2005 06 - ONE Class B - Euro dollar - Monthly comment - BB

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ONE MULTI-STRATEGY FUND LIMITED – Class BJune 2005 Monthly CommentsOne Multi Strategy had a strong month in June. The Dollar class was up 1.60% and the Euro class was up 1.52%. The leading contributors to the performance were long short equity and distressed high yield trading. An overall recovery may be underway; stocks and corporate bonds rallied and fear is near its lowest point; as measured by the VIX, volatility was at 12.04%. On June 30 2005, the Fed raised the federal funds rate to 3.25% and equity markets closed the month flat (the S&P 500 is 0.14% MTD and -0.81% YTD). Hedge funds had a generally decent month; the S&P hedge fund index was up 0.90%. Strategy Allocation for June 2005Cash ConvertibleFixed 0.00% arbitrageIncome2.34%ArbitrageCTA2.33%11.83%L/S Equity17.32%Options Arbitrage18.65%Distressed/HighFund of Yi e ldFunds / Multi- 18.96%Strategy28.58%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) 0.81 May 0.69 0.94 0.52 1.15 (0.89) 0.81Jun 1.20 0.42 (0.45) 0.18 0.32 1.60 Jun 1 ...

Informations

• Publié par: Mithir
• Nombre de lectures: 14
• Langue: English

Extrait

ONE

MULTI-STRATEGY FUND LIMITED – Class B

www.onemsf.com

E-mail: [e-mail]

Strategy Allocation for June 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

June 2005 Monthly Comments

Class B – USD - ISIN code: KYG6751G1394

June NAV : $168.95

Class B– Euro – ISIN code: KYG6751G1212

June NAV : €171.07

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)

0.81

Jun

1.03

0.06

(0.55)

0.20

0.38

1.52

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

2.02

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)

0.81

Jun

1.20

0.42

(0.45)

0.18

0.32

1.60

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

2.26

Monthly Net Returns (%) - USD Class B

L/S Equity

17.32%

Convertible

arbitrage

2.34%

Fixed

Income

Arbitrage

2.33%

Cash

0.00%

CTA

11.83%

Options Arbitrage

18.65%

Fund of

Funds / Multi-

Strategy

28.58%

Distressed/High

Yield

18.96%

One Multi Strategy had a strong month in June. The Dollar class was up 1.60% and the Euro class was

up 1.52%. The leading contributors to the performance were long short equity and distressed high yield

trading.

An overall recovery may be underway; stocks and corporate bonds rallied and fear is near its

lowest point; as measured by the VIX, volatility was at 12.04%. On June 30 2005, the Fed raised the

federal funds rate to 3.25% and equity markets closed the month flat (the S&P 500 is 0.14% MTD and -

0.81% YTD). Hedge funds had a generally decent month; the S&P hedge fund index was up 0.90%.

ONE

MULTI-STRATEGY FUND LIMITED – Class B

www.onemsf.com

E-mail: [e-mail]

Convertible Arbitrage

Although the YTD performances are still on the negative side, convertible bonds are regaining value

and new issues are growing in number. However, two factors are working against the strategy: a slow

forward calendar and continuing low equity volatility.

Long/Short Equities

The Trading Advisor’s positive market outlook remains the same. A steadily growing economy, a

friendly Fed, tame inflation, higher dividends paid and increased cash on companies’ balance sheets, all

point to a low downside risk.

Fund of Funds

The month was exceptionally strong led by the equity long short, relative value and multi-strategy

returns. Although new funds continue to be added to the portfolio, increased allocations are also being

made to existing funds that show the strongest performance profiles.

Options Arbitrage

The manager exited the strategy June 27 2005, and the portfolio continued to be invested in T-bills.

CTA

June was a strong month for the strategy. The US Dollar positions led the performance among the

strategy as the Euro and Yen continued losing strength versus the Dollar. The fixed income strategy

returned positive results owing to a flattening of the yield curve.

Multi Strategy

The multi-sector arbitrage (formerly event arbitrage) book delivered the largest positive contribution

(gross), while the energy book has made the largest negative contribution (gross) in June.

The results of

the other books were close to flat.

Leverage is non-existent at 0.7 to 1.

Distressed / High Yield Trading

The equity part of the portfolio that focuses on post reorganization events led the performance of the

strategy.