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2005 04 - ONE Class B - Euro dollar - Monthly comment - BB

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ONE MULTI-STRATEGY FUND LIMITED – Class BApril 2005 Monthly CommentsDue to a decline in the majority of world equity markets as well as a continuing crisis in convertible securities, hedge funds experienced more disappointing results during April. While the HFRI Fund of Fund Diversified Index lost 1.59%, One Multi Strategy fund endured a -0.99% for the Euro class and -0.93% for the Dollar class. The S&P 500 lost 1.89% and the 10-year Treasury yields fell from 4.64% in March down to 4.21% in April. The largest negative contributor was long short equity. Strategy Allocation for April 2005ConvertibleCashFixed arbitrage0.24%Inco me2.53%CTA Arbitrage12.51% 2.47%L/S Equity18.43%Options Arbitrage19.57%Distressed/HighFund of Yi e ldFunds / Multi- 20.06%Strategy24.19%Class B – USD - ISIN code: KYG6751G1394 Class B– Euro – ISIN code: KYG6751G1212Monthly Net Returns (%) - EURO Class B Monthly Net Returns (%) - USD Class B2000 2001 2002 2003 2004 20052000 2001 2002 2003 2004 2005Jan 1.38 1.72 0.88 0.64 0.49 (0.38)Jan1.551.720.780.680.40(0.36)Feb 4.57 2.80 0.30 0.34 0.11 1.05Feb4.742.800.0.310.11.12Mar 1.48 1.17 0.41 (0.17) 0.42 0.01Mar 1.64 1.17 0.26 (0.26) 0.24 0.03Apr 2.31 0.28 0.51 1.01 (1.10) (0.99)Apr 2.48 0.80 0.50 0.96 (1.39) (0.93)May 0.86 0.92 0.56 1.29 (0.82) May 0.69 0.94 0.52 1.15 (0.89) Jun 1.20 0.42 (0.45) 0.18 0.32 Jun 1.03 0.06 (0.55) 0.20 0.38 Jul 0.52 (0.03) (0.50) (0.63) (0.57) Jul 0.35 0.05 (0.32) (0.56) (0.42) Aug 1.49 0.87 0 ...
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L/S Equity
18.43%
Convertible
arbitrage
2.53%
Fixed
Income
Arbitrage
2.47%
Cash
0.24%
CTA
12.51%
Options Arbitrage
19.57%
Fund of
Funds / Multi-
Strategy
24.19%
Distressed/High
Yield
20.06%
ONE
MULTI-STRATEGY FUND LIMITED – Class B
www.onemsf.com
E-mail: info@onemsf.com
Strategy Allocation for April 2005
Minimum Investment:
$/€ 500,000
Subscriptions:
Monthly
Redemptions:
Monthly
Management fee:
1.25% annually
Performance fee:
5% per annum
Investment Manager:
One Capital Management Limited
Administrator:
Circle Partners
Custodian:
Bank of Bermuda Limited
Auditor:
PricewaterhouseCoopers (Cayman).
Counsel:
Truman Bodden & Company
Terms and Structure
April 2005 Monthly Comments
Class B – USD - ISIN code: KYG6751G1394
April NAV : $164.96
Class B– Euro – ISIN code: KYG6751G1212
April NAV : €167.15
2000
2001
2002
2003
2004
2005
Jan
1.38
1.72
0.88
0.64
0.49
(0.38)
Feb
4.57
2.80
0.30
0.34
0.11
1.05
Mar
1.48
1.17
0.41
(0.17)
0.42
0.01
Apr
2.31
0.28
0.51
1.01
(1.10)
(0.99)
May
0.69
0.94
0.52
1.15
(0.89)
Jun
1.03
0.06
(0.55)
0.20
0.38
Jul
0.35
0.05
(0.32)
(0.56)
(0.42)
Aug
1.33
0.68
0.73
(1.96)
0.41
Sep
2.06
(1.01)
(2.23)
1.29
0.05
Oct
0.54
0.60
(0.18)
0.78
0.69
Nov
1.41
0.54
0.85
0.51
2.16
Dec
1.71
0.94
0.33
0.35
1.42
YTD
20.50
9.08
1.22
3.59
3.74
(0.31)
Monthly Net Returns (%) - EURO Class B
2000
2001
2002
2003
2004
2005
J
a
n
1
.
