Institutional Investor's Alpha Magazine - December 2007/January 2008 - (Page 16)

feld & Co., his ﬁrm’s retail trading operation. Schonfeld Group now employs 350 proprietary traders and trades, on average, 125 million shares of stock a day, regularly accounting for 2 to 4 percent of the daily volume on the New York Stock Exchange and Nasdaq Stock Market. The SB Schonfeld Active Managers Fund is the ﬁ rm’s second fund of hedge funds. The SB Schonfeld Capital Fund I, a $286 million multistrategy fund of hedge funds launched in 2005, was up 21.8 percent in 2006 and 13 percent in 2007. Active traders, who represent about 18 percent of the fund’s assets, played a major role in its performance, supporting Schonfeld’s belief that investing with this group is the best approach in extremely volatile markets. “In times of stress in the marketplace, most strategies and asset classes tend to correlate,” explains Andrew Fishman, president of Schonfeld Group and a portfolio manager of the SB Schonfeld Active Managers Fund. “Active traders do not.” — S.T. Corrections A November 2007 Longs & Shorts piece (“Diamond Ambition”) incorrectly suggested that Merrill Lynch & Co. had permanently severed its relationship with Dow Kim. Merrill Lynch is likely to be a prime broker to his hedge fund ﬁrm, Diamond Lake Investment Group. In addition, Merrill’s decision not to provide seed capital to Diamond Lake was not connected to the credit crunch or to the investment bank’s trading losses. Also in that issue, the feature “Masters of Art” incorrectly stated several facts surrounding the art sales by Adam Sender at a 2006 Phillips de Pury & Co. auction. The hedge fund manager sold fewer than ten pieces of art, which brought in substantially more than the reported $19 million. Sender did not sell John Currin’s Fishermen that evening, but more than two years earlier. The painting, which Sender purchased for less than $140,000, sold for far more than the $1.4 million reported. Also, Sender never closed his hedge fund to reorganize; it was up more than 50 percent in 2007. CLASS REVIEW Global Macro H edge fund strategies across the board were hurt by ongoing market volatility in November. In a month where virtually every strategy was down, global macro emerged as one of the biggest winners —simply by virtue of being one of the smallest losers. Though Chicago-based Hedge Fund Research’s HFRI macro index was down 0.19 percent for the month, the asset class performed far better than the average hedge fund. The HFRI fund-weighted composite index was down 2.03 percent in November, while the Standard & Poor’s 500 index was down 4.18 percent. Among global macro managers, Miami-based Ronin Capital Management’s Ronin Master OP Investors fund was the runaway winner, returning 18.38 percent for the month. “ We are a true global macro discretionary fund,” says Magnus Eriksson, the fund’s portfolio manager. He adds that The Top Performers Return (%) December Fund 2007 2006 – through November assets ($ millions) November November 2007 Three-year annualized standard deviation Fund* Firm Ronin Master OP Investors Ltd. Pivot Global Value Fund Balestra Capital Partners, LP First Quadrant Global Macro Fund Ltd. Capital Fund, Ltd. Conquest Macro GMO Mean Reversion (Onshore) Clarium LP Polar Capital Discovery Fund Ltd. (USD) GLC Directional Fund Ltd. HFRI macro index HFRI composite index Standard & Poor’s 500 index Ronin Capital Mgmt Pivot Capital Mgmt Balestra Capital First Quadrant Strategic Fixed Income Conquest Capital Group GMO Clarium Capital Mgmt Polar Capital Partners GLC $ 58 270 364 1,120 109 121 830 2,565 60 50 18.38% 14.28 12.15 8.53 7.18 6.70 5.33 5.30 5.22 5.05 –0.19 –2.03 –4.18 30.36% 47.17 181.49 13.07 12.56 18.89 16.24 24.00 12.68 21.72 10.92 9.59 6.22 25.57% 47.20 179.77 18.22 12.67 19.71 20.06 27.10 11.99 25.13 12.33 11.21 7.71 15.52 18.95 46.13 — 5.94 10.62 9.74 19.39 — 13.70 8.83 11.18 10.09 * Funds with $50 million or more in assets under management that have reported returns to Hedge Fund Research. Source: Hedge Fund Research. price momentum analysis and fundamental analysis of sectors and asset classes drive his investment decisions. “We look at anything and everything in the Group of 20, and all four asset classes: equity, ﬁ xed income, currency and commodities,” he says. Eriksson began 20 07 shor ting U.S. equities, particularly financial companies, and was long U.S. ﬁ xed-income futures. Yet his investments in ﬁnancials were too early, and the fund suffered a 6.8 percent loss through June 2007. But once the credit crunch struck, the fund recouped its losses, and those positions ﬁnally paid off. Another strong performer in November was London-based Pivot Capital Management’s Pivot Global Value Fund, which reported the month’s second-highest gain with a 14.28 percent return. “From the beginning of last year, we’ve had a negative view on credit spreads and equities in both U.S. and European ﬁ nancial companies,” says Par Mellstrom, who co-manages the fund with Carl George. The pair have been shorting financials and Eastern European sovereign credits — both of which have been paying off. — Frances Denmark 16 • INSTITUTIONAL INVESTOR’S ALPHA • DECEMBER 2007/JANUARY 2008

Table of Contents Feed for the Digital Edition of Institutional Investor's Alpha Magazine - December 2007/January 2008

Institutional Investor's Alpha Magazine - December 2007/January 2008 Contents Letter from the Editor Longs & Shorts Pension Corner: Liberal Returns The Good Guy: Inner-city MVP Cover Story: Marathon Men Interview: Rizk Management Profile: Living on Hostile Ground Profile: Buy and Hold In Theory: The Fallacy of Portable Alpha Strategies: Changing Course Alpha Bytes: Behind the Scenes Unhedged: Commentary: An Activist Alternative

Institutional Investor's Alpha Magazine - December 2007/January 2008

For optimal viewing of this digital publication, please enable JavaScript and then refresh the page. If you would like to try to load the digital publication without using Flash Player detection, please click here.