8/7/2019 symmetry hedge fund survey 2010-11 final

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SOUTH AFRICAN HEDGE FUND SURVEY

November 2010

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COMMENTS | November 2010

THE HEDGE FUNDS

For the 12 months ended 30 November 2010, the SYm|mETRY Hedge Fund Index returned +10.2%, Long Short Equity returned +12.2%,

Market Neutral +6.3%, Fixed Income +21.5%, Multi Strategy +13.3% and Trading +6.2%.

PARTICIPATION

It is our intention to attempt to increase the participation of existing managers into the survey. This to create a more representative survey

and hence a more reliable industry benchmark. Over the years the local hedge fund industry has been plagued by survivorship bias and we

would encourage more managers to join the survey as and when they meet with the surveys listing requirements. It is also the intention

in the future to look at making further content changes and we therefore ask that should you have any recommendations for this, that you

please send your suggestions to hedgefunds@symmetry.co.za.

Warnings and Disclaimer

SYm|mETRY Multi-Manager is a division of Old Mutual Life Assurance Company (South Africa) Limited. Registration number 1999/004643/06. Old Mutual Life Assurance Company (South Africa) Limited is alicensed nancial services provider, authorised in terms of the Financial Advisory and Intermediary Services Act 37 of 2002 to furnish advice and render intermediary services with regard to long term insuranceand pension fund benets as well as providing intermediary services as a discretionary investment manager.

SYm|mETRY Multi-manager has comprehensive crime and professional indemnity insurance, as part of the Old Mutual Group cover. For more detail, as well as for information on how to contract us and onhow to access information please visit www.symmetry.com

Hedge funds are dened as any fund, regardless of the funds legal structure, that holds a net short or net leveraged position. Managers of these funds are subject to higher t and proper standards andadditional disclosures are required to clients. The legal structure itself, depending on that structure, may not be subject to direct FSB oversight. The inclusion in the SYm|mETRY hedge fund survey of a funddoes not imply endorsement of that hedge fund by SYm|mETRY Multi-Manager or that SYm|mETRY Multi-Manager has checked that the manager is registered with the FSB. Potential investors are stronglyurged to conduct their own due diligence prior to investing. It is advisable to seek independent nancial, legal and other professional advice on these matters, as investments of this type are considered tobe speculative and may not be suitable for all investors. Investors should evaluate whether such investments are appropriate given their nancial position and current investments. Returns on these productsdepend on the performance of the underlying assets. Users should be aware that short term performance can be volatile and that past performance is not necessarily a good guide to future performance.

The information in this survey is for general guidance and does not constitute an offer made by SYm|mETRY Multi-Manager. This survey is for the use of Old Mutual and its clients only and may not be publishedexternally without permission rst being obtained from SYm|mETRY Multi-Manager. While great care and diligence has been taken in the compilation of the documentation, no representation or warranty,express or implied, is or will be given by SYm|mETRY Multi-Manager, OMLACSA or its directors, partners, employees or advisors or any other person to the accuracy or the completeness of the information inthe documentation or relating thereto. SYm|mETRY Multi-Manager or OMLACSA will not accept any liability for losses suffered as a result of inaccuracies.

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RETURNS | November 2010

sset Manager Fund Name

Start

DateFundStatus

MaxLeverage

FundSize(R'm)

Returns

1 Month 3 Months 6 Months 12 Months 3 Yrs p.a. 5 Yrs p.a. YTD

ONG-SHORT EQUITY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

6ONE Asset Management 36ONE Hedge Fund Apr-06 Open 2X 1,328 1.6% 5 6.8% 5 9.7% 7 19.1% 3 11.0% 4 13.2% 5

lpha Macro Fund Managers The Absolute Alpha Fund Nov-03 Open 1.5X 86 1.3% 7 16.1% 1 8.5% 10 7.7% 14 11.0% 5 18.3% 2 6.8% 15acci Trading Bacci Applause Growth Fund Dec-03 Open 1.5X 10 -0.2% 14 4.7% 11 7.8% 11 9.4% 12 4.7% 11 8.1% 12

reakwater Capital Impact Fund Feb-02 Open 2X 32 0.7% 9 5.9% 8 12.1% 4 13.5% 9 4.8% 10 6.3% 6 12.6% 7

atalyst Fund ManagerVariable Bias Equity Long Short

FundFeb-06 Open 7X 24 -0.6% 16 4.0% 13 8.8% 9 13.2% 10 9.6% 6 11.2% 9

oronation Fund Managers Presidio Fund Oct-05 Open 3X 104 0.0% 13 7.6% 4 12.5% 3 26.3% 2 15.1% 2 17.8% 3 23.2% 2

capital Nitrogen Hedge Fund Aug-06 Open 2.5X 252 2.3% 2 3.3% 14 6.1% 14 7.7% 13 11.4% 3 7.1% 14

vestec Asset Management Equity Hedge Fund Dec-07 Open 5X 22 2.9% 1 -1.7% 17 -6.3% 17 -9.6% 17 4.5% 12 -10.8% 17

eregrine Capital High Growth Fund Feb-04 Closed 5X 269 0.6% 10 5.7% 9 10.4% 6 18.8% 4 6.9% 9 21.1% 1 15.1% 3

eregrine Capital Oakmont Fund Jun-03 Closed 5X 1,763 0.1% 12 4.1% 12 6.9% 13 13.0% 11 3.7% 13 13.3% 5 10.6% 10

raesidium SA Hedge Fund Dec-03 Open 2X 38 0.4% 11 6.7% 6 9.6% 8 14.8% 8 -1.5% 14 15.4% 4 10.5% 11

