Alpha Investment Management, the fund-of-funds provider, announced today that its own Alpha Composite index – the funds it advises or has advised -returned 90.67 per cent between its launch in November 1995 till( and the last closing on 31 October2002, against 10.89 per cent for the MSCI AC World Index during the same period.
The Alpha Composite is made up of the globally diversified, multi-strategy funds of funds which Alpha serves or has served as investment adviser since November 1995. The Alpha Composite is indicative of the performance an investor in these funds of funds advised by Alpha Investment Management would have achieved over the last seven years.
The Composite is currently based on the asset-weighted performance of nine open funds of funds which are diversified among strategies and managers. The total assets of these funds of funds was approximately $ 1.24 billion at 31 October 2002.
Alpha claims it did particularly well in the difficult conditions of the last three years, returning 9.57 per cent against -44.23 per cent for the MSCI AC World Index between 1 January 2000 and 31 October 31 2002.
Such figures have to be treated with a degree of scepticism, since a careful selection of dates and indices can make performance look different. Between 31 December 1999 and 30 September 2002, for example, the Alpha Composite returned 17.51 per cent against -95.03 percent for the MSCI AC World Index. And what happened in the last quarter of 2002?
However, Alpha says that its performance was also achieved with well-controlled levels of volatility. Its annualised standard deviation over the last seven years is 6.24 percent, against 16.00 per cent for the MSCI World Index over the same period. During this time, the Composite’s maximum drawdown was -7.07 percent against -48.44 per cent for the MSCI AC World Index.
“We aim to preserve our clients’ wealth especially during periods of stock-market turmoil,” says Nigel Meir, Managing Director, Alpha Investment Management (UK). “Our conservative but consistent returns are based on that philosophy. The selection of each hedge fund manager and the allocation of assets among the strategies employed by Alpha’s funds of funds are based on our proprietary screening and portfolio-construction process. Managers are then closely is also monitored to ensure that stated trading and risk-management guidelines are rigorously and consistently applied. The performance of the Alpha Composite further demonstrates the value of hedge funds in producing consistent returns with controlled volatility.”