Hedge Watch.
0
10
20
30
40
50
60
70
80
90
100
Mar-08
1.2. Number of Hedge Fund Managers Reporting
Dec-13
Sep-13
Jun-13
65
58
60
74
77
68
83
77
80
85
88
94
89
88
84
79
84
79
83
84
82
83
71
Dec-13
MANAGERS
REPORTING
Dec-06
Dec-07
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
DATE
Funds
Number of Hedge Funds Reporting Assets
Dec-13
Dec-12
Dec-11
Dec-10
Dec-09
Dec-07
Dec-06
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-95
Dec-94
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
Dec-13
DATE
1
4
6
7
12
14
22
42
64
94
121
133
117
114
129
118
139
154
114
112
121
121
149
139
141
153
110
135
149
137
126
127
125
125
126
FUNDS
Reporting
Assets
28
28
35
38
38
41
43
44
49
47
53
50
47
47
46
44
52
52
49
50
45
47
48
# of Fund
Managers
Of the 185 funds reporting, 112 reported the size of their assets, a figure represented by 48 hedge fund managers as of December 31, 2013.
0
20
40
60
80
100
120
140
160
180
Dec-96
1.3. Hedge Funds Reporting Assets
Dec-08
26
27
0
2,000
4,000
6,000
8,000
10,000
Hedge Fund Assets
Dec-12
Dec-11
Dec-10
Dec-09
Dec-08
Dec-07
Dec-06
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-98
Dec-97
Dec-96
Dec-95
Dec-94
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
Dec-13
DATE
5.610
67.284
164.735
259.140
412.506
923.808
1486.768
2955.215
3463.887
4941.409
6671.642
7166.778
7603.667
7949.529
5736.551
5405.453
5842.646
6586.623
6297.529
6184.524
7438.786
6863.449
8982.884
8283.491
8647.029
7461.860
6137.633
7706.716
8071.277
7633.582
7092.179
8365.596
7876.071
8322.602
8405.075
ASSET
($MM)
61.674
97.451
94.405
153.366
511.302
562.960
1468.447
508.672
1477.522
1730.233
495.136
436.890
345.861
-2212.978
-2544.076
106.094
743.977
-289.094
-113.005
1254.262
-575.337
2119.435
-699.393
363.538
-1185.169
-1324.227
1569.083
364.561
-437.695
-541.403
1273.417
-489.525
446.531
82.473
ASSET
GROWTH
($MM)
The total hedge fund assets reported to Canadian Hedge Watch at the end of Q4/2013 was C$8.405 billion, a slight increase from the previous quarter.
Asset Under Management ($MM)
12,000
Dec-99
1.4. Hedge Funds Assets Under Management (AUM)
Dec-13
-40%
-20%
0%
20%
40%
60%
80%
100%
120%
Hedge Fund Asset Change
Total reported hedge fund assets increased by 19% over the past 12 month.
Asset Change (%)
1.5. Hedge Fund Asset Change
Dec-94
Jun-95
Dec-95
Jun-96
Dec-96
Jun-97
Dec-97
Jun-98
Dec-98
Jun-99
Dec-99
Jun-00
Dec-00
Jun-01
Dec-01
Jun-02
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
28
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
Dec-13
DATE
ASSET
% CHANGE
($MM)
(1 year)
5.610
67.284
1099%
164.735
145%
259.140
57%
412.506
59%
923.808
124%
1486.768
61%
2955.215
99%
3463.887
17%
4941.409
43%
6671.642
35%
7166.778
7%
7603.667
6%
7949.529
5%
5736.551
-28%
5405.453
-32%
5842.646
2%
6586.623
15%
6297.529
10%
6184.524
14%
7438.786
27%
6863.449
4%
8982.884
43%
8283.491
34%
8647.029
16%
7461.860
9%
6137.633
-32%
7706.716
-7%
8071.277
-7%
7633.582
2%
7092.179
16%
8365.596
9%
7876.071
-2%
8322.602
9%
8405.075
19%
29
0
Asset Size ($MM)
50 100 150 200 250 300 350 400 450 500 550 600 650 700 750 800 850 900 950 000 050 100
1
1
1
The number of Canadian hedge funds reporting asset size is over $72MM. The number of hedge funds reporting $200MM or more in assets
is 10 (or 7.2%). There are 22 hedge funds with $100MM or more in Assets Under Management (AUM),or 20%. It is estimated that 68% of the
asset reporting hedge funds have $50MM or less in Assets Under Management, a figure that has been largely consistent for some time.