5
5
1
.
7
2
0
.
7
8
0
.
6
8
0
.
4
0
(
0
.
3
6
)
F
e
b
4
.
7
4
2
.
8
0
0
.
0
8
0
.
3
1
0
.
0
1
1
.
1
2
Mar
1.64
1.17
0.26
(0.26)
0.24
0.03
Apr
2.48
0.80
0.50
0.96
(1.39)
(0.93)
May
0.86
0.92
0.56
1.29
(0.82)
Jun
1.20
0.42
(0.45)
0.18
0.32
Jul
0.52
(0.03)
(0.50)
(0.63)
(0.57)
Aug
1.49
0.87
0.61
(1.97)
0.42
Sep
2.23
(0.62)
(2.80)
1.07
0.02
Oct
0.71
0.55
(0.25)
0.86
0.72
N
o
v
1
.
5
8
0
.
4
7
0
.
9
3
0
.
5
1
2
.
3
4
D
e
c
1
.
8
8
0
.
8
4
0
.
2
2
0
.
6
1
1
.
5
0
YTD
22.92
10.33
(0.12)
3.62
3.18
(0.16)
Monthly Net Returns (%) - USD Class B
Due to a decline in the majority of world equity markets as well as a continuing crisis in convertible
securities, hedge funds experienced more disappointing results during April. While the HFRI Fund of
Fund Diversified Index lost 1.59%, One Multi Strategy fund endured a -0.99% for the Euro class and
-0.93% for the Dollar class. The S&P 500 lost 1.89% and the 10-year Treasury yields fell from 4.64% in
March down to 4.21% in April. The largest negative contributor was long short equity.
ONE
MULTI-STRATEGY FUND LIMITED – Class B
www.onemsf.com
E-mail: info@onemsf.com
Convertible Arbitrage
April was named the worst month in many years for convertible arbitrage strategies. The negative
performance was driven by the same forces: low equity volatility, quiet new issue calendar, widening
spreads and, last but not least, a large amount of securities being liquidated in a very illiquid market to
meet noticed investor redemptions. The Trading Advisor is finding attractive names trading below fair
value; however will not add new positions to the portfolio in this sell-off environment.
Long/Short Equities
Inflation fears created significant negative sentiment in investor minds and was a leading cause of the
down month in the equities market. Other news such us poor earnings reports in technology companies
increased the doubts for a market rebound. Month end, the portfolio was 87% net long (delta & beta
adjusted).
Fund of Funds
Led by its two largest strategy sectors, relative value multi-strategy and equity long short, the fund had
a difficult month in April. The loss can be generally traced to the negative equity markets in which the
S&P 500 (dividends reinvested) returned -1.9%. Most of the strategies employed by the fund lost
money during the month.
Options Arbitrage
During April, the portfolio remained in short term Treasuries.
CTA
Currency and fixed income sectors returned sufficient positive results to overcome losses in the energy
sector. The manager doesn’t have enough information yet to tell if trends are starting in certain sectors
or if they remain trendless.
Multi Strategy
All strategies contributed to the portfolio loss except media/entertainment which delivered a small
profit. Event arbitrage and multi-strategy (energy) produced the largest negative results for the
portfolio. The multi-sector portfolio exposure was trimmed substantially during the month to limit its
losses.
Distressed / High Yield Trading
Owing to the use of distressed names with low correlation to the regular debt markets, the fund was able
to deliver another positive month, even outperforming both the Bear Stearns High Yield index and the
HFR Distressed Index (MTD -1.261% & -1.442% respectively).