MB Asset Management RMBAM Long Short Equity Fund Feb-06 Open 3X 12 -0.4% 15 0.1% 16 3.4% 16 4.9% 16 8.4% 7 4.8% 16

alient Quants SA Hedge Fund Aug-06 Open 3X 18 1.4% 6 8.8% 3 11.7% 5 16.8% 5 7.3% 8 12.6% 6

teyn Capital Management Long/Short Equity Fund May-09 Closed 2X 331 2.3% 3 6.3% 7 15.3% 2 30.7% 1 29.0% 1

Cap Solario Fund May-07 Open 4X 41 1.1% 8 5.1% 10 5.5% 15 7.7% 15 18.4% 1 7.2% 13

ower Capital Management Tower Fund Aug-09 Open 2X 12 2.1% 4 9.3% 2 17.3% 1 16.7% 6 14.0% 4

-Chequer Fund Management Long/Short Fund Jun-08 Open 3X 319 -0.7% 17 3.0% 15 6.9% 12 16.5% 7 12.3% 8

verage/Total 4,661 0.9% 17 5.6% 17 8.6% 17 13.4% 17 8.2% 14 15.4% 6 11.0% 17

edian 0.7% 5.7% 8.8% 13.5% 7.8% 16.6% 11.2%

est 2.9% 16.1% 17.3% 30.7% 18.4% 21.1% 29.0%

Worst -0.7% -1.7% -6.3% -9.6% -1.5% 6.3% -10.8%

ARKET NEUTRAL Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

llan Gray Optimal Oct-02 Open 2X 3,012 0.6% 4 0.8% 9 1.8% 12 5.2% 12 8.1% 12 8.4% 6 4.8% 12

lue Print Fund Managers Blue Print Hedge Fund Jul-07 Open 4X 256 -0.1% 13 3.3% 3 7.8% 1 11.7% 3 15.5% 3 9.5% 3

adiz Asset Management Emerald Market Neutral Fund Jan-08 Open 3X 50 -5.8% 17 -4.6% 17 -0.2% 17 1.8% 15 1.2% 15

AFM Arcis Fund Oct-06 Open 5X 203 0.8% 3 0.9% 8 3.6% 8 8.6% 6 10.3% 7 8.0% 5

oronation Fund Managers Multi-Strategy Arbitrage Fund Jul-03 Open 3X 556 0.6% 5 2.2% 5 6.4% 3 14.3% 1 14.4% 4 14.9% 1 13.9% 1

vestec Asset Management Active Quants Hedge Fund Sep-05 Open 3.3X 91 1.5% 1 3.7% 2 6.4% 4 6.5% 10 5.8% 14 11.0% 4 5.9% 9

hulalonda Asset Management Khulalonda Fund Jul-06 Open 3X 200 0.0% 11 -0.1% 11 4.0% 7 6.6% 9 15.8% 2 5.7% 10

azi Capital Mazi Visio Market Neutral Fund Nov-06 Open 4X 230 0.4% 8 3.7% 1 4.1% 6 10.9% 4 10.1% 9 7.7% 6

MIGSA Macro Strategyvestments

Macro Solutions Stable HedgeFund

Oct-05 Open 3X 57 1.0% 2 0.6% 10 2.9% 10 0.0% 17 7.3% 13 7.6% 7 0.2% 17

MIGSA Absolute Returnvestments

OM Volatility Arbitrage Fund Sep-05 Open 1.33X 1,256 0.4% 7 1.8% 6 3.3% 9 7.2% 8 8.6% 11 10.6% 5 6.3% 8

eregrine Capital Pure Hedge Fund Feb-04 Open 4X 183 0.4% 8 2.8% 4 6.7% 2 13.7% 2 9.0% 10 13.4% 2 11.5% 2

eregrine Fund Platform Big Rock Capital Fund Jan-99 Open 3.5X 673 -0.5% 15 -3.2% 16 0.2% 15 4.7% 13 13.0% 6 11.7% 3 3.1% 14

SG Absolute Investments Double Diamond Fund Sep-08 Open 3X 52 -1.4% 16 -1.3% 14 -0.1% 16 1.7% 16 0.6% 16

MB Asset ManagementRMBAM Market Neutral EquityFund

Aug-06 Open 3X 12 0.1% 10 -0.1% 12 1.7% 14 3.3% 14 10.1% 8 3.2% 13

anlam Investmentanagement

Gen-X Equity Market Neutral Fund May-07 Closed 3X 613 -0.4% 14 -0.3% 13 2.1% 11 7.9% 7 13.9% 5 6.9% 7

anlam Investmentanagement Gen-X Statistical Arbitrage Fund Jun-08 Open 3X 150 0.4% 6 -1.3% 15 1.7% 13 5.8% 11 5.3% 11

-Chequer Fund Management X-Chequer Market Neutral Fund Jun-06 Closed 3.5X 779 0.0% 11 1.7% 7 4.7% 5 10.0% 5 17.3% 1 8.3% 4

verage/Total 8,372 -0.1% 17 0.6% 17 3.4% 17 7.0% 17 11.4% 14 11.1% 7 6.0% 17

edian 0.4% 0.8% 3.3% 6.6% 10.2% 11.0% 5.9%

est 1.5% 3.7% 7.8% 14.3% 17.3% 14.9% 13.9%

Worst -5.8% -4.6% -0.2% 0.0% 5.8% 7.6% 0.2%

ARKET RETURNS Return Return Return Return Return Return Return

TSE/JSE All Share Index -0.4% 12.1% 13.1% 15.3% 2.8% 15.6% 12.0%

ll Bond Index 2.0% 3.8% 11.6% 18.9% 11.1% 8.8% 17.5%

TeFI (Cash) 0.5% 1.5% 3.3% 7.0% 9.3% 8.9% 6.4%

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RETURNS | November 2010

sset Manager Fund Name

Start

DateFundStatus

MaxLeverage

FundSize(R'm)

