Shortlist: Best performing specialist FoHF over 10 years

The ACL Alternative Program has a strategy described as “robust” by research director Mick Smith. It is managed out of Dublin with some $4 billion in assets under management (AUM).

The fund, managed by Abbey Capital, is a multi-manager fund focused on managed futures and foreign exchange, offering daily liquidity and full transparency through a segregated managed account structure. The fund has plenty of performance history behind it, having been running since 2002 as a fund and as a program since 2000.

The program also offers investors diversification across trading styles and market sectors, allocating to over 20 managers who vary in size and in trend or non-trend-following strategies. Geographic distribution of managers is 50% to North America and 50% to Europe.

The fund's investment universe is wide, according to Swift. He believes in diversification through trading styles and time horizons across all traded futures and foreign exchange markets. The fund is active in 150 futures markets and 100 foreign exchange pairs daily.

The portfolio strategy is structured to give positive correlation in bull and negative correlation in bear markets. This approach offers investors good overall diversification, according to Abbey. Overall the program was up by 40% in 2008 and annualised returns over 10 years is a positive 10.6% with volatility of 14.7%.

In the midst of a challenging year the program has been down by approximately 7% year on year but hopes to bring that into positive territory before year end.

Abbey believes the managed accounts structure offers superior levels of liquidity and transparency to end-investors. Such a structure means investors do not need to worry about gates or lock-up periods. The portfolio manager ensures the program is focused on the pursuit of alpha in a diversified fashion.

The investment committee members at Abbey Capital all come from a background in either trading, managing trading teams or fund operations. This is a distinct advantage when it comes to selecting the right managers to hold in the strategy of ACL Alternative. Consequently, the manager turnover has been less than 5% since inception.

Investors in the fund are split evenly between institutions and high net worth individuals. Abbey Capital works closely with distribution partners such as brokerage houses and banks.

Abbey Capital manages $4.1 billion from its Dublin base. It was founded in 2000 and is a specialist managed futures and foreign exchange investment house.

Fund facts
Fund name: ACL Alternative Program
Investment committee: Tony Gannon, Mick Swift, Conor Brosnan and Andrew Meleady
Investment/management company: Abbey Capital
Contact information: Amy Devoy, 1-2 Cavendish Row, Dublin 1, Ireland. (+353 1828 0400; info@abbeycapital.com; www.abbeycapital.com)
Launch date: The program was launched in December 2000 and the fund in January 2002
Assets under management: $3.95 billion in program (October 31, 2011)
Net cumulative performance since inception: 199.4% (December 31, 2000 to October 31, 2011)
Annualised return: 10.6% (December 31, 2000 to October 31, 2011)
Annualised volatility: 14.7% (December 31, 2000 to October 31, 2011)
Sharpe ratio: 0.6 (December 31, 2000 to October 31, 2011)
Strategy: multi-manager managed futures
Share classes: A, B, C and D available in US dollar, euro, sterling, Swiss franc and yen
Administrator: BNY Mellon AIS
Auditor: KPMG
Custodian: BNY Mellon AIS
Prime broker: JP Morgan Securities, Newedge Group, Bank of America, Credit Suisse (Europe)
Legal counsel: Conyers Dill Pearman
Domicile: Bermuda
Listing: Irish Stock Exchange (US dollar share class A)
Management fee: 1.9% (US dollar share class A)
Performance fee: 22% (US dollar share class A)
Minimum investment: $100,000

Lock-in: no gates or lock ups.
Redemption/liquidity terms: daily liquidity with no redemption fees.

2010: Ninth European Fund of Hedge Funds Awards 2011
Winner: Best performing specialist fund of hedge funds over three years:

2009: Highly commended: Best performing specialist fund of hedge funds over three years: