Wermuth Asset Management Delivers Both Best US Long Short and Best Russia Performance in 2011
04 Jan, 2012, 16:29 GMT
MOSCOW, January 4, 2012 /PRNewswire/ --
Wermuth Asset Management, a German alternative asset advisory firm, with some $300m AUM and significant operations in Moscow, has delivered the best performing US long short equity strategy and the best performing Russia fund in 2011.
These results show that one of the best ways to invest in US equity markets in 2011, would have been to trust your money to a German-Russian-Ukrainian team which returned 9% going long and short US equities in 2011, and averaged 32% per annum since inception of the strategy in October 2007, including a remarkable 133% in 2008 when stock markets crashed across the globe.
Wermuth Quant Global Strategy (WUSLS) (Ticker: WERQGSI JY) has outperformed [all other] other US-focused long/short equity funds, based on performance for 2011 and the last four years through November 30, 2011, as listed on Bloomberg and sorted using its "Fund Screening" function (December 31 data is not yet available for all the peers).
Similarly, the best way to get exposure to Russian markets in 2011 would have been to invest in the long-short equity strategy by the same team. While the Russian index lost 22% for the year, Wermuth Quant Strategy Eastern Europe (WEELS) (Ticker: WERQEIC JY) gained 1% for the year, the only such fund to report a positive performance. Since inception in September 2005 the strategy has returned 17% per annum in dollar terms.
Among 61 Russia-focused funds who reported the 2011 data, the team was the only one to deliver positive performance. Its five-year track record also makes it the best performing Russia fund manager, again based on Bloomberg data using its "Fund Screening" function.
The Fund's investment process begins with macro inputs from WAM's economist, Dieter Wermuth, and bottom-up analysis from the research team, which generates buy, sell, and hold lists of Russian equities. The quant strategies are then applied to enter and exit positions automatically based on trend-following models which are developed in-house. The strategy thus combines both a value filter and an automated entry/exit system which protects investor capital while capturing both up and down moves. In today's volatile markets, alpha is created through avoiding large draw-downs.
Sergey Ilchenko, Head of Quant Department says: "The international financial community has looked skeptically at Moscow's aims to become an international financial center. Now some hard figures delivered by a German asset manager's team based in Moscow may change that. We are delighted that WAM's performance in 2011 and over the past years, show that we are a fund manager that is as capable in the US as we are in our more traditional Russian focused-market."
Appendices:
Appendix 1 - US long short equity funds sorted by four year performance
Appendix 2 - Russian equity funds sorted by five year performance
Appendix 1 - US long short equity funds sorted by four year performance
Fund name 2008 2009 2010 2011 (Nov) Cumulative performance
for 4 years
WERMUTH QUANT GLOBAL STRATEGY 133% 27% -10% 21% 223%
ABUNDANCE PARTNERS LP-A 86% 2% 20% 20% 173%
HARTZELL LONG/SHORT LLC 58% 30% 6% 10% 139%
CENTRAL SQUARE CAPITAL LP 43% 31% 14% -2% 108%
TAMARACK GLOBAL HEALTHCARE 8% 48% 10% 15% 102%
INTRINSIC EDGE CAPTURE LP -8% 59% 35% -3% 92%
GAME CREEK FUND LP 18% 16% 19% 5% 70%
BRIGHTLINE CAPITAL PARTNERS -18% 31% 127% -32% 66%
JW PARTNERS LP -44% 54% 58% 21% 65%
SAMSARA INVESTMENT PARTNERS -20% 72% 37% -13% 63%