0
5
10
15
20
25
30
35
Distribution of Canadian Hedge Funds by Asset Size
(December, 2013)
1.6. Distribution of Canadian Hedge Funds by Asset Size
Number of Funds
30
1750
1500
1250
750
AUM ($MM)
1000
$1,019.202
500
$41.176
$155.260
$90.000
$134.000
$2.780
$46.879
$21.860
$42.000
$14.312
$156.600
$139.670
$28.000
$2.850
$16.310
$1.290
$19.600
$29.100
$3.000
$43.170
$3.000
$36.189
$51.700
$15.211
$121.072
250
$252.515
$363.310
$453.239
$299.700
$348.320
$436.065
$480.800
$608.751
$665.099
$79.840
$6.660
$51.320
$31.000
$193.321
$33.000
$14.950
$221.102
$5.038
$143.400
$207.000
$48.000
These numbers reflect the Assets Under Management (AUM) where reported, and do not reflect total market AUM.
2000
$1,840.530
$1,504.287
Reported Canadian Hedge Fund Assets by Fund Manager
1.7. Reported Canadian Hedge Fund Assets by Fund Manager
0
Acorn Global Investments Inc.
Arrow Capital Management Inc.
Aurion Capital Mgmt Inc.
Barometer Capital
Blackheath Fund Mgmt
Broadview Capital Mgmt. Inc.
BluMont Capital
Broadview Capital Mgmt. Inc.
Brompton Funds Limited
CI Investments Inc.
Creststreet Asset Management
Crystalline Management Inc
Donville Kent Asset Mgmt
Dynamic Funds
Fiera Capital
Formula Growth Limited
Friedberg Mercantile Group
Front Street Capital
FrontFour Capital Corp.
FrontierAlt Funds
Hillsdale Investment Mgmt
Industrial Alliance
JM Fund Management Inc.
Landry Morin Inc.
Lycos Asset Management Inc.
Marret Asset Management Inc.
Matrix Asset Management
Nexgen Financial
Niagara Capital Partners Ltd.
Norrep Inc.
Northern Rivers Capital Mgmt
Orchard Global Capital Group
Palos Management Inc.
Picton Mahoney
Primevest Capital Corp.
Ross Smith Asset Management
SEI Investments Canada Company
Seven Seas Capital Management
Silvercove Capital
Silvercreek Management Inc.
Sprott Asset Management
SW8 Asset Management Inc.
The Goodwood Fund
Vantage Asset Management
Venator Capital Mgmt. Ltd.
Vertex One
Waratah Advisors
Wealhouse Capital Management
31
0
10
20
30
40
50
60
70
Average Asset Size of Canadian Hedge Funds Over Time
Dec-11
Dec-10
Dec-09
Dec-08
Dec-07
Dec-06
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-98
Dec-97
Dec-96
Dec-94
The Canadian hedge fund marketplaces average reported Assets Under Management (AUM) is now estimated at C$72 million.
Averages Fund Asset ($MM)
80
Dec-95
1.8. Average Asset Size of Canadian Hedge Funds Over Time
Dec-13
Dec-12
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
Monthly Average Return (Equally Weighted)
Dec-12
Dec-11
Dec-10
Dec-09
Dec-07
Dec-06
Dec-05
Dec-04
Dec-03
Dec-02
Dec-01
Dec-00
Dec-99
Dec-97
Dec-96
Dec-95
Dec-94
The 1 year return of the Equally Weighted Average of the Canadian hedge funds (+3.46%) is now below of the S&P/TSX Composite Index (+9.57%).
Return (%)
10%
Dec-98
1.9. Monthly Average Return (Equally Weighted)
Dec-08
32
Dec-13
33
1.10.
-2
0
10
20
30
40
50
60
0%
0%
-1
%
-5
0%
5%
10
%
Based upon a total of 221 funds reporting to Canadian Hedge Watch in October, 2013.
5%
-1
Distribution of Monthly Returns
October, 2013
Distribution of Returns in the most recent Quarter
Number of Funds
15
%
20
%
34
Number of Funds
-2
0
5
10
15
20
25
30
35
40
45
50
0%
0%
-1
-5
%
0%
5%
10
%
Based upon a total of 186 funds reporting to Canadian Hedge Watch in November, 2013.
5%
-1
November, 2013
%
15
%
20
35
Number of Funds
0
-2
0
10
20
30
40
50
60
%
0%
-1
%
-5
0%
5%
10
%
Based upon a total of 185 funds reporting to Canadian Hedge Watch in December, 2013.
