2003 12 - ONE DOLLAR Class A- Euro dollar - Monthly comment - BB

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ONE MULTI-STRATEGY FUND LIMITED – Class ADecember 2003 Monthly CommentsFor the month, the U.S. equity markets were positive with the S&P 500 rallying 5.08% and the Nasdaq up 2.20%. The equity volatility index (VIX) has fallen to levels not seen since 1996 while actual volatility has also collapsed trading at 11%. In the bond market, the 10-year Treasury note continues to trade in a narrowrange bounded by 4.18% on the low side and 4.40% on the upside. Hedge funds returns were moderate during the month. ONE Multi-Strategy had a solid month regardless of the market conditions, its performance led by distressed debt and multi-strategies investments.stStrategy Allocation for January 1 2004Derivative and Capital Cash Structure Equity L/S 27% 12% 16%Deep value and Multi Strategy Distressed13% 14%Macro Convertible arbitrageDebt L/S 2%13%3%Class A – USD - ISIN code: KYG6751G1055 Class A – Euro – ISIN code: KY6751G1139Monthly Net Returns (%) - USD Class A Monthly Net Returns (%) - EURO Class A 2000 2001 2002 2003 2000 2001 2002 2003Jan 1.68 1.85 0.66 0.79 Jan 1.51 1.72 0.94 0.79Feb 5.04 2.99 0.19 0.43 Feb 4.88 2.80 0.44 0.45Mar 1.77 1.28 0.30 (0.21) Mar 1.61 1.17 0.64 (0.08)Apr 2.65 0.88 0.60 1.13 Apr 2.49 0.43 0.63 1.15May 0.95 1.42 0.52 0.98 May 0.78 1.02 0.57 1.38Jun 1.31 0.69 (0.44) 0.26 Jun 1.14 0.27 (0.42) 0.27Jul 0.58 0.41 (0.48) (0.57) Jul 0.42 0.19 (0.47) (0.51)Aug 1.62 1.11 0.72 (1.89) Aug 1.45 0.83 0.84 (2.02)Sep 2.39 0.13 (2.82) 1.11 Sep ...

Informations

• Publié par: Mocher
• Nombre de lectures: 15
• Langue: English

Extrait

ONE

MULTI-STRATEGY FUND LIMITED – Class A

www.onemsf.com

E-mail: [e-mail]

Strategy Allocation for January 1

st

2004

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:

BDO Simpson Xavier Fund

Administration Services

Custodian:

Bank of Bermuda limited

Auditor:

Price WaterHouse Coopers Cayman

Islands.

Counsel:

Truman Bodden & Company

Terms and Structure

December 2003 Monthly Comments

For the month, the U.S. equity markets were positive with the S&P 500 rallying 5.08% and the Nasdaq up

2.20%. The equity volatility index (VIX) has fallen to levels not seen since 1996 while actual volatility has

also collapsed trading at 11%. In the bond market, the 10-year Treasury note continues to trade in a narrow

range bounded by 4.18% on the low side and 4.40% on the upside.

Hedge funds returns were moderate during the month. ONE Multi-Strategy had a solid month regardless of

the market conditions, its performance led by distressed debt and multi-strategies investments.

Class A – USD - ISIN code: KYG6751G1055

2000

2001

2002

2003

Jan

1.68

1.85

0.66

0.79

Feb

5.04

2.99

0.19

0.43

M ar

1.77

1.28

0.30

(0.21)

Apr

2.65

0.88

0.60

1.13

M ay

0.95

1.42

0.52

0.98

Jun

1.31

0.69

(0.44)

0.26

Jul

0.58

0.41

(0.48)

(0.57)

Aug

1.62

1.11

0.72

(1.89)

Sep

2.39

0.13

(2.82)

1.11

Oct

7.90

0.70

(0.18)

0.88

N

o

v

1

.

7

1

0

.

5

5

0

.

9

4

0

.

7

3

Dec

2.02

0.85

0.26

0.63

YTD

33.70

13.61

0.21

4.31

Monthly Net Returns (%) - USD Class A

December NAV : $158.11

Class A – Euro – ISIN code: KY6751G1139

2000

2001

2002

2003

Jan

1.51

1.72

0.94

0.79

Feb

4.88

2.80

0.44

0.45

Mar

1.61

1.17

0.64

(0.08)

Apr

2.49

0.43

0.63

1.15

May

0.78

1.02

0.57

1.38

Jun

1.14

0.27

(0.42)

0.27

Jul

0.42

0.19

(0.47)

(0.51)

Aug

1.45

0.83

0.84

(2.02)

Sep

2.22

(0.99)

(2.41)

1.79

Oct

0.62

0.71

(0.01)

0.82

Nov

1.54

0.56

1.01

0.72

Dec

1.85

1.08

0.51

0.50

YTD

22.46

10.19

2.24

5.33

Monthly Net Returns (%) - EURO Class A

December NAV : €168.12

Cash

27%

Macro

2%

Convertible arbitrage

13%

Debt L/S

3%

Multi Strategy

13%

Derivative and Capital

Structure

12%

Equity L/S

16%

Deep value and

Distressed

14%

ONE

MULTI-STRATEGY FUND LIMITED – Class A

Convertible Arbitrage (2 funds)

In December the market was quiet as we approached the holidays. The portfolios are more equity-sensitive than in the

previous month.. El Paso, Calpine, and Reliant Resources were big contributors to the month’s return.

Also GM aided

the return through volatility richening. The manager has a positive outlook for the first quarter 2004

Market Neutral

Market volatility continues to be very low. There is little change from last month---low volatility means fewer

opportunities at the moment for the lead strategy.

Short index and individual equity straddles are being developed in

the portfolio to build earnings.

High Yield Arbitrage (2 Funds)

The manager continues to be aggressively defensive in positioning the portfolios. He is not chasing the market and

remains positioned for a sell off in the High Yield market.

Both long and short positions produced positive results for the month with the long side being the dominant

contributor.

Fund holdings were deployed 85% net long with an average long side credit rating of B--.

The manager

has been reducing positions susceptible to interest rate increase damage and increasing positions benefiting from the

credit rating agency upgrade cycle

Commodity Trading + Fund of Funds

The ultimate fund manager, Tewksbury Capital Management, allocates two-thirds of the capital to its in-house

developed trading strategies which rely on quantitative techniques and judgement.

One-third of the capital is allocated

to about 40 outside, contracted submanagers who follow a variety of strategies, largely relative value.

Long/Short Equities--GARP

The fund returned an estimated 1.58%, net to investors, in November, resulting in a YTD estimated return of 20.15%.

The manager expects the fund to enjoy a strong 4Q03 buoyed in part by a rising market and in part by the value

investments made.

The corporate services and gaming sectors have been outsize profit contributors during the quarter.

Shorts in the retail drug and consumer services sectors have assisted on the short side.

Auto parts and pharmaceuticals

sectors are targeted sectors for the fund.

Over all, the manager is cautious at this time, using no leverage in the

portfolio.

Fund of Funds

At the beginning of the month, the manager increased the fund's investment to the Ameranth Fund by $5 million to $15

million total.

Volatility arbitrage, global macro, and systematic trading continue to hold the largest capital

allocations. The current cash allocation will be drawn down substantially by planned investments of $34 million at

01Jan04. Performance for the month, while modest (the final return estimate may be slightly higher than

the preliminary estimate), was led by long/short international equity and event driven strategies.

Options Arbitrage

On December 8

th

, the manager began reentering the program, investing approximately 22% of the portfolio He exited

from program on December 19 and stayed in cash invested in T-Bills.