Returns

1 Month 3 Months 6 Months 12 Months 3 Yrs p.a. 5 Yrs p.a. YTD

XED INCOME Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

cumen Capital AcuityOne Hedge Fund Sep-09 Open 20X 81 -1.5% 10 3.3% 4 3.3% 11 30.7% 3 28.8% 3

oronation Fund Managers Granite Fixed Income Fund Oct-02 Open 10X 751 0.8% 3 1.9% 6 4.7% 10 10.2% 11 12.0% 6 11.4% 4 9.6% 12

airtree Capital Fixed Income Fund Jan-10 Open 12X 408 1.0% 2 3.6% 2 12.1% 2 28.5% 5

reen Oak Capital Specialist Fund Dec-06 Open 7X 98 0.0% 6 3.5% 3 9.2% 5 21.5% 6 16.4% 2 19.4% 7

reen Oak Capital Go Green Fund Nov-09 Open 10X 230 0.1% 4 3.8% 1 11.7% 3 30.7% 4 28.5% 4

vestec Asset Management Fixed Income Hedge Fund Apr-04 Closed 10X 604 -0.8% 8 1.2% 9 5.3% 8 11.8% 10 13.1% 5 12.6% 3 10.5% 11

ADD Capital Validus Fixed Income Fund Sep-06 Closed 10X 712 -3.1% 11 1.5% 8 11.1% 4 32.6% 2 27.7% 1 30.2% 2

ADD Capital Validus + Fixed Income Fund Sep-08 Closed 20X 201 -9.6% 12 -2.5% 12 15.5% 1 45.1% 1 40.7% 1

agiso Hedge Funds FreeStone Fund Jul-09 Open 10X 124 -0.9% 9 1.1% 10 9.1% 6 24.1% 5 23.2% 6

SG Absolute Investments South Easter Fixed Interest Fund Nov-05 Open 20X 292 0.0% 7 -0.4% 11 2.2% 12 12.5% 8 13.2% 4 12.9% 1 10.6% 9

MB Asset Management RMBAM Proton Fund Aug-01 Open 7X 142 1.1% 1 2.8% 5 5.0% 9 11.9% 9 7.5% 7 9.9% 5 10.5% 10

anlam Investmentanagement

Gen-X Fixed Income ArbitrageFund

Oct-04 Open 12X 734 0.1% 4 1.9% 7 6.8% 7 15.8% 7 13.6% 3 12.9% 2 14.7% 8

verage/Total 4,376 -1.1% 12 1.8% 12 8.0% 12 22.4% 11 14.8% 7 11.9% 5 21.3% 12

edian 0.0% 1.9% 7.9% 21.5% 13.2% 12.6% 21.3%est 1.1% 3.8% 15.5% 45.1% 27.7% 12.9% 40.7%

orst -9.6% -2.5% 2.2% 10.2% 7.5% 9.9% 9.6%

NGLE MANAGER MULTI STRATEGY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

rait Multi-Strategy Fund Oct-06 Open 5X 1,124 -1.6% 4 2.9% 3 9.3% 2 20.8% 2 25.0% 1 19.7% 2

adiz Asset Management ZAR Opportunities Fund Apr-09 Open 3X 44 -0.5% 3 0.5% 4 4.8% 4 7.2% 4 8.4% 3

reakwater Capital Clear Horizon Multi-Strategy Fund Oct-05 Open 5X 23 2.6% 1 10.2% 1 20.2% 1 26.0% 1 6.5% 2 14.4% 1 25.9% 1

ergence Africa Investments Mergence Africa Uvuno Jun-06 Open 1X 664 -0.1% 2 4.8% 2 6.0% 3 8.1% 3 4.1% 3 6.8% 4

verage/Total 1,855 0.1% 4 4.6% 4 10.1% 4 15.5% 4 11.9% 3 14.4% 1 15.2% 4

edian -0.3% 3.9% 7.7% 14.5% 6.5% 14.4% 14.0%

est 2.6% 10.2% 20.2% 26.0% 25.0% 14.4% 25.9%

orst -1.6% 0.5% 4.8% 7.2% 4.1% 14.4% 6.8%

RADING Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

adger Capital Badger Quant Fund Jan-04 Open 1.5X 33 3.6% 1 -2.8% 2 1.2% 2 12.1% 1 18.9% 1 25.2% 1 9.6% 1terneuron Freestyle Portfolio Jun-01 Open 1X 54 -1.2% 2 7.6% 1 7.5% 1 10.3% 2 -2.0% 2 4.8% 2 6.8% 2

verage/Total 88 1.2% 2 2.4% 2 4.3% 2 11.2% 2 8.4% 2 15.0% 2 8.2% 2

edian 1.2% 2.4% 4.3% 11.2% 8.4% 15.0% 8.2%

est 3.6% 7.6% 7.5% 12.1% 18.9% 25.2% 9.6%

orst -1.2% -2.8% 1.2% 10.3% -2.0% 4.8% 6.8%

UNDS SMALLER THAN R 10M Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

ylett & Co Aylett Hedge Fund Jun-08 Open 2X 1 0.5% 1 2.1% 1 3.7% 1 10.1% 1 8.9% 1

ryphon Market Neutral Equity Fund Dec-02 Open 2X 9 0.4% 2 1.1% 2 1.4% 2 4.1% 2 10.8% 1 9.9% 1 3.6% 2