5%
-1
December, 2013
15
%
%
20
1.11.
14
16
18
20
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Each bar represents the number of months that aggregate the same historical average monthly returns since December 1994.
Average Monthly Return (%)
0
-10% -9% -8% -7% -6% -5% -4% -3% -2% -1%
2
4
6
8
10
12
Distribution of Monthly Average Returns
Distribution of Monthly Average Return (Equally Weighted, since December, 1994)
Number of Months
36
10%
37
-9%
-7%
-5%
-3%
-1%
1%
3%
5%
7%
9%
11%
13%
15%
Quarterly Average Returns (Equally Weighted)
Quarterly Average Returns (Equally Weighted)
5.74%
8.21% Jun-06
4.69% Sep-06
4.47% Dec-06
Sep-96
Dec-96
9.91% Mar-10
0.88% Jun-10
1.45% Sep-10
4.21% Dec-10
Mar-00
Jun-00
Sep-00
Dec-00
5.20% Dec-13
Sep-03
Dec-03
5.34%
4.38% Sep-13
Jun-03
1.00%
5.41% Jun-13
Mar-03
Dec-04
0.64% Mar-13
Dec-02
Sep-04
1.69% Dec-12
Sep-02
4.40%
-1.61% Sep-12
Jun-02
-3.64%
2.23% Jun-12
Mar-02
Jun-04
-0.85% Mar-12
Dec-01
Mar-04
2.13% Sep-11
-0.67% Dec-11
Sep-01
3.33% Mar-11
5.68% Dec-09
Dec-99
-0.21% Jun-11
4.92% Sep-09
Sep-99
Jun-01
5.86% Jun-09
Jun-99
Mar-01
2.22% Dec-08
6.16% Mar-09
Mar-99
Sep-98
Dec-98
-2.86% Jun-08
-2.09% Sep-08
Jun-98
3.77%
0.65%
-2.33%
1.42%
-1.09%
2.59%
-4.14%
1.53%
-0.52%
-6.45%
-3.18%
0.40%
8.78%
4.40%
-3.17%
2.29%
1.36%
6.25%
3.70%
0.16%
-12.33%
-11.73%
4.56%
-1.62%
1.60%
6.18% Dec-07
4.37% Mar-08
7.47% Sep-07
Sep-97
Mar-98
2.64% Jun-07
Jun-97
Dec-97
3.31%
-1.53%
4.39% Mar-07
Mar-97
1.81%
4.23%
-1.28%
-1.50%
5.50% Mar-06
Mar-96
Jun-96
5.49%
0.83%
5.32% Sep-05
Sep-95
-2.68% Dec-05
7.46% Jun-05
Dec-95
2.51%
-0.19%
1.08% Mar-05
Jun-95
Average
Quarterly
Return
-0.83%
Quarter-End
Mar-95
Average
Quarterly
Return
Dec-94
Quarter-End
On average, hedge funds returned +3.77% in Q4/2013, lower than the S&P/TSX at +6.53% and the S&P500 TRI C$ at +14.03%.
-15%
-13%
-11%
Return (%)
1.12.
Dec-94
Jun-95
Dec-95
Jun-96
Dec-96
Jun-97
Dec-97
Jun-98
Dec-98
Jun-99
Dec-99
Jun-00
Dec-00
Jun-01
Dec-01
Jun-02
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
0%
2%
4%
6%
8%
10%
12%
14%
Dec-12
Jun-13
Dec-13
Jun-07
Dec-07
Jun-08
Dec-05
Jun-06
Dec-06
Jun-04
Dec-04
Jun-05
Jun-03
Dec-03
Dec-01
Jun-02
Dec-02
Jun-00
Dec-00
Jun-01
Jun-98
Dec-98
Jun-99
Dec-99
Dec-95
Jun-96
The decrease started in Q4/2011 and continued in Q4/2013 indicates that hedge fund managers are taking less risky positions. It also indicates some
sort of calm state on the stock markets.
Annualized Standard Deviation
16%
12-month Rolling Standard Deviation (annualized)
Dec-08
Jun-09
Dec-09
18%
Dec-96
Jun-97
Dec-97
12-month Rolling Standard Deviation od Equally Weighted Average Performance (annualized)
Jun-10
Dec-10
1.13.
Jun-11
Dec-11
Jun-12
38
2. Performance Comparison: Canadian Hedge Funds vs. Major Indices
2.1 Commentary
Equally weighted Canadian hedge funds had a quarterly (Q4) gain of
3.77% (refer to chart 2.2 - Comparison of Returns), which was worse than
the S&P/TSX which posted a gain of 6.53%. The HFRI Fund Weighted
Composite Index rose 3.57%, while Dow Jones Global Index (C$) rose
10.20%, and the S&P 500 Total Return Index (C$) was at 14.03%.
