2005 01 - ONE Class A - Euro dollar - Monthly comment - BB

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Description

ONE MULTI-STRATEGY FUND LIMITED – Class AJanuary 2005 Monthly CommentsIn January, both the Dollar share class and the Euro shares class were down (0.30%) and (0.27%) respectively. January was a positive month for oil prices but unfortunately bad for equities as the S&P 500 lost 2.43%. Volatility (as measured by the VIX) moved up slightly from its 2004 lows but closed the month at 12.82% and the 10-year note ended the month at 4.14%. Leading strategies for January 2005 were distressed/high yield trading followed by multi-strategy. Strategy Allocation for January 2005Convertiblearbitrage Fixed Cash2.73% Income2.09%CTA Arbitrage13.65% 2.61%L/S Equity15.99%Options Arbitrage17.91%HighFund of Yi e l dFunds / Multi- 22.58%Strategy22.44%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 2004 2005 2000 2001 2002 2003 2004 2005Jan1.681.850.660.790.40(0.3) Jan 1.51 1.72 0.94 0.79 0.56 (0.27)Feb5.042.990.190.430.9 Feb 4.88 2.80 0.44 0.45 0.19 Mar 1.77 1.28 0.30 (0.21) 0.33 Mar 1.61 1.17 0.64 (0.08) 0.53 Apr 2.65 0.88 0.60 1.13 (1.26) Apr 2.49 0.43 0.63 1.15 (1.09) May 0.95 1.42 0.52 0.98 (0.79) May 0.78 1.02 0.57 1.38 (0.79) Jun 1.31 0.69 (0.44) 0.26 0.36 Jun 1.14 0.27 (0.42) 0.27 0.44 Jul 0.58 0.41 (0.48) (0.57) (0.51) Jul 0.42 0.19 (0.47) (0.51) (0.19) Aug 1.62 1.11 0.72 (1.89) 0.48 Aug 1.45 0.83 0.84 (2.02) 0.50 Sep 2.39 0 ...

Informations

• Publié par: Irgu
• Nombre de lectures: 13
• Langue: English

Extrait

L/S Equity

15.99%

Convertible

arbitrage

2.73%

Fixed

Income

Arbitrage

2.61%

Cash

2.09%

CTA

13.65%

Options Arbitrage

17.91%

Fund of

Funds / Multi-

Strategy

22.44%

High

Yield

22.58%

ONE

MULTI-STRATEGY FUND LIMITED – Class A

www.onemsf.com

E-mail: [e-mail]

Strategy Allocation for January 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

January 2005 Monthly Comments

Class A – USD - ISIN code: KYG6751G1055

January NAV : $163.56

Class A – Euro – ISIN code: KY6751G1139

January NAV : €175.53

2000

2001

2002

2003

2004

2005

J

a

n

1

.

6

8

1

.

8

5

0

.

6

6

0

.

7

9

0

.

4

0

(

0

.

3

0

)

F

e

b

5

.

0

4

2

.

9

9

0

.

1

9

0

.

4

3

0

.

0

9

Mar

1.77

1.28

0.30

(0.21)

0.33

Apr

2.65

0.88

0.60

1.13

(1.26)

May

0.95

1.42

0.52

0.98

(0.79)

Jun

1.31

0.69

(0.44)

0.26

0.36

Jul

0.58

0.41

(0.48)

(0.57)

(0.51)

Aug

1.62

1.11

0.72

(1.89)

0.48

Sep

2.39

0.13

(2.82)

1.11

0.08

Oct

7.90

0.70

(0.18)

0.88

0.79

N

o

v

1

.

7

1

0

.

5

5

0

.

9

4

0

.

7

3

2

.

3

9

D

e

c

2

.

0

2

0

.

8

5

0

.

2

6

0

.

6

3

1

.

6

4

YTD

33.70

13.61

0.21

4.31

4.02

(0.30)

Monthly Net Returns (%) - USD Class A

2000

2001

2002

2003

2004

2005

Jan

1.51

1.72

0.94

0.79

0.56

(0.27)

Feb

4.88

2.80

0.44

0.45

0.19

Mar

1.61

1.17

0.64

(0.08)

0.53

Apr

2.49

0.43

0.63

1.15

(1.09)

May

0.78

1.02

0.57

1.38

(0.79)

Jun

1.14

0.27

(0.42)

0.27

0.44

Jul

0.42

0.19

(0.47)

(0.51)

(0.19)

Aug

1.45

0.83

0.84

(2.02)

0.50

Sep

2.22

(0.99)

(2.41)

1.79

0.11

Oct

0.62

0.71

(0.01)

0.82

0.75

Nov

1.54

0.56

1.01

0.72

2.32

Dec

1.85

1.08

0.51

0.50

1.59

YTD

22.46

10.19

2.24

5.33

4.98

(0.27)

Monthly Net Returns (%) - EURO Class A

In January, both the Dollar share class and the Euro shares class were down (0.30%) and (0.27%)

respectively. January was a positive month for oil prices but unfortunately bad for equities as the S&P

500 lost 2.43%. Volatility (as measured by the VIX) moved up slightly from its 2004 lows but closed

the month at 12.82% and the 10-year note ended the month at 4.14%.

Leading strategies for January

2005 were distressed/high yield trading followed by multi-strategy.

ONE

MULTI-STRATEGY FUND LIMITED – Class A

www.onemsf.com

E-mail: [e-mail]

Convertible Arbitrage

January was another challenging month for the convertible arbitrage strategies. The new issue calendar

was generally weak with signs of activity only in the smaller issues. Credit spreads widened a bit in

investment grade names and specific sectors. On the positive side, the manager was able to offset some of

the losses by actively gamma trading.

Long/Short Equities

In January the equity markets took a big hit as the S&P 500 returned a negative 2.43%. The fund

performance reflects the fall in the large cap and mid cap indices and the manager was busy reducing the

long bias by selling covered calls on portfolio positions. The largest sector exposure was to

communications and consumer stocks.

Fund of Funds

In January, the fund returned a small positive result. This return is evidence that the 31 component funds

in the fund of funds portfolio are little correlated. The fund was also negatively impacted by the

drawdown in CTA’s. Investor capital in the fund continues to increase, driven by earnings and a few

infusions.

Options Arbitrage

On January 20th, the manager stated deploying the portfolio into the strategy and remained deployed

through month-end.

High Yield Securities

January proved to be a difficult month for most capital markets. However, the fund held up reasonably

well producing gains on both the long and short side. Spread widening in the high yield market was more

an issue in specific sectors, creating a few more interesting opportunities. Going forward, the manager

believes that the greatest opportunities exist in capital structure arbitrage.

CTA

Surprisingly, the US Dollar rallied in the first week of January, producing negative returns for most

systematic trend-followers in the Currency sector. However, fixed income instruments and energy

holdings positively impacted the portfolio. Still the constant reversal in the market placed trend following

systems at an earnings disadvantage for the month.

Multi Strategy

In January, the multi sector (energy book) outperformed all other strategies in the portfolio. The manager

has changed the allocation of trade rules between the two funds managed and has increased the allocation

of capital to the event driven, energy and healthcare/biotech strategies.

Distressed / High Yield Trading

At month-end, the portfolio reached full deployment. The Trading advisor was able to add short positions

to the portfolio. The largest exposures were to basic materials and communications sectors.