WESTERLY PARTNERS LP -5% 45% 18% -2% 60%
ALPHAGEN VOLANTIS FND LTD-A$ -5% 47% 12% 1% 58%
BTR GLOBAL ENERGY FUND-I -48% 226% 29% -28% 57%
CATALYSIS OFFSHORE LTD -18% 65% 16% -4% 51%
JPMF-EUR DYNAMIC L/S-A113$ 8% -3% 29% 9% 46%
GRANITE POINT CAPITAL LP-A -6% 39% 9% 2% 46%
OPEN FIELD INVESTORS LP -13% 17% 33% 7% 45%
PARUS FUND PLC-C -9% 48% 12% -5% 44%
SALAMANDER INC-CLASS B 4% 43% 12% -15% 42%
GRT DEEP WOODS PARTNERS LP -41% 61% 41% 4% 39%
SPROTT OFFSHORE FUND LTD II -1% 10% 45% -13% 37%
SPROTT CAPITAL LP -13% 20% 48% -12% 37%
ALPHEUS GLOBAL LONG SHORT-A$ -18% 86% 5% -20% 27%
RRCM ONSHORE I LP -32% 25% 43% 3% 27%
BAY II RESOURCE PARTNERS LP -21% 51% 16% -10% 25%
CRESCAT LONG/SHORT FUND LP -12% 19% 25% -4% 25%
AIS GOLD FUND LP -71% 189% 80% -16% 24%
EMANCIPATION CAPITAL LP -28% 36% 28% -3% 22%
THE PEPIN FUND LIMITED - USD -16% 40% 8% -5% 21%
BAY RESOURCE PARTNERS LP -26% 55% 17% -10% 21%
RHINE ALPHA-USD C -24% 45% 20% -10% 20%
STRATEGY LONG & SHORT HG LLC -26% 49% 5% 3% 19%
THE BLISS FUND LP -11% 32% 9% -7% 18%
CRITERION HORIZONS FUND LP -23% 20% 16% 10% 18%
GLG EUROPEAN LONG-SHORT-A-R -16% 20% 8% 8% 18%
ALBATROS GLOBAL LONG SHORT-A -15% 52% 5% -14% 17%
GLG EUROP LONG-SHORT-A-NR -16% 20% 8% 8% 17%
WINDMILL PARTNERS LP -13% 32% 10% -9% 15%
CRITERION CAPITAL PART LTD -18% 11% 14% 10% 14%
ASCEND PARTNERS II LTD -3% 13% 3% -3% 10%
HARD ASSETS PORTFOLIO LTD -4% 9% 4% -6% 3%
HORSEMAN GLOBAL FUND LTD-A$ 31% -25% 5% -4% 0%
STRATA FUND LP -47% 62% 9% -3% -10%
PECONIC GRENADIER FUND LP -8% 16% -12% -16% -21%
DYNAMIC POWER HEDGE FUND-FC -77% 231% 53% -36% -25%
RAB ENERGY FUND LTD-CEUR -61% 92% 42% -32% -29%
THE KINETICS FUND INC -69% 59% 31% -12% -43%
Appendix 2 - Russian equity funds sorted by five year performance
Fund name 2007 2008 2009 2010 2011 Cumulative performance
for 5 years
WERMUTH QUANT EASTERN EUROPE STRAT. 20% -21% 56% 1% 1% 51%
THE PROSPERITY CUB FUND 29% -72% 204% 53% -17% 42%
HH GENERATION INC 86% -69% 135% 65% -44% 27%
HALCYON POWER INVESTMENT CO 80% -65% 88% 64% -42% 11%
THE RUSSIAN PROSPERITY FD-A 17% -78% 195% 48% -17% -5%
DEKA-CONVERGENCE AKTIEN 39% -65% 92% 18% -25% -16%
KALTCHUGA FND-RUSSIA EQUITIES 27% -79% 200% 27% -21% -20%
JPMORGAN RUSSIAN SECURITIES 55% -80% 168% 48% -34% -20%
PIONEER INVEST RUSSIA STOCK 44% -78% 167% 32% -29% -20%
DANSKE INV-RUSSIA 39% -76% 142% 42% -30% -20%
SEB FUND 2 - SEB RUSSIA FUND 25% -74% 169% 28% -30% -21%
ING RUSSIA FUND-A 31% -71% 130% 28% -29% -21%
CARNEGIE RYSSLANDSFOND 22% -73% 153% 19% -21% -21%
EAST CAPITAL RUSSIAN FUND 31% -75% 143% 32% -28% -23%
PIONEER-EMERGING EUROPE & MEDETERIAN 31% -65% 90% 22% -29% -24%
SELIGSON RUSSIAN PROSPERITY 16% -78% 183% 38% -25% -24%
UBS SICAV - Russia 40% -74% 156% 20% -33% -24%
F&C Portfolios Fund 28% -74% 139% 26% -25% -25%
BARING RUSSIA FUND-ACC 33% -74% 155% 23% -33% -28%
EAST CAPITAL EASTERN EUROPE 31% -70% 104% 25% -31% -31%
HANDELSBANKEN OSTEUROPAFOND 31% -69% 82% 21% -27% -34%
OP-ITA-EUROOPPA-A 40% -71% 119% 28% -43% -34%
Griffin Eastern Europe Fund 29% -65% 78% 8% -26% -37%
EVLI GREATER RUSSIA-B 35% -77% 125% 47% -39% -37%
JUPITER EMERGING MARKETS
OPPORTUNITIES FUND 31% -68% 82% 14% -32% -40%
DIAMOND AGE RUSSIA FUND LTD 21% -57% 97% 24% -53% -40%
MC RUSSIAN MARKET FUND-A 27% -78% 150% 25% -33% -41%
TEMPLETON EAST EUROPE FUND 24% -67% 107% 18% -41% -41%
THIRD MILLENNIUM RUSSIA-A 29% -75% 111% 23% -30% -41%
OP-VENAJA-B 22% -78% 153% 42% -41% -43%
DOBRYNIA NIKITICH 18% -76% 133% 25% -32% -44%
ALFRED BERG INVEST RUSLAND 26% -77% 126% 29% -34% -45%
HERMITAGE FUND 8% -75% 104% 11% -25% -53%
TEMPLETON RUSSIA & EAST EUROPE FUND -2% -79% 133% 26% -41% -64%