verage/Total 11 0.4% 2 1.6% 2 2.6% 2 7.1% 2 10.8% 1 9.9% 1 6.2% 2

edian 0.4% 1.6% 2.6% 7.1% 10.8% 9.9% 6.2%

est 0.5% 2.1% 3.7% 10.1% 10.8% 9.9% 8.9%

orst 0.4% 1.1% 1.4% 4.1% 10.8% 9.9% 3.6%

OTAL FUNDS SUMMARY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank

otal/Average 19,363 0.0% 54 3.0% 54 6.7% 54 12.7% 53 10.6% 41 12.3% 22 11.5% 54

est Fund 2.9% 16.1% 20.2% 45.1% 27.7% 21.1% 40.7%

orst Fund -9.6% -4.6% -6.3% -9.6% -2.0% 4.8% -10.8%

EDGE FUND INDEX Jun-01 0.1% 2.7% 6.0% 10.2% 7.9% 12.3% 8.8%

ong Short Index Long Short Index Feb-02 0.9% 2 5.6% 1 8.3% 2 12.2% 3 5.7% 3 14.7% 2 9.9% 3

arket Neutral Index Market Neutral Index Oct-02 -0.2% 4 0.8% 5 3.4% 5 6.3% 4 8.9% 2 11.1% 3 5.5% 5

xed Income Index Fixed Income Index Aug-01 -1.1% 5 1.9% 4 8.1% 3 21.5% 1 17.3% 1 15.6% 1 19.7% 1

ulti Strategy Index Multi Strategy Index Oct-03 0.1% 3 4.6% 2 9.1% 1 13.3% 2 4.3% 4 10.5% 4 11.9% 2

ading Index Trading Index Jun-01 1.2% 1 2.5% 3 4.5% 4 6.2% 5 1.0% 5 7.9% 5 5.6% 4

ARKET RETURNS Return Return Return Return Return Return Return

TSE/JSE All Share Index -0.4% 12.1% 13.1% 15.3% 2.8% 15.6% 12.0%

l Bond Index 2.0% 3.8% 11.6% 18.9% 11.1% 8.8% 17.5%

TeFI (Cash) 0.5% 1.5% 3.3% 7.0% 9.3% 8.9% 6.4%

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RISK MEASURES | November 2010

set Manager Fund Name% Pos

MonthsBest

MonthWorstMonth

Draw-down Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio

Correlations

ALSI ALBI Group

NG-SHORT EQUITY Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

ONE Asset Management 36ONE Hedge Fund 76.8% 6.3% -11.6% -12.6% 6.3% 9 11.4% 11 4.5 6 0.2 5 3.8 5 1.4 4 1.9 6 0.1 4 61.3% -16.5% 79.7%

pha Macro Fund Managers The Absolute Alpha Fund 68.2% 15.4% -5.7% -9.7% 14.6% 17 12.2% 12 0.1 15 0.2 4 1.1 14 1.3 5 0.0 15 0.1 5 45.2% 1.7% 21.0%

cci trading Bacci Applause Growth Fund 77.4% 4.2% -7.6% -9.1% 6.2% 8 7.3% 3 0.7 12 (0.7) 11 1.3 12 0.8 12 0.4 12 (0.6) 11 58.5% 24.5% 9.5%

eakwater Capital Impact Fund 74.5% 6.9% -10.2% -24.7% 6.5% 11 13.2% 13 1.8 11 (0.4) 10 2.4 9 0.9 10 1.0 11 (0.3) 10 47.5% 43.0% 71.3%

talyst Fund ManagerVariable Bias Equity Long ShortFund

62.1% 17.5% -9.6% -25.0% 6.0% 7 20.4% 14 2.3 10 0.0 6 2.0 11 1.2 7 1.0 10 0.0 6 26.7% 29.5% 54.5%

ronation Fund Managers Presidio Fund 75.8% 7.1% -7.3% -9.8% 6.4% 10 10.8% 8 14.4 2 0.8 2 8.7 2 1.8 3 3.0 3 0.5 2 76.4% 10.7% 85.5%

apital Nitrogen Hedge Fund 86.5% 7.5% -3.4% -3.4% 4.4% 3 4.5% 1 0.2 13 0.6 3 1.2 13 2.1 1 0.2 13 0.5 3 16.5% 29.0% 52.9%

vestec Asset Management Equity Hedge Fund 61.1% 5.2% -3.8% -13.3% 7.3% 14 7.4% 4 (2.1) 17 (0.8) 12 0.2 17 0.8 11 (2.3) 17 (0.7) 12 23.4% -18.5% 15.4%

regrine Capital High Growth Fund 80.5% 7.4% -7.9% -17.7% 3.7% 2 10.1% 7 7.7 3 (0.3) 8 7.9 3 1.0 9 3.2 2 (0.2) 8 59.9% -31.9% 75.0%

regrine Capital Oakmont Fund 81.1% 5.6% -4.1% -16.0% 2.9% 1 7.5% 5 4.9 5 (0.9) 13 3.8 6 0.7 13 2.1 5 (0.8) 13 67.4% 2.0% 88.0%

aesidium SA Hedge Fund 82.1% 12.0% -11.8% -25.8% 7.1% 13 10.9% 10 3.2 7 (1.1) 14 2.4 8 0.5 14 1.1 8 (1.0) 14 53.9% 6.9% 66.7%

MB Asset Management RMBAM Long Short Equity Fund 78.8% 5.5% -4.2% -7.5% 4.9% 6 6.0% 2 (0.8) 16 (0.2) 7 0.7 16 1.2 6 (0.4) 16 (0.2) 7 73.2% -9.0% 58.6%

lient Quants SA Hedge Fund 73.1% 8.0% -4.8% -7.9% 9.2% 15 8.2% 6 2.7 8 (0.4) 9 2.4 7 1.1 8 1.1 9 (0.2) 9 47.2% -34.1% 45.6%

eyn Capital Management Long/Short Equity Fund 94.7% 8.5% -0.6% -0.6% 4.8% 5 236.3 1 999.9 1 4.9 1

