Performance: how the returns stack up so far
September 21, 2010
Why tracking errors inevitably creep into the equation
Another reason why the broader emergence of absolute return strategies may have been a disappointment to some investors has been their overall performance over the past year or so, at a number of levels. One of these is that even for those hedge funds that aim to replicate as closely as possible offshore strategies with proven track records, there will inevitably be an element of tracking error, making it virtually impossible for the performance of the UCITS-compliant product to provide a mirror-image of the Cayman strategy.
One example of a hedge fund manager that has successfully replicated a number of its offshore strategies in UCITS format is the London-based RWC Partners, which has some $2.5 billion of assets under management, $1.5 billion of which is now accounted for by Luxembourg-registered UCITS III products. In October 2009, RWC announced the launch of the US Absolute Alpha Fund, a long-short equity strategy...
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