On the risk side, (refer to Chart 2.3 – Efficiency and Calendar Year
Returns) the annual standard deviation (measured for the period of
December, 1994 to December, 2013) of equally weighted Canadian
hedge funds was 7.74% compared to the Canadian market’s TSX of
15.44%. The largest drawdown was also significantly lower for
Canadian hedge funds with a negative 23.24% loss compared to the
S&P/TSX’s negative 45.05% loss. Overall, Canadian hedge funds
performed efficiently and hedged against the market - TSX since
1994, in terms of the annual returns and standard deviations of
7.14%, 7.74%, and 6.21%, 15.44%, respectively. Equally weighted
Canadian hedge funds had 0.243 beta to the TSX and correlation was
0.850 over the last 12 months.
For risk and efficiency parameters of Canadian hedge funds
compared to other major indices, the Canadian hedge funds had
similar figures (Chart 2.3 – Efficiency and Calendar Year Returns) in
terms of annualized standard deviation, percentage of positive
months, and percentage of positive quarters, largest drawdown and
alpha against TSX compared to the HFRI Fund Weighted Composite
Index. Over the past 5 years the correlation between Canadian hedge
funds and the TSX was 0.764 (refer to chart 2.4 – Correlation
Matrices); and was also highly correlated with HFRI Fund Weighted
Composite Index of 0.873. The correlations for last 12 months were
0.850 and 0.795 for the TSX and HFRI Fund Weighted Composite
Index respectively.
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39
2.2. Comparison of Returns
RETURN
1 month
3 month
6 month
YTD
1 year
3 year *
5 year *
* annual
Equally
Weighted
Average
Canadian HF
Return
1.40%
3.77%
4.44%
2.01%
3.46%
-2.59%
3.06%
S&P/TSX
Composite
Index
Dow Jones
S&P 500
Total Return Global Index
(C$)
Index C$
1.69%
6.53%
12.31%
6.85%
9.57%
0.45%
8.68%
2.69%
14.03%
17.56%
25.11%
41.88%
18.91%
14.86%
1.80%
10.20%
16.18%
18.73%
29.42%
9.77%
9.81%
HFRI Fund
Weighted
Composite
Index
1.09%
3.57%
5.87%
5.81%
9.70%
3.74%
8.32%
2.3. Efficiency and Calendar Year Returns
Since December, 1994
Annualized Return:
Annualized Standard Deviation:
Sharpe Ratio (1%):
% Positive Months:
% Positive Quarters:
Sortino Ratio (1%):
Skewness:
Kurtosis:
Largest Drawdown:
Beta (S&P/TSX):
Alpha (S&P/TSX):
CALENDAR YEAR RETURNS
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
40
Equally
Weighted
Average
Canadian HF
Return
7.14%
7.74%
0.79
62.61%
70.13%
1.21
9.45%
238.22%
-23.24%
0.243
4.87%
Equally
Weighted
Average
Canadian HF
Return
11.34%
24.85%
22.26%
1.47%
24.60%
17.22%
4.59%
1.43%
16.50%
7.02%
8.82%
7.16%
5.23%
-20.40%
11.85%
12.48%
-9.53%
-1.24%
3.46%
S&P/TSX
Composite
Index
6.21%
15.44%
0.34
61.30%
68.83%
1.44
-98.97%
290.89%
-45.05%
-
S&P/TSX
Composite
Index
11.87%
25.74%
13.03%
-3.19%
29.72%
6.18%
-13.94%
-13.97%
24.28%
12.48%
21.90%
14.52%
7.16%
-35.03%
30.69%
14.45%
-11.07%
4.01%
9.57%
S&P 500
Dow Jones
Index C$
(C$)
8.08%
13.07%
0.54
60.87%
66.23%
2.81
-43.31%
9.20%
-51.16%
0.500
4.48%
3.85%
12.52%
0.23
55.65%
64.94%
1.10
-60.54%
49.91%
-50.31%
0.593
-0.24%
S&P 500
Dow Jones
Index C$
(C$)
33.92%
23.55%
39.19%
37.82%
13.94%
-5.57%
-6.41%