Cap Solario Fund 65.1% 7.5% -5.3% -5.5% 10.2% 16 10.8% 9 0.1 14 1.5 1 1.1 15 2.1 2 0.1 14 0.8 1 38.5% 23.1% 35.8%

wer Capital Management Tower Fund 75.0% 3.9% -1.9% -2.8% 7.0% 12 2.5 9 2.4 10 1.4 7

Chequer Fund Management Long/Short Fund 93.3% 6.6% -0.7% -0.7% 4.6% 4 6.4 4 4.3 4 2.1 4

erage/Total 76.8% 7.9% -5.9% -11.3% 6.6% 17 10.0% 14 16.8 17 (0.1) 14 61.5 17 1.2 14 1.2 17 (0.1) 14 49.7% 4.3% 54.2%

dian 76.8% 7.1% -5.3% -9.7% 6.3% 10.4% 2.5 (0.3) 2.4 1.1 1.1 (0.2) 50.7% 4.4% 56.6%

st 94.7% 17.5% -0.6% -0.6% 2.9% 4.5% 236.3 1.5 999.9 2.1 4.9 0.8 16.5% -34.1% 9.5%

orst 61.1% 3.9% -11.8% -25.8% 14.6% 20.4% (2.1) (1.1) 0.2 0.5 (2.3) (1.0) 76.4% 43.0% 88.0%

ARKET NEUTRAL Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

an Gray Optimal 84.7% 3.9% -1.0% -1.4% 2.0% 6 2.8% 4 (1.1) 14 (0.6) 14 0.5 14 1.4 12 (0.9) 14 (0.4) 14 -39.5% 6.2% -18.4%

ue Print Fund Managers Blue Print Hedge Fund 87.8% 7.2% -5.0% -5.0% 3.4% 13 6.8% 12 3.6 4 1.7 5 2.7 4 3.2 4 1.4 4 0.9 5 26.1% -16.5% 25.0%

diz Asset Management Emerald Market Neutral Fund 85.7% 3.9% -5.8% -5.8% 7.7% 17 (0.8) 13 0.5 13 (0.7) 13

FM Arcis Fund 86.0% 3.0% -1.9% -3.0% 1.9% 4 2.1% 1 1.7 6 0.8 7 1.8 6 2.9 5 0.8 6 0.5 7 -18.8% 30.6% -2.1%

ronation Fund Managers Multi-Strategy Arbitrage Fund 91.0% 3.9% -1.6% -1.6% 2.5% 8 4.1% 7 10.5 2 2.6 2 6.7 2 4.1 2 2.9 2 1.3 2 7.8% 15.0% -18.2%

vestec Asset Management Active Quants Hedge Fund 69.4% 7.1% -14.7% -20.2% 3.6% 14 11.1% 14 (0.2) 9 (0.4) 12 0.9 9 1.0 14 (0.2) 10 (0.3) 12 53.9% -31.1% 50.8%

ulalonda Asset Management Khulalonda Fund 73.6% 6.5% -2.7% -3.5% 3.2% 9 6.8% 11 (0.2) 10 1.8 4 0.9 10 2.5 6 (0.1) 9 1.0 4 -15.8% -16.2% 23.5%

zi Capital Mazi Visio Market Neutral Fund 77.6% 9.0% -6.3% -8.5% 3.2% 10 7.3% 13 3.2 5 0.2 9 2.6 5 1.4 10 1.2 5 0.1 9 49.1% -46.5% 54.1%

MIGSA Macro Strategyvestments

Macro Solutions Stable HedgeFund

67.7% 4.8% -3.2% -4.5% 3.4% 12 5.7% 10 (2.0) 17 (0.5) 13 0.3 17 1.1 13 (2.0) 17 (0.3) 13 40.1% 30.4% 41.3%

MIGSA Absolute Returnvestments

OM Volatility Arbitrage Fund 90.5% 2.7% -1.3% -2.8% 1.1% 1 2.7% 2 0.3 8 (0.3) 11 1.2 8 1.6 9 0.2 8 (0.3) 11 71.3% 9.8% 50.5%

regrine Capital Pure Hedge Fund 87.8% 4.1% -2.1% -3.2% 1.8% 3 4.3% 8 17.3 1 (0.1) 10 10.5 1 1.4 11 3.8 1 (0.1) 10 61.6% -10.3% 61.7%

regrine Fund Platform Big Rock Capital Fund 81.8% 8.7% -4.7% -5.5% 5.3% 15 4.7% 9 (0.5) 12 1.2 6 0.7 12 2.5 7 (0.4) 12 0.8 6 -20.9% -6.0% 12.7%

G Absolute Investments Double Diamond Fund 63.0% 7.9% -9.7% -15.7% 5.5% 16 (1.1) 15 0.5 15 (1.0) 15

MB Asset ManagementRMBAM Market Neutral EquityFund

86.5% 2.5% -3.3% -4.9% 2.0% 5 2.7% 3 (2.0) 16 0.5 8 0.3 16 2.3 8 (1.9) 16 0.3 8 19.3% -14.7% 53.7%

nlam Investmentnagement

Gen-X Equity Market Neutral Fund 83.7% 5.2% -2.3% -2.3% 2.4% 7 4.0% 6 0.5 7 1.9 3 1.3 7 3.2 3 0.4 7 1.1 3 18.7% 14.4% 62.8%

nlam Investmentnagement

Gen-X Statistical Arbitrage Fund 83.3% 3.3% -2.4% -2.4% 3.3% 11 (0.5) 11 0.8 11 (0.4) 11

