The following charts show a comparison of indices of different asset classes with the Golden Hedge EUR.
The chart above shows the development of the MSCI World Index (denominated in EUR) and the CSFB Hedge Fund Index (in EUR) compared to the Golden Hedge EUR.
Here we can see the performance of the DAX 30 Index and the REX (German Bond Index) compared with Golden Hedge EUR.
The third chart shows the Goldman Sachs Commodity Index (GSCI) and the Standard & Poor's 500 stock Index (both denominated in EUR) in relation to Golden Hedge EUR.
The last chart is a different presentation of the second chart on a monthly basis.
R I S K - D I S C L A I M E R Potential investors should consider that investments can involve significant risks and the value of an investment may go down as well as up. Losses of up to 15% can occur regularly. The investment products on this website typically use sophisticated investment strategies and may invest in futures, forwards, options, stocks and other derivatives of any kind. The prices of futures, options and other financial instruments in which the fund may invest can be very volatile. Therefore it may not be possible to liquidate the positions in the regarding markets without a substantial loss. Price fluctuations may also be large because of leverage and no assurance can be given that the investment objective of the fund will be achieved or that substantial losses will not be suffered. There is no guarantee of trading performance and past, simulated or projected performance is not necessarily an indication to future results.
Investment Program
Introduction
Financial markets are not perfectly efficient and various small anomalies can be identified and exploited through the use of advanced econometric analysis and robust statistical methods. Golden Hedge applies trading strategies and models that are quantitative in nature - designed to exploit different market inefficiencies.
Investment Objective
Golden Hedge aims to provide substantial capital appreciation over the medium term through the exposure to a portfolio of different complemental hedgefund styles. The fund is composed of directional and non-directional (relative value) strategies with low correlation to each other and therefore produce returns that show low correlation to traditional asset classes like stocks and bonds.
Golden Hedge invests mainly in three core hedgefund styles: Futures Trendfollowing, Long/Short Equity and Event Driven.
Investment Policies
Golden Hedge is designed to generate steady absolute returns while having little correlation to the overall financial markets and other CTA's or hedgefunds.
One of the key concepts to achive this is diversification in different uncorrelated markets as well as in trading models. Applying different trading models to different markets keeps the single market risk very low.
The trading approach consists of several proprietary quantitative strategies, such as Futures Trendfollowing, Long/Short Equity and
Event Driven Strategies with emphasis on money management and portfolio optimization.
The Combination of strategies from different hedgefund styles results in a smoother equity curve while producing a
return which is little correlated to the overall direction of the financial markets.
Futures Trendfollowing / Futures Arbitrage
The basic idea of futures trendfollowing is the generation of trading profits caused by autocorrelation properties of financial and commodity markets. The trading models of Golden Hedge Ltd. capture price trends in different time frames and in many different markets with low correlation to each other. The portfolio trades in the following market sectors: energies, metals, currencies, stock indices, agriculturals, interest rates, meats and exotics as well as in soft commodities. The portfolio allocation process is dynamic in nature and depends on market correlation and volatility parameters.
Futures Arbitrage is designed to profit from relative mispricings within correlated futures markets.
Long/Short-Equity
Long/Short-Equity strategies are aimed at benefiting from pricing anomalies in U.S. Small- and MicroCap stocks. The investment philosophy can be described as follows: in the long term value stocks outperform growth stocks, in the short term momentum is the performance driver.
This strategy uses financial statement analysis (bottom up) to build a portfolio of stocks for the long and short side of the book. A multi factor model seeks to invest in companies whose fundamental factors (growth and value factors) are different from those implied in the market price.
The long and short market exposure in many stocks across different sectors in U.S. Small- and MicroCap stocks forms a well diversified portfolio.
Event Driven / Index Arbitrage
This group of strategies (also called 'special situations') seeks to exploit market inefficiencies which are related to corporate events as well as macroeconomic events. Such events can cause price pressure effects to the involved instruments from which the fund tries to benefit. Index Arbitrage exploits market inefficiencies that result from Additions / Deletions of stocks to / from major Indices e.g. MSCI-Index, S&P-Index-Family, Eurostoxx.
Risk Management
The trading models have a rigorous risk management policy implemented and constantly monitor the exposure to sector risk, position risk, volatility risk, margin to equity ratio, daily VaR et cetera. Position sizes are automatically adjusted to current market conditions e.g. the higher the volatility the lower the position size. To simulate event risk (rare events of market stress with high volatility and a high degree of correlation among usually low correlated instruments) more advanced methods of risk analysis are implemented.
R I S K - D I S C L A I M E R Potential investors should consider that investments can involve significant risks and the value of an investment may go down as well as up. Losses of up to 15% can occur regularly. The investment products on this website typically use sophisticated investment strategies and may invest in futures, forwards, options, stocks and other derivatives of any kind. The prices of futures, options and other financial instruments in which the fund may invest can be very volatile. Therefore it may not be possible to liquidate the positions in the regarding markets without a substantial loss. Price fluctuations may also be large because of leverage and no assurance can be given that the investment objective of the fund will be achieved or that substantial losses will not be suffered. There is no guarantee of trading performance and past, simulated or projected performance is not necessarily an indication to future results.