-22.84%
5.76%
2.80%
1.51%
16.04%
-9.80%
-23.08%
9.17%
8.89%
4.70%
13.19%
41.88%
12.50%
11.21%
15.99%
26.42%
20.21%
-10.66%
-11.50%
-20.79%
9.33%
6.12%
5.86%
18.76%
-7.30%
-30.23%
14.11%
5.81%
-7.88%
10.94%
29.42%
HFRI Fund
Weighted
Composite
Index
9.26%
7.00%
1.18
69.13%
75.32%
5.56
-59.69%
261.54%
-19.51%
0.386
6.24%
HFRI Fund
Weighted
Composite
Index
21.50%
21.10%
16.79%
2.62%
31.29%
4.98%
4.62%
-1.44%
19.54%
9.05%
9.28%
13.01%
11.06%
-17.25%
20.35%
11.02%
-4.49%
6.55%
9.70%
Calendar Year Returns
40%
30%
30%
20%
20%
10%
10%
Return (%)
Return (%)
40%
0%
-10%
0%
-10%
-20%
-20%
-30%
-40%
-40%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
-30%
Equally Weighted Average Canadian HF Return
40%
30%
30%
20%
20%
10%
10%
Return (%)
Return (%)
40%
0%
-10%
0%
-10%
-20%
-20%
-30%
-40%
-40%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
-30%
40%
30%
Return (%)
20%
10%
0%
-10%
-20%
-30%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
-40%
41
2.4. Correlation Matrices
Correlation (1 year)
Equally Weighted Avg. Cdn. HF Return
42
Equally
Weighted
Average
Canadian HF
Return
S&P/TSX
Composite
Index
1
0.850
0.636
0.770
0.795
0.850
1
0.578
0.743
0.611
Equally
Weighted
Average
Canadian HF
Return
1
0.837
0.517
0.714
0.850
S&P/TSX
Composite
Index
0.636
0.578
1
0.796
0.579
S&P/TSX
Composite
Index
1
0.830
0.480
0.691
0.881
0.830
1
0.559
0.748
0.786
S&P/TSX
Composite
Index
0.770
0.743
0.796
1
0.813
0.795
0.611
0.579
0.813
1
S&P 500
Dow Jones
HFRI Fund
Weighted
Index C$
(C$)
Composite Index
0.837
1
0.500
0.784
0.778
Equally
Weighted
Average
Canadian HF
Return
Equally
Weighted
Average
Canadian HF
Return
1
0.764
0.375
0.570
0.873
S&P 500
Dow Jones
HFRI Fund
Weighted
Index C$
(C$)
Composite Index
0.517
0.500
1
0.794
0.564
0.714
0.784
0.794
1
0.842
0.850
0.778
0.564
0.842
1
Dow Jones
S&P 500
HFRI Fund
Weighted
(C$)
Index C$
Composite Index
0.480
0.559
1
0.841
0.599
0.691
0.748
0.841
1
0.859
0.881
0.786
0.599
0.859
1
Dow Jones
S&P 500
HFRI Fund
Weighted
(C$)
Index C$
Composite Index
0.764
1
0.510
0.660
0.829
0.375
0.510
1
0.898
0.477
0.570
0.660
0.898
1
0.715
0.873
0.829
0.477
0.715
1
CHW Canadian Hedge Indices
Canada's first non-investible hedge fund indices were created by
Canadian Hedge Watch. They include 3 sub indices:
. CHW-HF Equity Hedged Index
. CHW-HF Notes Index
. CHW-FOHF Index
The composite index is the asset weighted CHW-HF Composite
Index. The most prevalent Canadian hedge fund type is equity
hedged as the majority of Canadian hedge funds are followers of the
traditional equity long-short types of hedge funds. Most hedge funds
exhibited negative performance in 2008 but many began to recover
lost ground in 2009. However, a number of hedge funds have taken
a more defensive position since 2009 by holding cash and taking
short positions in the market. There have been a growing number of
managed futures funds and real estate funds reporting as well.
The CHW-HF Composite Index is down 3.42% in the last 12 months.
Losses derive from one of the three sub-indices: the Equity Index lost
3.72%, while the Fund of Funds Index gained 0.32%, and the Notes
Index gained 4.60% in the ast 12 month.