Chequer Fund Management X-Chequer Market Neutral Fund 94.4% 4.8% -1.5% -1.5% 1.7% 2 3.7% 5 3.8 3 6.3 1 3.1 3 8.7 1 1.7 3 2.1 1 41.2% -27.6% 77.6%

erage/Total 82.0% 5.2% -4.1% -5.4% 3.2% 17 4.9% 14 1.9 17 1.1 14 2.1 17 2.7 14 0.3 17 0.5 14 21.0% -4.5% 33.9%

dian 84.7% 4.8% -2.7% -3.5% 3.2% 4.2% (0.2) 0.6 0.9 2.4 (0.1) 0.4 22.7% -8.1% 45.9%

st 94.4% 9.0% -1.0% -1.4% 1.1% 2.1% 17.3 6.3 10.5 8.7 3.8 2.1 -39.5% -46.5% -18.4%

orst 63.0% 2.5% -14.7% -20.2% 7.7% 11.1% (2.0) (0.6) 0.3 1.0 (2.0) (0.4) 71.3% 30.6% 77.6%

ARKET RETURNS 3Years

3Years

3Years

3Years

12

Months

3Years

12

Months

3Years

12

Months

3Years

12

Months

3Years

3Years

3Years

3Years

SE/JSE All Share Index 55.6% 12.5% -13.2% -40.4% 17.0% 22.2% 0.9 (0.4) 1.5 1.0 0.5 (0.3) 100% -1.5%

Bond Index 63.9% 8.5% -2.9% -9.4% 4.4% 8.2% 10.9 0.4 7.6 1.5 2.7 0.2 -1.5% 100%

eFI (Cash) 100.0% 1.0% 0.5% 0.0% 0.2% 0.6% - - 1.1 40.4 - - -35.9% 2.1%

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RISK MEASURES | November 2010

et Manager Fund Name% Pos

MonthsBest

MonthWorstMonth

Draw-down Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio

Correlations

ALSI ALBI Group

ED INCOME Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

umen Capital AcuityOne Hedge Fund 80.0% 12.3% -2.7% -2.7% 10.8% 10 5.6 8 3.9 8 2.2 9

ronation Fund Managers Granite Fixed Income Fund 99.0% 3.5% -1.2% -1.2% 1.4% 1 2.0% 1 9.3 4 4.9 1 7.1 4 17.5 1 2.3 7 1.3 4 -20.0% -13.7% 21.1%

rtree Capital Fixed Income Fund 100.0% 4.0% 1.0% 0.0%

een Oak Capital Specialist Fund 91.7% 4.7% -2.8% -2.8% 4.7% 6 4.8% 4 19.7 2 3.0 4 13.8 3 4.8 3 3.1 4 1.5 2 25.4% -27.0% 62.7%

een Oak Capital Go Green Fund 100.0% 7.7% 0.0% 0.0% 6.9% 7 50.6 1 45.1 1 3.4 2

vestec Asset Management Fixed Income Hedge Fund 95.0% 5.9% -1.6% -1.6% 2.7% 4 4.2% 3 3.1 10 1.8 5 3.1 10 3.5 5 1.7 10 0.9 5 7.7% 72.5% -9.4%

DD Capital Validus Fixed Income Fund 90.2% 9.5% -5.7% -5.7% 7.6% 9 9.0% 6 7.1 6 4.1 2 7.0 5 5.3 2 3.4 3 2.0 1 5.9% -8.3% 79.6%

DD Capital Validus + Fixed Income Fund 88.9% 15.5% -9.6% -9.6% 17.2% 11 3.7 9 3.7 9 2.2 8

giso Hedge Funds FreeStone Fund 76.5% 5.5% -1.2% -1.2% 7.4% 8 6.0 7 4.1 7 2.3 6

G Absolute Investments South Easter Fixed Interest Fund 80.3% 6.9% -5.3% -5.3% 4.2% 5 7.5% 5 2.6 11 0.8 6 2.2 11 2.0 6 1.3 11 0.5 6 -0.7% -14.5% 50.3%

B Asset Management RMBAM Proton Fund 90.18% 4.3% -9.5% -17.9% 1.6% 2 9.0% 7 7.2 5 (0.2) 7 5.8 6 1.1 7 3.0 5 (0.2) 7 26.2% -63.8% 31.8%

nlam Investmentnagement

Gen-X Fixed Income ArbitrageFund

91.89% 3.5% -0.6% -0.6% 2.3% 3 3.1% 2 18.5 3 3.0 3 16.2 2 4.4 4 3.9 1 1.4 3 -15.1% 8.0% 44.0%

erage/Total 90.3% 6.9% -3.3% -4.0% 6.1% 11 5.7% 7 12.1 11 2.5 7 10.2 11 5.5 7 2.6 11 1.1 7 4.2% -6.7% 40.0%

dian 90.9% 5.7% -2.1% -2.1% 4.7% 4.8% 7.1 3.0 5.8 4.4 2.3 1.3 5.9% -13.7% 44.0%

st 100.0% 15.5% 1.0% 0.0% 1.4% 2.0% 50.6 4.9 45.1 17.5 3.9 2.0 26.2% 72.5% 79.6%

rst 76.5% 3.5% -9.6% -17.9% 17.2% 9.0% 2.6 (0.2) 2.2 1.1 1.3 (0.2) -20.0% -63.8% -9.4%

