Abbey Capital Macro Fund: Abbey Capital

Best Performing Specialist Fund of Hedge Funds Over 1 Year: Winner

Abbey Capital was founded in Dublin in 2000. It has a team of 29 specialists focused on managed futures and FX investments. The client base includes pension funds, major private banks, multi family offices, foundations and charities.

The Abbey Capital Macro Fund approach is a combination of discretionary and systematic global macro strategies, relying on a range of economic and political factors. The long term targeted returns are 10% to 12% per year. The volatility target is 6%.

The portfolio is constructed to be robust, not on an optimised basis. Margin limits are set by manager, trading style and portfolio.

The Abbey Capital Macro Fund combines a diverse blend of global macro trading styles and gives exposure to a wide range of sectors and markets. The unique attributes of global macro traders, combined with the low correlation of managers within the portfolio delivers a low level of volatility to investors. Abbey Capital believes this profile makes it an attractive addition to traditional and hedge fund portfolios.

The portfolio itself consists of eight managers, with allocations made to each through managed accounts. The fund remains in full control of the assets and accounts can be liquidated immediately if required.

The structure also ensures underlying positions are fully transparent. That clarity is the first hurdle for any prospective managers.

"The first stage of the screening process is to analyse the manager's data to ensure that certain levels of risk-adjusted performance have been achieved and that the correlation statistics and dynamics meet our requirements," says Tony Gannon, Abbey's chief executive officer.

His team insists on daily data and will not allocate to a manager unable to comply. Manager experience counts, although the company is willing to back traders in new ventures.

"Abbey Capital does not typically seed managers but will invest in new operations if the trader has extensive previous background and has shown the ability to run a business as well as trade successfully," says Gannon.

The selection process involves a series of telephone interviews and questionnaires. Abbey also insists on site visits with two of its investment team meeting principals on separate occasions at their offices. "The experience of Abbey Capital's principals is invaluable in this process as it makes it very difficult for the CTAs to hide any weaknesses in their trading methodology or company infrastructure," adds Gannon.

This is backed up by extensive reconciliation of the daily performance numbers supplied and the manager's reported track record. Any unexplained divergence ensures the manager does not make it onto Abbey's approved list nor receive an allocation.

Some managers are also kept in reserve or as substitutes in case any manager fails to implement their strategy or is stopped out.

As a result, Abbey Capital's strategy is more focused on intensive high quality investment appraisal and due diligence at the pre-investment stage, rather than active experiments and discarding of trading managers. "We believe that there is a high cost in frequent turnover of managers and that this should be kept to a minimum," adds Gannon.

FUND FACTS: ABBEY CAPITAL MACRO FUND

Full name of fund: Abbey Capital Macro Fund
Name of investment/management company: Abbey Capital
Contact: Amy Devoy, 1-2 Cavendish Row, Dublin 1, Ireland (+353 1 828 0417, adevoy@abbeycapital.com)
Launch date: October 2007
Assets under management: $113 million
Annualised return: 5.5%
Annualised volatility: 4.6%
Strategy: global macro
Share classes: 1 share class, sub divided into three - Class A, Class B and Class C.
Administrator: DPM Mellon
Auditor: KPMG Malta
Custodian: Mellon Bank
Domicile: Malta
Management fee: Class A: 0.75%; Class B: 1.00%; Class C: 2.00%
Performance fee: 10% (all share classes)
Minimum investment: $125,000
Lock-in/up: none
Redemption period: weekly