43
Canadian Hedge Fund Indices
Historical Monthly Returns
CHW INDICES
2013
Composite
Equity
Notes
FoHF
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
0.60%
-2.05%
-0.30%
-3.22%
-0.25%
-2.24%
1.87%
2.33%
-0.06%
0.62%
-0.96%
0.33%
YTD
-3.42%
2012
2.48%
2.07%
-2.73%
-1.85%
-1.93%
-1.64%
0.59%
1.21%
1.42%
-0.41%
-1.65%
-1.70%
-4.24%
2011
-1.49%
1.81%
-0.78%
0.29%
-2.41%
-2.52%
1.74%
-3.92%
-5.21%
1.27%
-0.81%
-1.92%
-13.35%
2010
-0.61%
1.14%
1.82%
0.78%
-3.45%
-1.12%
0.31%
1.43%
4.08%
3.25%
2.20%
3.06%
13.41%
2009
2.10%
-1.40%
1.66%
2.26%
3.92%
0.11%
1.31%
0.89%
3.47%
-0.33%
0.58%
1.95%
17.70%
-30.37%
8.29%
2008
-4.31%
2.65%
-2.88%
0.67%
3.42%
1.08%
-5.99%
-2.32%
-9.20%
-9.81%
-4.14%
-3.79%
2007
2006
0.45%
4.86%
2.55%
-0.21%
0.68%
3.86%
2.58%
1.49%
0.42%
-1.89%
-0.26%
-2.81%
1.82%
0.65%
-4.52%
0.73%
3.34%
-2.51%
3.87%
3.25%
-3.70%
1.54%
1.14%
2.97%
2005
2013
1.23%
0.64%
4.21%
-2.21%
-1.40%
-0.32%
-2.89%
-3.50%
0.36%
-0.33%
1.29%
-2.30%
3.40%
1.99%
1.50%
2.67%
2.12%
-0.07%
-3.38%
0.54%
1.52%
-0.97%
2.63%
0.25%
2012
2011
2.73%
-1.56%
2.16%
1.84%
-2.89%
-0.78%
-1.93%
0.29%
-1.91%
-2.50%
-1.73%
-2.56%
0.63%
1.75%
1.31%
-3.96%
1.49%
-5.27%
-0.43%
1.31%
-1.73%
-0.81%
-1.89%
-2.10%
2010
2009
-0.68%
1.67%
1.23%
-1.68%
1.96%
1.83%
0.78%
2.61%
-3.74%
4.56%
-1.33%
0.37%
0.32%
1.39%
1.45%
0.97%
4.14%
3.85%
3.28%
0.33%
2.23%
2.64%
3.10%
2.19%
2008
2007
-5.04%
0.53%
3.30%
3.91%
-3.32%
1.04%
0.87%
3.47%
3.98%
0.57%
1.22%
-0.32%
-7.33%
2.50%
-2.51%
-5.37%
-11.04%
4.41%
-10.39%
4.72%
-4.54%
-4.66%
-2.81%
1.78%
2006
2005
6.44%
2.05%
-0.38%
6.31%
5.29%
-1.99%
1.93%
-4.20%
-2.48%
0.50%
-3.53%
1.94%
0.98%
5.02%
0.92%
2.30%
-3.46%
2.99%
4.74%
-4.59%
2.28%
1.99%
4.54%
4.01%
2013
2012
0.19%
-0.21%
0.39%
-0.24%
0.69%
-0.87%
0.35%
-1.00%
0.90%
0.33%
-0.06%
0.44%
0.59%
0.25%
0.55%
-0.16%
0.12%
0.93%
0.38%
-0.44%
0.18%
1.12%
0.21%
0.07%
2011
2010
1.70%
0.31%
0.16%
-0.25%
-0.08%
-0.74%
0.99%
-0.54%
0.90%
0.34%
0.03%
2.92%
0.49%
-0.08%
1.15%
1.65%
0.14%
0.03%
-0.32%
0.58%
0.62%
-0.84%
0.16%
0.28%
6.07%
3.67%
2009
2008
-0.05%
-0.82%
0.57%
0.23%
0.49%
0.26%
-1.43%
-0.75%
0.64%
0.61%
-1.21%
0.47%
-0.49%
-1.07%
1.24%
-0.76%
0.67%
-1.76%
-0.40%
-2.57%
1.39%
-1.32%
-0.18%
0.21%
1.22%
-7.08%
2007
2006
-0.04%
0.83%
-0.15%
0.18%
-0.36%
0.77%
0.13%
0.35%
-0.31%
-0.56%
-0.46%
-2.11%
0.34%
0.21%
-1.31%
0.24%
-0.19%
0.26%
0.83%
0.36%
0.70%
0.27%
-1.12%
0.76%
-1.93%
1.53%
2005
2013
-0.23%
0.08%
-0.35%
-0.40%
-0.20%
-0.07%
-0.44%
-0.76%
0.51%
0.42%
0.52%
-1.78%
-0.31%
0.92%
0.09%
-0.82%
-0.03%
-0.03%
-1.02%
1.40%
0.39%
0.37%
-0.31%
1.03%
-1.39%
0.32%
2012
2011
