2005 03 - ONE Class A - Euro dollar - Monthly comment - BB

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• Publié par: Ebbi
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• Langue: English

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ONE MULTI-STRATEGY FUND LIMITED – Class A
March 2005 Monthly Comments
Within a very difficult environment, ONE Multi Strategy Fund managed to stay positive. Both the Dollar share class
and the Euro share class were positive by 0.09% & 0.07% respectively. Month end, the S&P 500 returned a negative
(1.77%) and equity volatility measured by the VIX index has bounced back from 10 year lows to 14.02%. The 10-
year note yield closed the month at 4.50%, a 14 bps hike from last month. In contrast to February, March was a down
month for the hedge fund word returning a negative (0.84%) as measured by the S&P hedge fund index. The
component funds/strategies making the largest contributions to ONE’s performance were options arbitrage and multi-
strategies.
Strategy Allocation for March 2005
Convertible
Cash Fixed arbitrage
1.54% Inc o me2.39%
CTA Arbitrage
11.85% 2.33%
L/S Equity
16.78%
Options Arbitrage
17.87%
Distressed/High
Yi e ldFund of
Funds / Multi- 24.33%
Strategy
22.90%
Class A – Euro – ISIN code: KY6751G1139Class A – USD - ISIN code: KYG6751G1055
Monthly Net Returns (%) - EURO Class A
Monthly Net Returns (%) - USD Class A
2000 2001 2002 2003 2004 2005
2000 2001 2002 2003 2004 2005
Jan 1.51 1.72 0.94 0.79 0.56 (0.27)
Jan1.681.850.660.790.40(0.3)
Feb 4.88 2.80 0.44 0.45 0.19 1.15Feb5042990190430912
Mar 1.61 1.17 0.64 (0.08) 0.53 0.07Mar 1.77 1.28 0.30 (0.21) 0.33 0.09
Apr 2.49 0.43 0.63 1.15 (1.09) Apr2.650.880.601.13(1.26)
May 0.78 1.02 0.57 1.38 (0.79) May095142052098079
Jun 1.14 0.27 (0.42) 0.27 0.44 Jun 1.31 0.69 (0.44) 0.26.36
Jul 0.42 0.19 (0.47) (0.51) (0.19) Jul 0.58 0.41 (0.48) (0.57) (0.51)
Aug 1.45 0.83 0.84 (2.02) 0.50 Aug 1.62 1.11 0.72 (1.89) 0.48
Sep 2.22 (0.99) (2.41) 1.79 0.11 Sep 2.39 0.13 (2.82) 1.11 0.08
Oct 0.62 0.71 (0.01) 0.82 0.75 Oct 7.90 0.70 (0.18) 0.88 0.79
Nov1.710.550.940.732.39 Nov 1.54 0.56 1.01 0.72 2.32
Dec2020826063164 Dec 1.85 1.08 0.51 0.50 1.59
YTD 33.70 13.61 0.21 4.31 4.02 1.00 YT D 22.46 10.19 2.24 5.33 4.98 0.95
March NAV : $165.69 March NAV : €177.66
Terms and Structure
Minimum Investment: $/€ 500,000 Investment Manager: One Capital Management Limited
Subscriptions: Monthly Administrator: Circle Partners
Custodian: Bank of Bermuda LimitedRedemptions: Monthly
Auditor: PricewaterhouseCoopers (Cayman).Management fee: 1.25% annually
Counsel: Truman Bodden & CompanyPerformance fee: 5% per annum
www.onemsf.com
E-mail: [e-mail] MULTI-STRATEGY FUND LIMITED – Class A
Convertible Arbitrage
The Trading Advisor remained on the sidelines in a negative sentiment convertible bond marketplace,
where three out of the four components that drive returns up have been working against the strategy in
March: wider spreads, insignificant number of new issues, and rising rates. In the midst of all this, waves
of redemptions continue to hit convertible arbitrage funds forcing strategies to sell into an illiquid market.
Rising equity volatility enabled the Trading Advisor to gamma trade some, however not earning enough
to offset the month’s loss.
Long/Short Equities
While the S&P kept sinking to even lower levels in March, the fund experienced only a small loss owing
to superior stock picking, especially in the communications and retail sectors. Year to date, the fund
continues net positive. Looking ahead, the Trading Advisor continues its exposure to the energy sector
shifting to consumer non-cyclical securities.
Fund of Funds
The fund delivered a small positive return for the month and during a period of many cross current events.
The largest contributing style was relative value multi-strategy for March and year-to-date. The event
driven multi-strategy style made the second largest contribution as a group, equity long short was flat for
March. Global macro and managed futures programs were negative for March and year to date.
Options Arbitrage
The manager exited its program positions by March 15th 2005 and is now invested in short terms
Treasuries.
High Yield Securities
The negative GM news (possible downgrade to junk status) as well as rising oil prices and Treasury
yields, all resulted in a widening of spreads in March. Within this difficult environment, the manager
profited from the short book on both individual names and large index positions.
CTA
Continuing fast reversing events in the capital markets made it difficult for this systematic trend following
strategy to earn a meaningful return. Despite positive and negative swings during the month, the fund
returned a small positive in March. This contrasts with a large loss in January and a smaller loss in
February.
Multi Strategy
The fund continued delivering positive results into March albeit is a small amount. The fixed income
arbitrage strategy and the overwhelming contribution to the return this month. The multi sector (energy)
book, while still positive, contributed very little this months. The contribution of all the L/S equity
strategies was small and the event arbitrage book was slightly negative.
Distressed / High Yield Trading
Rising interest rates and higher spreads made the going slower for the portfolio. Owing to its exposure to
equity names in the communication and industrial sectors as well as its short book, the portfolio still
managed to deliver a positive return for the month. Note that the HFRI high yield index was down 0.33%
and HFRI distressed index was slightly positive by 0.12%.
www.onemsf.com
E-mail: [e-mail]