Absolute Return Strategies Presentation
Monthly Analysis: Individual Funds
Analysis of:
-
Organizational/firm issues
How fund is positioned/where taking risk
-
Drivers of performance
Monthly performance attribution
Top holdings/themes and their
contribution to performance for each
client-invested fund are discussed
during monthly analyst calls.
Analysts seek to identify signs of style
drift or significant changes in portfolio
positioning
A Watch List Report is prepared for
funds when Cliffwater has significant
concerns that merit closer monitoring,
and may lead to a redemption
recommendation
Global Macro-Systematic
HFRI Macro (Total) Index
Information Ratio vs. Beta to MSCI ACWI (5 Years)
1.0
+Global Macro-Systematic Peer droup"
+
0.5-
-0.5-
-10
-0.5
0.0
Beta
Rolling 36-Month Standard Deviation
May 91 Dec 93. Dec 96 Dec 99
Distribution of Monthly Returns.
++
Jan 1990 - May 2017
▲ Bmk 1: HFRI Fund Weighted Composite Index ▼Bmk 2: HFRI Fund of Funds Composite Index
Monthly Fund Returns vs. MSCI ACWI Returns (5 Years)
Best Fit Curve **
女
Global Macro-Systematic
Cumulative & Monthly Returns
HFRI Macro (Total) Index
▲ Bmk 1: HFRI Fund Weighted Composite Index
Jan 1990 - May 2017
Bmk 2: HFRI Fund of Funds Composite Index
Total, Alpha & Beta Returns
Fund Bmk 1 Bmk 2
Total Return (%)
14
1 Month
0.49
0.46
-0.17
3 Month
0.17
1.39
0.82
1 Year
1.02
8.31
5.55
3 Years
1.82
2.96
1.75
5 Years
0.94
4.93
3.71
10 Years
2.46
3.04
0.90
Since Inception
10.31
9.93
6.66
Alpha Return (%) vs. MSCI ACWI
3 Years
1.32
0.63
-0.07
5 Years
-0.18
0.75
0.44
10 Years
1.10
0.59
-1.20
Since Inception
5.95
483
2.23
Beta Return (%) vs. MSCI ACWI
3 Years
0.02
1.86
1.34
5 Years
0.70
3.76
2.85
10 Years
0.26
1.36
1.00
Since Inception
0.89
1.63
0.95
Jan 90
Dec 93
Dec 96
Dec 99
Dec 02
Dec 05
Dec 08
Dec 11
Dec 14 May 17
Historical Returns (%)
Jan Feb
Mar
Apr
May
Jun
Jul Aug Sep Oct Nov
Dec
CY Fund
CY Bmk 1 CY Bmk 2
2017
-0.45
0.80 -0.49
Dec 02
2016
1.02
2015
2.51
0.49
1.49 -0.95 -0.08 -0.93 2.22
0.20 0.56 -1.19 -0.05 -2.31
0.14
0.52
3.54
2.78
0.79 -1.47
0.89 -1.61
-0.34
-1.23 -0.31
-0.08 1.39 -1.42
0.90
1.03
5.44
0.51
-1.26
-1.12
-0.27
2014
-0.85
1.44 -0.90 0.06 0.57
2013
1.53 -0.68 0.41
2012
1.27 0.79 -1.32 -0.58
2011
2010
2009
2008
-0.72 1.28 -1.09 2.37 -2.30
-1.95 0.16 1.59 0.82 -1.58
-0.10 -0.12 -0.61 -0.09 3.54
1.08 4.22 -1.22 -0.03 1.20
-1.25 -1.57
0.40 -1.42
-1.74
0.70 -0.40 150 1.08. -0.20 2.25 0.24
-0.06 -1.08 -0.17 0.83 0.52 0.47
2.01 -0.23 -0.03 -1.84 -0.06 1.02
1.66 -0.51 -1.24 -0.92 -0.65 -0.25
-0.12 -0.06 1.69 2.74 2.23 -0.92 3.34
-1.17 0.49 0.37 1.71 -0.52 2.17 -1.30
1.19 -2.62 1.18 -1.21 1.63 0.73 1.11
5.58
2.98
3.37
-0.44
9.13
8.96
-0.06
6.36
4.79
-4.16
-5.25
-5.72
8.06
4.34
10.25
5.70
19.98
4.83 -19.03 -21.37
11.47
Performance Statistics
Rolling 36-Month Alphal
Fund Benk 1 Bmk2
Standard Deviation (%)
3 Years
3.96
3.85
3.34
5 Years
3.78
3.64
3.27
Since Inception
7.18
6.62
5.51
Information Ratio
3 Years
0.33.
0.40
-0.03
g
Monthly Ret
5 Years
-0.05
0.46
0.21
Avg
Std
Since Inception
0.91
1.16
0.51
Ku
Return
Dev
Omega Ratio
Fund
0.82
2.07
0.66
3 Years
1.07
1.241
1.03
Bmk 1
0.79
1.91
-0.62
5 Years
1.04
2.03
1.66
Dec 92
Bmk 2
0.54
1.59
-0.63
Since Inception
3.04
2.82
2.38
Dec 96
Cumulative Drawdown
Dec 99
Dec 02 Dec 05
Dec 08
Dec 11 Dec 14 May 17
Created with MPI Stylus
Beta vs. MSCI ACWI
3 Years
0.01
0.32
0.24
5 Years
0.07
0.32
0.25
Since Inception
0.17
0.33
0.22
Correlation to Fund
-10
3 Years
0.18
0.16
5 Years
0.35
0.35
Since Inception
0.63
0.65
Serial Correlation
3 Years
-0.16
0.23
0.24
5 Years
-0.16
0.11
0.15
Since Inception
0.17
0.30
0.35
May 17
-6
-5
-4
This report is not an advertisement, is being distributed for info
or solicitation of an offer for the purchase or sale of any secu
which would cause substantial harm to you, Cliffwater LLC, or t
Each of Hedge Fund Research, Inc. and MSCI Inc. is the source a
Jan 90 Dec 92 Dec 95 Dec 98 Dec 01 Dec 04 Dec 07 Dec 10 Dec 13
Created with MPI Stylus
@2017 Cliffwater LLC. All rights reserved.
CONFIDENTIAL | Page 3
This report reflects information only through the date hereof. The preparation of this report does not indicate that Cliffwater LLC has conducted full due diligence on the fund or the likelihood
that Cliffwater LLC would recommend the fund if such diligence was completed. All third-party information has been obtained from sources believed to be reliable but its accuracy is not
guaranteed. We have not conducted an independent verification of this information. Cliffwater LLC shall not be responsible for investment decisions, damages, or other losses resulting from
The charts shown above are provided for illustrative purposes only. The charts are intended to show examples of Cliffwater's hedge
fund client reporting only and, therefore, in lieu of showing the performance of an individual hedge fund, we have shown the
performance of a hedge fund index, the HFRI Macro (Total) Index.
CLIFFWATERLC |
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