GLE MANAGER MULTIRATEGY In

ception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

ait Multi-Strategy Fund 74.0% 8.7% -7.4% -11.9% 6.6% 4 7.2% 2 5.5 2 5.6 1 4.2 2 5.4 1 2.1 2 2.2 1 23.2% -15.4% 30.2%

diz Asset Management ZAR Opportunities Fund 75.0% 2.2% -1.8% -3.6% 4.2% 1 0.0 4 1.0 4 0.0 4

eakwater Capital Clear Horizon Multi-Strategy Fund 66.1% 12.5% -8.4% -31.3% 6.4% 2 10.5% 3 8.7 1 (0.4) 2 7.3 1 1.0 2 3.0 1 (0.3) 2 66.2% 18.3% 58.4%

rgence Africa Investments Mergence Africa Uvuno 66.7% 4.8% -4.9% -9.7% 6.5% 3 7.1% 1 0.3 3 (0.9) 3 1.1 3 0.8 3 0.2 3 (0.7) 3 72.2% -16.3% 85.0%

erage/Total 70.4% 7.1% -5.6% -14.1% 5.9% 4 8.3% 3 3.6 4 1.5 3 3.4 4 2.4 3 1.3 4 0.4 3 53.9% -4.5% 57.8%

dian 70.3% 6.8% -6.1% -10.8% 6.5% 7.2% 2.9 (0.4) 2.7 1.0 1.1 (0.3) 66.2% -15.4% 58.4%

st 75.0% 12.5% -1.8% -3.6% 4.2% 7.1% 8.7 5.6 7.3 5.4 3.0 2.2 23.2% -16.3% 30.2%

rst 66.1% 2.2% -8.4% -31.3% 6.6% 10.5% 0.0 (0.9) 1.0 0.8 0.0 (0.7) 72.2% 18.3% 85.0%

ADING Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

dger Capital Badger Quant Fund 74.7% 19.5% -14.0% -16.7% 8.3% 1 8.7% 1 0.9 1 1.8 1 1.6 1 2.5 1 0.6 1 1.1 1 17.1% -4.7% -4.2%

erneuron Freestyle Portfolio 59.6% 9.4% -7.4% -21.9% 12.5% 2 11.1% 2 0.5 2 (1.2) 2 1.2 2 0.6 2 0.3 2 (1.0) 2 38.8% -8.7% 61.3%

erage/Total 67.2% 14.4% -10.7% -19.3% 10.4% 2 9.9% 2 0.65 2 0.29 2 1.41 2 1.52 2 0.44 2 0.04 2 27.9% -6.7% 28.5%

dian 67.2% 14.4% -10.7% -19.3% 10.4% 9.9% 0.65 0.29 1.41 1.52 0.44 0.04 27.9% -6.7% 28.5%

st 74.7% 19.5% -7.4% -16.7% 8.3% 8.7% 0.85 1.77 1.57 2.47 0.61 1.10 17.1% -8.7% -4.2%

rst 59.6% 9.4% -14.0% -21.9% 12.5% 11.1% 0.46 (1.20) 1.24 0.58 0.26 (1.02) 38.8% -4.7% 61.3%

NDS SMALLER THAN R 10M Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

lett & Co Aylett Hedge Fund 100.0% 4.8% 0.4% 0.0% 1.3% 2 11.7 1 6.8 1 2.4 1

yphon Market Neutral Equity Fund 88.5% 2.3% -1.0% -1.0% 1.1% 1 2.4% 1 (2.3) 2 1.1 1 0.1 2 3.2 1 (2.7) 2 0.6 1 -14.4% -17.6% 12.8%

erage/Total 94.3% 3.5% -0.3% -0.5% 1.2% 2 2.4% 1 4.7 2 1.1 1 3.4 2 3.2 1 (0.1) 2 0.6 1 -14.4% -17.6% 12.8%

dian 94.3% 3.5% -0.3% -0.5% 1.2% 2.4% 4.7 1.1 3.4 3.2 (0.1) 0.6 -14.4% -17.6% 12.8%

st 100.0% 4.8% 0.4% 0.0% 1.1% 2.4% 11.7 1.1 6.8 3.2 2.4 0.6 -14.4% -17.6% 12.8%

rst 88.5% 2.3% -1.0% -1.0% 1.3% 2.4% -2.3 1.1 0.1 3.2 (2.7) 0.6 -14.4% -17.6% 12.8%

TAL FUNDS SUMMARY Inception

Inception

Inception

Inception

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

12M

Rank

3Y

Rank

3Years

3Years

3Years

erage/Total 81.3% 6.8% -4.7% -8.0% 5.2% 7.2% 9.0 0.9 23.3 2.6 1.1 0.3 29.8% -2.3% 42.9%

st 100.0% 19.5% 1.0% 0.0% 1.1% 2.0% 236.3 6.3 999.9 17.5 4.9 2.2 76.4% 72.5% 88.0%

rst 59.6% 2.2% -14.7% -31.3% 17.2% 20.4% (2.3) (1.2) 0.1 0.5 (2.7) (1.0) -39.5% -63.8% -18.4%

DGE FUND INDEX 86.0% 6.8% -7.2% -9.0% 2.2% 3.7% 3.1 (0.5) 2.6 1.2 1.4 (0.4) 74.7% -10.0%

ng Short Index Long Short Index 75.5% 7.4% -5.7% -12.2% 4.1% 0 6.9% 4 2.5 3 (0.6) 3 2.6 3 0.9 3 1.3 3 (0.5) 3 72.2% 13.8%

rket Neutral Index Market Neutral Index 92.9% 3.7% -0.5% -0.5% 1.4% -2 2.1% 1 (0.7) 5 (0.3) 2 0.7 5 2.0 2 (0.5) 5 (0.2) 2 64.7% -24.1%

ed Interest Index Fixed Income Index 96.4% 3.4% -1.5% -1.5% 3.7% -1 3.7% 2 8.9 1 3.9 1 8.5 1 5.6 1 3.9 1 2.2 1 23.2% -25.2%

lti Strategy Index Multi Strategy Index 79.1% 7.9% -7.0% -12.8% 4.3% 1 6.9% 3 2.9 2 (0.8) 4 2.6 2 0.8 4 1.4 2 (0.7) 4 70.7% -25.5%

ding Index Trading Index 59.6% 10.3% -5.8% -9.6% 5.4% 2 7.0% 5 (0.2) 4 (1.3) 5 0.9 4 0.5 5 (0.2) 4 (1.2) 5 12.7% -34.5%

