Gottex Market Neutral Plus Fund: Gottex Fund Management

Shortlist: Hedge Funds Review Fund of Hedge Funds of the Year and Best performing diversified FoHF over one year

The Gottex Market Neutral Plus fund of hedge funds (FoHF) is the second generation of the Gottex Market Neutral Plus Fund. It was launched in May 2007 after the first reached capacity. The fund is highly diversified and uses a bottom-up investment selection process.

The mandate is to provide a relatively stable and uncorrelated investment and provide alpha while also preserving capital over the medium term. Although recent volatility has created opportunities there has also been downside risk, and to counter that the fund has some tail hedge strategies in place, with such overlays created both in-house and through positions the portfolio’s managers take via the various funds that they hold.

For the main the fund favours the more complex strategies. “We invest in managers that follow primarily market-neutral strategies within relative value, event driven and hedged equities,” says Christopher Hawkins, chief investment officer.

“Our managers must be able to demonstrate that they are able to hedge out exposure to major equity and bond market movements. We think that we cover in total about 50% or 60% of the investment universe with about 40 underlying managers, and we are always on the lookout for more esoteric products,” he says.

The fund’s exposure varies. For example at the moment it has a 12% exposure to mortgage derivatives. “In the past two-and-a-half years this has been a somewhat unusual position. We think it is a very misunderstood strategy and have been able to make the most out of mispricings,” says Hawkins.

Net cumulative performance since inception stands at 1.24% and annualised return and volatility stand at 0.28% and 5.9% respectively.

One of Gottex’s finer points is, according to Hawkins, its extensive due diligence process which applies both pre- and post-investment. The investment process has been in place since 1999 and globally there are some 35 people to support the process, which Hawkins describes as “substantial”. “We are a very high manager touch pre- and post-investments,” he says.

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Fund facts
Fund name: Market Neutral Plus Fund
Investment/management company: Gottex Fund Management
Portfolio managers: Richard Leibovitch and Christopher Hawkins
Contact information: [e-mail]; www.gottex.com
Launch date: May 2007
Assets under management: $1.5 billion (at September 30, 2011)
Net cumulative performance since inception: 1.24%
Annualised return: 0.28% (at September 30, 2011)
Annualised volatility: 5.9% (at September 30, 2011)
Sharpe ratio: -0.12 (annualised at September 30, 2011)
Strategy: multi-strategy multi-manager
Share classes: US dollar, euro, sterling, Swiss franc, Australian dollar, yen
Administrator: Citco Fund Services (Europe)
Auditor: KPMG
Custodian: BNY Mellon
Legal counsel: Goodwin Procter
Domicile: Cayman Islands
Listing: Irish Stock Exchange
Management fee: 0.75%
Performance fee: 10% subject to high watermark
Minimum investment: $100,000
Lock-in: none
Redemption/liquidity terms: quarterly