Assisted Search: Hedge Funds HEDF090323 – Deadline: Friday 24th March
A US Endowment is using CAMRADATA to run an Assisted Search to look for Hedge Fund strategies to allocate to accordingly. The allocator runs a levered structure with some of their hedge funds serving as collateral for their equity beta (ACWI swaps). Most of the hedge funds they currently allocate to are multi-strategy or multi-manager multi-strategy funds with few exceptions (some first-loss).
All funds being proposed must be listed in CAMRADATA Live and returns must be up to date i.e. to 31st December 2022. Please post any questions regarding this search to the CAMRADATA Live ‘Assisted Searches Forum’ and we will endeavour to answer these as quickly as possible.
Assisted searches are run on behalf of institutional investors with specific search requirements. For a manager to be competitive with their existing lineup and a good fit for their portfolio, they need all (majority) of the following:
|Deadline||24th March 2023|
|Asset Class||Hedge Funds|
|1)||Minimum Sharpe ratio of ~2.0x since inception and preferably over all rolling 12-month periods|
|2)||Minimum Sortino ratio of ~4.0-8.0x since inception and preferably over all rolling 12-month periods|
|3)||Maximum correlation of 0.15 to the ACW1 (my real risk given collateral) over 85% of rolling 12-month periods|
|4)||Maximum pairwise correlation of 5-year excess returns over the 60/40 and ACWI to our existing managers of 0.5 but preferably much lower ~0.25|
|5)||Zero to negative down-capture since inception|
|6)||Maximum drawdown between 5-8% but closer to 5% (this can be mitigated if the drawdown was in 2008 or structural)|
|7)||Minimum track record of 3 years but preferably 5 years|
|8)||Annual returns between 7-11%|
|9)||Quarterly liquidity, no lock, no gates. We will consider a 25% quarterly investor level gate or soft-lock.|
|10)||Structural and readily identifiable source of alpha that is not predicated on predicting the future|
|11)||No negative convexity (short var swaps or massive basis risk)|
|12)||No CTAs, standalone quant, risk premia, factor-based, systematic, smart beta (pretty much a non-negotiable)|
|13)||No pro-forma returns or back-tests|
|14)||No separate account requirement|
|15)||No geographic restrictions|
|16)||Mandate size: $20-$60mm is a typical allocation|
While some are more important than others, for serious consideration ~80-90% of the above are required with exceptions generally made for compelling structural and readily identifiable sources of alpha that not predicated on predicting the future.
Please email firstname.lastname@example.org to submit your fund(s).