0.02%
0.09%
0.29%
1.07%
-0.62%
-1.25%
-0.71%
-0.16%
-2.22%
-1.89%
-0.57%
-1.97%
0.11%
0.51%
-0.09%
-3.20%
0.45%
-3.50%
-0.14%
-0.02%
-0.65%
-1.50%
0.43%
-0.24%
-3.65%
-11.53%
2010
2009
-0.34%
7.91%
0.82%
0.11%
1.78%
0.72%
0.79%
1.35%
-1.99%
3.74%
-0.33%
-1.95%
0.72%
1.58%
0.64%
-0.30%
2.44%
1.36%
2.62%
-7.34%
1.07%
-28.46%
2.68%
-1.14%
11.36%
-24.54%
2008
2007
-2.43%
0.74%
0.51%
-0.22%
-1.74%
0.14%
0.22%
1.11%
0.74%
0.53%
0.40%
0.31%
-1.33%
-0.35%
-1.62%
-2.85%
-6.34%
0.61%
-10.52%
1.49%
-6.04%
-1.96%
-17.30%
-0.11%
-38.25%
-0.65%
2006
2005
3.01%
0.25%
-0.03%
2.98%
1.88%
-0.93%
1.07%
-1.52%
-1.32%
-0.39%
-1.25%
-0.04%
-0.30%
2.74%
0.37%
0.53%
-2.02%
1.97%
0.44%
-2.17%
-0.26%
1.38%
-0.26%
1.37%
1.24%
6.22%
12.23%
10.79%
-3.72%
-4.30%
-13.68%
13.21%
22.62%
-32.73%
12.65%
17.95%
16.87%
4.60%
0.18%
CHW Hedge Fund Indices vs. Major Market Indices
1800
1700
1600
1500
1400
1300
1200
1100
1000
Dec-13
Jun-13
Sep-13
Dec-12
Mar-13
Sep-12
Jun-12
Mar-12
Dec-11
Jun-11
Sep-11
Dec-10
Mar-11
Jun-10
Sep-10
Mar-10
Dec-09
Jun-09
Sep-09
Dec-08
Mar-09
Jun-08
Sep-08
Dec-07
Mar-08
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Jun-05
Mar-05
500
400
Dec-05
700
600
Sep-05
CHW-HF Notes Index
CHW-FoHF Index
S&P/TSX
S&P 500 TRI C$
Dow Jones Credit Suisse HF Index
900
800
Canada's First Hedge Fund Indices
Index Summary
CH W-HF Composite Index
1002.85
1744.642
-0.02%
4.17%
-3.42%
-3.42%
0.03%
-32.18%
% High
Water
mark
72.30%
CH W-HF Equity H ed ged Idx.
1153.20
1561.352
-0.19%
4.44%
-3.72%
-3.72%
1.60%
-34.75%
CH W-HF Notes Index
1063.97
10.000
0.77%
2.05%
4.60%
4.60%
0.69%
474.10
173.290
2.83%
2.89%
0.32%
0.32%
-7.96%
CHW
HEDGE FUND INDICES
CH W-FoH F Index
Index
Le vel
Assets Represented
by the Index ($MM)
3 mo.
6 mo.
YTD
PERFORMANCE
MARKET INDICES
1 mo.
3 mo.
6 mo .
Sinc e
Jan-05
1 yea r
Max.
Draw down
1 year
Jan -05
1 year
-0.02%
4.17%
-3.42%
-3.42%
0.03%
5.68%
9.39%
S &P/TS X
0.26%
5.03%
10.73%
8.03%
8.03%
4.21%
7.87%
14.49%
S &P 5 00 TRI C$
4.90%
16.49%
20.09%
44.93%
44.93%
5.88%
8.10%
11.57%
Dow J one s Global I nde x (C$)
1.80%
10.20%
16.18%
29.42%
29.42%
3.77%
6.81%
11.97%
Dow J one s Credit Sui sse HF In
1.19%
4.15%
5.82%
9.72%
9.72%
5.05%
3.57%
6.12%
5.68%
9.39%
71.88%
58.33%
6.12%
11.13%
-10.79%
99.79%
57.41%
0.93%
2.72%
-59.09%
41.66%
48.15%
3.09%
13.31%
1
0.829
0.260
0.513
Dow Jones
Credit Suisse HF
Index
0.861
S&P/TSX
S&P 500 TRI C$
0.829
0.260
1
0.488
0.488
1
0.680
0.895
0.836
0.390
Dow Jones Cr edit Suisse HF Inde
0.513
0.861
0.680
0.836
0.895
0.390
1
0.638
0.638
1
Ja n-0 5
57.41%
Jan-05
0.33%
(since January, 2005)
Ann. S td. Dev.
