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

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Description

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 ...

Informations

• Publié par: Vofeg
• Nombre de lectures: 7
• Langue: English

Extrait

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: [e-mail]

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: [e-mail]

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).