InvestHedge has published the list of award-winners at its New York awards ceremony earlier this month, attended by 450 of luminaries in the funds of funds industry.
The winner of the InvestHedge Fund of the Year award was the Lighthouse Diversified fund managed by Dana Hall. This fund made a return of over 7.53% last year, and boasted a Sharpe Ratio of 2.70. Lighthouse’s other fund, the Lighthouse SuperCash fund, won in the category for specialist fund of funds.
Other big winners on the evening included the team at The Blackstone Group, who won the prize for the Institutional Management Group of the Year for their ability over the year to attract institutional investments.
The award for Group of the Year went to RMF Investment Group, which had an annual return in 2002 of 5% across 14 funds and a diverse range of strategies from long/short equity to macro.
The complete list of winners by category:
ARBITRAGE: Gottex Market NeutralGLOBAL MACRO: GAM TradingGLOBAL MULTI-STRATEGY: Absolute Alpha OpportunisticEUROPEAN EQUITY: Richcourt Euro StrategiesUS EQUITY: Silver Creek Long/ShortTECHNOLOGY: JPMorgan New CenturySPECIALIST: Lighthouse SuperCashGLOBAL EQUITY: PointerGROUP OF THE YEAR: RMF Investment GroupINSTITUTIONAL FIRM OF THE YEAR: The Blackstone GroupPRODUCT OF THE YEAR: Morgan Stanley AIP and UBS PaineWebberNEW FUND OF THE YEAR: Solid RockFUND OF THE YEAR: Lighthouse Diversified
The awards ceremony, which was held in the New York Public Library in Manhattan, aimed to recognize outstanding performance for funds of hedge funds based primarily on the Sharpe Ratio – a measure of returns above the risk-free rate divided by standard deviation. The Sharpe Ratio was used to select the winners in each of the main categories; thereafter, the fund with the best return won – providing its Sharpe Ratio was within 25% of the fund with the best Sharpe Ratio in the category. Prizes ultimately went to funds that displayed the best mix of risk adjusted returns and outright returns throughout the year.
The reason for the two-tiered Sharpe Ratio and return as the deciding criteria is that it is designed to reflect what investors are looking for – strong risk adjusted returns, but ultimately strong returns. This method should have avoided a situation where a fund with a slightly lower Sharpe Ratio, but higher returns, was beaten by a fund with very low returns but with a very high Sharpe Ratio.
For a number of categories – such as Fund of the Year and Group of the Year – the Sharpe Ratio alone is not an appropriate screen. In these categories, we have used other quantitative measures such as the alpha generated relative to the underlying market that a fund was operating in.
To qualify funds must provide their data to InvestHedge, which has a fund of funds database