Performance Overview
Monthly Returns(%) GOLDEN HEDGE EUR Update: 06/30/2008
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Return p.a.
2002
1.93
1.10
-4.73
0.68
4.13
10.18
7.79
-4.03
9.71
-8.89
-2.99
11.49
+26.84 %
2003
5.53
8.27
-6.19
0.58
2.98
-2.90
0.10
-0.47
-2.27
4.19
2.05
3.95
+16.00 %
2004
1.14
13.37
3.86
-7.01
-3.10
-2.09
-3.08
1.89
2.08
6.23
4.16
2.11
+19.67 %
2005
2.43
3.03
0.95
-4.06
-2.24
2.99
3.62
4.47
5.44
*-3.62
2.10
-0.37
+15.16 %
2006
-0.74
-0.43
9.23
4.12
0.77
-4.29
3.30
-2.33
1.04
5.23
0.12
4.09
+21.20 %
2007
0.77
3.49
3.66
2.37
-3.02
1.06
0.37
3.13
3.60
6.33
5.71
7.11
+40.02 %
2008
5.39
7.16
-1.87
-1.12
4.55
**2.25
+17.15 %
* grey = backtest results
** estimated
Performance Analysis
Portfolio Allocation and Markets
UPDATE 06/30/2008
Current NAV in EUR
2,021.89
+/- last week
-0.61%
Performance 2008
+17.15%
Performance 2007
+40.02%
Perf. since incept.
+102.19%
Max. drawdown
5.52%
Sharpe Ratio 1Y
1.92
Corr. S&P 500
-0.38
Golden Hedge uses quantitative trading models and invests in more than 40 commodiy markets worldwide and selects stocks from the Small- and MicroCap-Universe traded on NYSE, AMEX and NASDAQ.
The fund is designed to profit from (i) directional market moves and (ii) from market inefficiencies produced by relative pricing discrepancies.
These niche investment strategies provide a unique and profitable return profile to the portfolio.
Performance Chart
(*)This chart shows the growth of an investment of 1.000 units since 1997 relative to the Standard & Poor's 500 stock index.
R I S K - D I S C L A I M E R Potential investors should consider that investments can involve significant risks and the value of an investment may go down as well as up. Losses of up to 15% can occur regularly. The investment products on this website typically use sophisticated investment strategies and may invest in futures, forwards, options, stocks and other derivatives of any kind. The prices of futures, options and other financial instruments in which the fund may invest can be very volatile. Therefore it may not be possible to liquidate the positions in the regarding markets without a substantial loss. Price fluctuations may also be large because of leverage and no assurance can be given that the investment objective of the fund will be achieved or that substantial losses will not be suffered. There is no guarantee of trading performance and past, simulated or projected performance is not necessarily an indication to future results.
Profit Sharing Rights "Golden Hedge EUR" in total volume of EUR 10 Mio.
Participation Details
Issuer
Golden Hedge Alternative Investments GmbH
Registered No.
FN 252098 h
Register
Landesgericht Innsbruck
Nominal Capital
EUR 50,000 fully paid up
Registered Office
Klostergasse 11, 6020 Innsbruck
Managing Director
Mag. Andreas Köttner
Legal Form of Participation
Investment according to Article 1 Section 1 paragraph 3 KMG
(Capital Markets Law) in Form of Profit Sharing Rights
Investment Region
USA, Europe and Asia
Investment Style
The Manager invests in a Portfolio of complemental
Hedgefund-Styles. The Strategies are directional
as well as non-directional in nature. The Investment
Portfolio is composed of three core strategies:
- Long/Short-Equity
- Futures Trendfollowing/Arbitrage
- Event Driven
Investment Objective
Golden Hedge EUR is designed to generate steady absolute
returns while having little correlation to other Asset Classes.
Expected Returns
20% - 25% p.a.
Investment Manager
Golden Hedge Ltd.
ISIN
N/A
Currency
EUR
Subscription
Last business day in a month; Subscription documents
and investment capital must be obtained by the Company
five days before the last business day in a month.
R I S K - D I S C L A I M E R Potential investors should consider that investments can involve significant risks and the value of an investment may go down as well as up. Losses of up to 15% can occur regularly. The investment products on this website typically use sophisticated investment strategies and may invest in futures, forwards, options, stocks and other derivatives of any kind. The prices of futures, options and other financial instruments in which the fund may invest can be very volatile. Therefore it may not be possible to liquidate the positions in the regarding markets without a substantial loss. Price fluctuations may also be large because of leverage and no assurance can be given that the investment objective of the fund will be achieved or that substantial losses will not be suffered. There is no guarantee of trading performance and past, simulated or projected performance is not necessarily an indication to future results.