1 ye ar
Ann. Std. Dev.
YTD
CORRELATION
% Pos.
Month
CHW-HF Composite
Index
S& P/TSX
S&P 500 TRI C$
MSCI World
Index (C$)
Constituent Funds :
Arro w Can adian Income Fund
Arro w Act II New Media Fund A
Arro w Enhan ced Income Fund
Arro w Glob al Long/Short Fund
Arro w High Yield Fu nd
Arro w JC Clark Oppo rtunities Fun d
Arro w PMC Global Long /Short Fund
Arro w U.S. Eq uity Income Fun d Class
CI Glo bal Op portu nities Fu nd
Dynamic Alpha Performance Fund
Dynamic C ontrarian Fund
Dynamic In co me Opportunities Fund
Dynamic Po wer Emerging M arkets Fu nd
Dynamic Po wer Hedge Fund Series C
Fro nt Stre et Can adia n Hed ge Fu nd
Goo dwood Fund
Hillsd ale Canad ian L/S Equity Fund Class A
Hillsdale Global L/S Equity Fu nd Class A U$
No rthern Rivers Global Energ y Fund L P
No rthern Rivers Inn ova tion RSP Fund
Picto n Maho ney Global Market Net ural Equ
Picto n Maho ney Long Sho rt Equity Fu nd
Picto n Maho ney Market N eutral Eq uity Fund A
Sprott Bull/ Bear R SP Fun d
Sprott He dge Fund L. P.
Sprott He dge Fund L.P. II
Sprott Opportunitie s H edge Fund
Sprott Opportunitie s R SP Fun d
The Friedberg Curren cy Fund
Vertex Fun d
ON E Financial M SCI He dge Invest Inde x N ts S2
ON E PLI G7 Glo bal Index Note Series 1
ON E PLI G7 Glo bal Index Note Series 2
ON E PLI Gold Note Se ries 1
ON E PLI Gold Note Se ries 2
ON E PLIC C anadian D ividend N ote Series 1
ON E PLIC Global Dividen d Note Series 1
I A Multi-Strate gy
Arrow Fo cus Fund C lass A2
Arrow Fo cus Fund C lass U2
Arrow Multi-Stra tegy Fun d
Arrow Multi-Stra tegy Fun d U$
Arrow Fo cus Fund C lass F2
Arrow Fo cus Fund C lass G2
Arrow Multi-Stra tegy Fun d Class F
Arrow Multi-Stra tegy Fun d Class G U $ Class F
Disclaimer
Canadian Hedge Watch calculates and publishes the CHW-HF Indices at its own expense and it is prepared solely as an information service to financial market participants. The index is published on a best-efforts basis. Canadian Hedge Watch
and its affiliates and subsidiaries do not recommend, express any opinion or accept any liability regarding the constituent hedge funds or their respective securities by virtue of their inclusion in the CHW-HF Indices. Performance and capital
data used to construct the CHW-HF Indices is provided by the constituent funds on a voluntary basis and has not been reviewed, audited or in independently verified in any way by Canadian Hedge Watch.
The index is based on data believed to be reliable. No guarantee is made as to the accuracy, timeliness, or completeness of the data used in the index. Neither Canadian Hedge Watch, nor its affiliates, accept liability whatsoever for any loss
arising from any use of this report or its contents. In the event a data input to a published index calculation is subsequently believed to be in error, we may at our sole discretion declare the data error to be immaterial to the published index
value, and are under no obligation to re-calculate an already published index value. Index construction rules, guidelines, and practices may be changed at any time at our sole discretion, though we will endeavor to provide reasonable advance
notice of such changes, including termination of the index. The information included herein is not intended for use by retail clients.
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13
7
ISSU E
TING
AUG UST
MONT
>>>>>>
>>>>>>
>>>>>
>>>>>>
>>>>>>
ESSENTIAL S
>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
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QUESTION
>>>>>>
>>>>>>
>>>>>>
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>>>
>>>>>>
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>>>>>>
>>>
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ES
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>>>>>>
>>>
>>>>>>
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MONT
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LT E R
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VOL UME
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ISSU E
11
L
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a Fa e
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NiaW
or ld t Su
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th
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N AT I V
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