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Multi-strategy masters: the best performer vs. biggest player

Citywire Investment Research takes a look at how two of the most well-known names compare.

Making moves in multi-strategy

The Alternative Ucits – Multi Strategy sector has gained traction with investors in recent years as they look for a more diverse portfolio benefitting from sophisticated strategies. Especially those able to generate returns when the search for alpha in traditional assets is proving hard.

Of late, managers active in the sector have come under scrutiny for delivering poor returns at a high cost. Despite this worry, over the year to the end of May, net flows into the sector still remain in positive territory, with estimated net flows of €9.3 billion.

However, it’s worth noting that the majority of these flows came from just three funds in the sector:

  • Deutsche Concept Kaldemorgen (€2.67 billion)
  • Invesco Global Targeted Returns (€2.5 billion)
  • Aviva Investors Multi-Strategy Target Return (€1.58 billion)

In this gallery we showcase the manager holding the sector’s majority market share and compare them with the top performers in absolute terms over the past three years.

Note: Performance based on funds in the Citywire database where a minimum of one fund manager has been named by the company. Those with undisclosed managers are not included.

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Klaus Kaldemorgen, Deutsche AM

  • Three-year maximum drawdown (%) = -6.81
  • Three-year standard deviation (%) = 8.55

Deutsche Asset Management veteran Klaus Kaldemorgen dominates the Alternative Ucits – Multi Strategy sector with the largest market share, which stands at 15.45%. He has run the Deutsche Concept Kaldemorgen LC fund since its launch in May 2011.

His remit allows him to invest in different markets and instruments depending on the economic cycle. In May, his net cash position increased from 21.4% in April to 29.3%. Meanwhile, his largest individual holdings in the fund are gold bullion securities, which made up 4.7% of his portfolio, and an Italy B.T.P with maturity in 2020, which was a 4.5% exposure. His top position within equities is in the healthcare sector and IT, 8% and 6%. Within bonds his main country allocations were in the US and Italy, with 6.7% and 6.3% invested, respectively.

At the end of May, the best performers in his portfolio came from the equity component with +1% return, which included the performance of his equity derivatives. The bond component also fared well, with corporate bond exposure gaining +0.07% in local currency. However his overall government bond exposure detracted from performance with a negative contribution.

For the three years to the end of May, Kaldemorgen returned 15.74%, which compares with the sector’s average manager, who returned 7.25%, in euro terms.

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Andy Headley & Charles Richardson, Veritas

  • Three-year maximum drawdown (%) = -7.44
  • Three-year standard deviation (%) = 5.38

Veritas Asset Management’s Andy Headley & Charles Richardson are the top performers in the Alternative Ucits – Multi Strategy sector over the last three years on an absolute return basis. They currently co-manage the Veritas Global Real Return EUR A fund, which aims to deliver real returns over the medium and longer term.

They invest across asset classes in both long and short positions and employ leverage of up to a maximum of 100% of net asset value. The fund currently has 29 long holdings and three short positions.

Headley and Richardson’s top two positions at the end of May were Comcast and Charter Communications, both of which are American telecommunications companies, which made up 6.6% and 6.4% respectively. Overall, their top long positions were within the healthcare sector (23.7%) and IT (19.8%).

Over the past three years, they have managed to keep drawdowns in the fund at a low level compared to some of their peers, dropping -7.44%. The average drawdown in the sector for the three year period is -9.9%.

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Head-to-head

Pitting Kaldemorgen head to head with Headley and Richardson for their three year performance, its Headley and Richardson who come out on top for their absolute returns, which are more than double that of Kaldemorgen over the same period.

The co-managers have also achieved their returns with lower volatility than Kaldemorgen. However, looking at maximum drawdowns over this period, Kaldemorgen has pipped Headley and Richardson to the post, but only just.

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Related Fund Managers

Klaus Kaldemorgen
Klaus Kaldemorgen
12/64 in Alternative UCITS - Multi Strategy (Performance over 3 years) Average Total Return: 12.07%
Andy Headley
Andy Headley
2/64 in Alternative UCITS - Multi Strategy (Performance over 3 years) Average Total Return: 40.32%
Charles Richardson
Charles Richardson
1/64 in Alternative UCITS - Multi Strategy (Performance over 3 years) Average Total Return: 40.32%
Events
  • Citywire Alternative Ucits Retreat 2017

    Citywire Alternative Ucits Retreat 2017

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