French financial newspaper La Tribune has asked EDHEC to apply the same approach as its Euro Performance-EDHEC Style Ratings to funds of hedge funds.
The EuroPerformance-EDHEC Style Ratings is an innovative system for rating the performance of European mutual funds, which measures the performance with regard to the risks that were really taken by the managers while at the same time taking the extreme risks being run and the managers' capacity to generate out-performance into account.
The results of the inaugural French funds-of-hedge-funds rankings were published in France on 13 December and the joint winners of the first edition were AGF Alternative Asset Management (the Phenix Alternative Holdings fund) and Edmond de Rothschild Multi Management (Virtuose Equilibre). The runners-up were HDF Finance and La Française des Placements, while the final asset management firm on the podium was Alteram.
The rankings were determined through the following three elements:
The quality of management in terms of performance (based on the excess return compared to the strategic benchmark specific to each fund and an evaluation of the quality of the strategic allocation);
The quality of management in terms of the risks being run (based on the average and extreme risk differentials between the fund of funds and its strategic benchmark);
Performance persistence, based on the funds' capacity to deliver positive performance over the analysis period and their capacity to produce regular outperformance without excessive volatility.
The overall score awarded to each fund of funds corresponds to the arithmetic average of the three scores attributed for performance, risk control and performance persistence and varied from 1 (worst quartile/lowest score possible) to 4 (best quartile/best score possible).
Results Table: Ranking of French Funds of Hedge Funds
|Joint 1st||AGF Alternative AM||Phenix Alternative||3.17|
|Joint 1st||Edmond de Rothschild Multi||Virtuose Equilibre||3.17|
|& 2nd||Management||Sélection Privée||3|
|Joint 2nd||HDF Finance||Asclepios||3|
|Joint 2nd||La Française des Placements||LFP Alternatif||3|
|Joint 3rd||Alteram||Alteram Stratégie||2.83|