Best Global Macro Hedge Fund: Shortlisted

The Ermitage Global Dynamic Trading Fund is a highly concentrated discretionary managed futures hedge fund which has returned an average of 19.46% for investors a year since launch in October 2007.

Fund manager Elliot Refson uses a discretionary strategy to target capital appreciation through long-term position trading and/or short-term intra week trading in global equities, currencies, bonds and commodity markets.

Refson works alongside Ian Cadby, Ermitage Group's chief executive officer and Andrew Whelan, group executive director and managing director of Ermitage Global Wealth Management. The experienced investment team has 60 years combined expertise in investment and trading global markets.

The $180.4 million fund takes directional positions in the most highly liquid futures markets employing a strategy that is highly adaptive to market conditions and not reliant on positive market conditions or a general appreciation of asset values. If signal strength is weak, the fund will move to, or remain in, cash.

Trading ideas are generated through proprietary technical analysis, focused exclusively on leading indicators, using a combination of time cycle, technical time and price based and pattern recognition analysis.

The core of the programme is based around the company's proprietary research which began in the 1980's. This is used to forecast time cycles, as opposed to trading off purely lagging, stochastic indicators, say the managers.

Their thesis is based around the premise that all traded markets - stocks, futures, financials and currencies - have a long-term time cycle and a number of short-term cycles. Each market has an individual cycle profile which consists of dominant cycles in multiple time frames (monthly, weekly, daily, and intraday) that visibly and consistently affect prices.

Awareness of the longer-term cycles helps anticipate trends and trend reversals. The knowledge of the shorter-term cycles helps to buy bottoms and sell tops in the direction of trend and at trend reversals, according to the fund manager.

Using its own analysis the manager aims to identify when markets will change or continue their trends and take high conviction positions either long or short of the market in order to make profits for the fund.

As well as not being constrained by long-term trends, the fund can react to and profit from short-term trends or ranging markets. The manager describes the fund as "one of the most right-tailed of all funds in the InvestHedge/Bloomberg peer group" helped by rigid stop-loss and risk management procedures, according to the manager.

Consequently, the fund has shown a low correlation to its trend following, systematic and macro peers and low correlation to equity and bond markets.

This means the fund can be used in a variety of ways: combined with a portfolio of other commodity trading advisers to reduce risk (volatility) and potentially increase overall returns; added to a typical investment portfolio to act as an effective diversifier; and used on its own as an overlay or portfolio insurance.

Investors in the fund include institutional and private clients. The fund's assets more than doubled from $89 million in January 2009 to $180.4 million at the end of March 2010.

Fund facts: Ermitage Global Dynamic Trading Fund

Full name of fund: Ermitage Global Dynamic Trading Fund
Name of portfolio manager: Elliot Refson
Name of investment/management company: Ermitage Asset Management
Contact information: Phil Sewell, 1st Floor, 47 The Esplanade, St Helier JE1 9LB, Jersey Channel Islands (+44 (0)1534 615504; psewell@ermitagegroup.com)
Launch date: 2007
Assets under management: $180.4 million (at March 31, 2010)
Annualised return: 19.46% (at March 31, 2010)
Annualised volatility: 17.9% (at March 31, 2010)
Sharpe ratio: 1.01
Share classes: US dollar, sterling, euro
Administrator: Bank of America Fund Services
Custodian: LFS Custodial Services
Domicile: Cayman Islands
Listing: Irish Stock Exchange
Management fee: 1.50%
Performance fee: 20% with high water mark, no hurdle
Minimum investment: $100,000 (or currency equivalent)
Redemption/liquidity terms: fortnightly dealing