RKET RETURNS 3Years

3Years

3Years

3Years

12

Months

3Years

12

Months

3Years

12

Months

3Years

12

Months

3Years

3Years

3Years

3Years

SE/JSE All Share Index 55.6% 12.5% -13.2% -40.4% 17.0% 22.2% 0.9 (0.4) 1.5 1.0 0.5 (0.3) 100% -1.5%

Bond Index 63.9% 8.5% -2.9% -9.4% 4.4% 8.2% 10.9 0.4 7.6 1.5 2.7 0.2 -1.5% 100%

eFI (Cash) 100.0% 1.0% 0.5% 0.0% 0.2% 0.6% - - 1.1 40.4 - - -35.9% 2.1%

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GLOSSARY AND CONTACT DETAILS | November 2010

ALBI (All Bond Index)

The Bond Exchange Association of South Africa All Bond Index, whichis used as a proxy for the SA xed interest (bond) market.

ALSI (All Share Index)

The FTSE/JSE All Share Index, which is used as a proxy for the SAequity market. The index consists of the largest 160 stocks on theJSE, weighted according to their free oat market caps.

Correlation

A statistical measure of how two securities move in relation toeach other. Correlation is computed into what is known as thecorrelation coefcient, which ranges between -1 and +1. Perfectpositive correlation (a correlation co-efcient of +1) implies that asone security moves, either up or down, the other security will movein lockstep, in the same direction. Alternatively, perfect negativecorrelation means that if one security moves in either directionthe security that is perfectly negatively correlated will move by anequal amount in the opposite direction. If the correlation is 0, themovements of the securities are said to have no correlation; theyare completely random.

Fixed Income Category

Managers in this category generate prot by exploiting opportunitiesin xed interest securities and derivatives.

Fund Size

The market value of the assets in the fund as at the survey date.

Fund Status

Indicates the funds ability to accept new investments. OPEN meansthe fund is still accepting new investments. CLOSED means the fundis no longer accepting new investments

Funds Smaller Than R10 Million Category

This category is for all funds with less than R10 million in assets.These funds are listed seperately to distinguish them from the largerand more established funds.

Group Correlation

The correlation of the fund with the average monthly return of itscategory.

(Largest) Drawdown

The biggest cumulative loss the fund has experienced since inception.

Leverage

Leverage is calculated as the sum of the absolute value of total longexposure and total short exposure of the fund divided by the fundsize. Leverage is used as an indication of the funds exposure relativeto its size. Leverage is sometimes also referred to as Total GrossExposure or Gearing.

Long-Short Equity Category

Funds in this category generate prot by exploiting opportunities inthe equity and equity derivatives market. Managers can hold bothlong and short positions in these securities and can actively managethe net equity market exposure of the fund depending on marketconditions.

Market Neutral Category

Funds in this category generate prot by exploiting opportunities inthe equity and equity derivatives market. Managers aim to neutralisedirectional market risk by combining long and short positions in

broadly equal amounts.

Contact Details:

For any queries or comments regarding the SYm|mETRY South African Hedge Fund survey or to participate in the survey, please contact Martin

Hammond on 021 509 6028 or hedgefunds@symmetry.co.za. To receive the most recent survey every month, please subscribe on the SYm|mETRY

website atwww.symmetry.co.za

Maximum Leverage

The maximum leverage the fund is allowed to utilise according to itsmandate.

Sharpe Ratio

The Sharpe ratio is calculated by subtracting the risk-free rate - suchas that of the 10-year U.S. Treasury bond - from the rate of returnfor a portfolio and dividing the result by the standard deviation of theportfolio returns.

The Sharpe ratio tells us whether a portfolios returns are due to smartinvestment decisions or a result of excess risk. This measurement isvery useful because although one portfolio or fund can reap higherreturns than its peers, it is only a good investment if those higherreturns do not come with too much additional risk. The greater aportfolios Sharpe ratio, the better its risk-adjusted performance hasbeen. A negative Sharpe ratio indicates that a risk-less asset wouldperform better than the security being analyzed.

Pos Months %

The percentage of months that the fund had positive returns.

Return and Risk Calculations

All return calculations are based on time weighted returns frommonthly data, are net of fees and are annualised for periods longerthan 1 year (indicated by p.a.).

Risk Free Return

The rate of return that can be earned with almost no risk. For thissurvey this rate is assumed to be the return that is earned on shortdated xed interest instruments as measured by the STEFI index.

Single Manager Multi-Strategy Category

Funds in this category combine several distinct investment strategiesinto one fund.

Standard Deviation

A measure of the dispersion of a funds returns around its mean.Standard deviation is often also referred to as the volatility of thefund and is a common measure of risk in a fund. Funds with higherstandard deviations have more uncertain returns than funds withlower standard deviations.

STEFI Index (Short Term Fixed Interest Index)

The STEFI index measures the performance of various short-termxed interest instruments (max maturity of 1 year).

Sortino Ratio

The Sortino ratio measures the downside risk-adjusted return of the

fund. It is calculated by deducting the risk free return from the fundreturn. The result is then divided by the funds downside deviationfrom the risk free rate.

Trading Category

Funds in this category generate prot by trading mainly in derivativesand indices rather than individual securities. Investment opportunitiesare identied using technical or quantitative systems and the fundsare often traded very actively.