Best Sub-$50 Million Hedge Fund: Shortlisted

When Stephane Lamoine, the manager of the Iskandia Capital Fund, started managing money 20 years ago, he was surprised by the lack of depth in the way investment ideas were made and executed in the large organisations in which he worked.

He started developing back testing and investment strategy solutions and launched a company whose business was to sell the solutions to asset management firms. He found that as much as these concepts appealed to headquarters and directors at the companies, there was a lack of appetite among in-house managers for disciplined tools.

As a result Lamoine decided to become the convergent fund manager he could not find among his clients. It took him 10 years to develop and implement the tools that have brought robustness and performance together in his portfolio.

Lamoine now manages the Iskandia Capital Fund, a European equity long/short fund with a neutral objective focusing on liquid stocks. A minimum of 500 stocks is held. The fund uses his systematic investment process based on the convergence of fundamental analysis and quantitative models.

Underlying that performance has been what the manager terms a "multi-faceted market neutrality" which allows the fund "to concentrate on fundamental strategies in which we identify heterogeneous risk premia enabling us to profit from such anomalies without the distraction of being unduly affected by unpredictable market moves."

Identification and implementation of investment ideas in an environment where time is scarce, the group says, are immensely helped by the series of tools at the manager's disposal, decisions to invest in the context of an ultra neutral asset allocation are tightly framed by the risk adjustment tools and all orders are routed through DMA by trading optimisers.

The methods have translated to a stable return pattern that has enabled the fund to ride out the last two years, says the manager. The fund has produced an annualised return of 13%.

Alhtough many funds were unable to demonstrate their ability to perform in the 2008 and in 2009 market environments, in different highly volatile markets with extreme price moves, the fund showed its ability to perform.

The fund's process can be organised so the strategy does not differ from one day to another but the investment ideas are different every day, according to the manager.

While the partners had decided not to  market the fund actively prior to achieving a two-year track record and concentrate on performance and structure of the fund, since December 2009 a marketing effort has been underway. The assets under management as a result have risen to $20 million. The fund's investors consist of asset managers, high net worth investors, family offices, fund of funds and partners.

Fund facts: Iskandia Capital Fund

Full name of fund: The Iskandia Capital Fund
Name of portfolio manager: Stephane Lamoine.
Name of investment/management company: Maguelone Management Limited
Contact information: Iskandia Services, 8 rue Eynard, Geneva CH-1205, Switzerland  (+41 22 311 1826)
Launch date: 2007
Strategy: European equity long/short
Assets under management: $20 million (at March 31, 2010)
Net cumulative performance since inception: 33.07% (at March 31, 2010)
Annualised return: 13% (at March 31, 2010)
Annualised volatility: 7.61% (at March 31, 2010)
Sharpe ratio: 1.58
Share classes: US dollar, euro
Administrator: SS&C Technologies
Auditor: Rankin Berkower
Custodian: JP Morgan
Prime broker: Credit Suisse International
Domicile: Cayman Islands
Management fee: 2%
Performance fee: 20% with high watermark
Minimum investment: $100,000
Redemption/liquidity terms: weekly with two days' notice