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Yale SOM Fund of Funds

Yale SOM Fund of Funds. Hedge Funds Class 2005 (Not for External Distribution). Summary Analysis. Performance as a Group Distribution Compensation. Performance as a Group. Start with $1,000,000 Transactions costs imputed. Feb 9, 2005 to April 22, 2005 Class Average: 958,578.55

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Yale SOM Fund of Funds

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  1. Yale SOM Fund of Funds Hedge Funds Class 2005 (Not for External Distribution)

  2. Summary Analysis • Performance as a Group • Distribution • Compensation

  3. Performance as a Group • Start with $1,000,000 • Transactions costs imputed. • Feb 9, 2005 to April 22, 2005 • Class Average: 958,578.55 • Class Median: 976,054.37 • Interest Only: 1,007,176.02 • S&P 500: 987,612.69

  4. Average Positions • 729,408.86 [Cash at End] • 523,283.79 [Long at End] • 294,114.11 [Short at the End] • “Beta” at the end: 0.148 • Trades: 1,276.00 • Commissions: $32,274 at $25/trade • 525 different securities • Equities, options, futures

  5. Distribution Features • Skewness = -0.756777705 • Why? • Is 1,351,966.60 unusual? • std, leverage, etc. • Is 457,890.76 unusual?

  6. Time Series of Activity

  7. Distribution of Trades

  8. Compensation: 1% & 20% • Fixed fees paid: $250,000 • Incentive fees paid: $186,787.86 • Total fees: $436,787.86 • Suppose you only paid incentive fees if the client made money? • Fixed fees $250,000, Incentive = 0% • Who “eats” the sub-advisor fee? • How much would you charge to eat this fee?

  9. Summary • Class 1: History and theory of hedge funds • Hedge Funds and Financial Frontiers • Class 2: Andrew Redleaf, Whitebox Partners • The End of Arbitrage 1 • Capital Structure Arbitrage • Questions about value

  10. Wrap-up • Class 3: Theory of Hedge Funds II: Applications of linear models in performance evaluation • “Hedge Funds, Theory and Performance” • Where do Alphas come from? • Class 4: Carl Schecter, Nomura Securities, Event Driven,  M&A Arb. • Hedge funds as insurers • Role in M&A

  11. Wrap-up • Class 5: Alpha Investing • Quantitative applications for evaluation. • Pairs Trading: Characteristics of convergence strategies. • Class 6: Fixed Income and MBS: Ming Fang. • Financial engineering • Arbing the yield curve

  12. Wrap-up • Class 7: Bob Jaeger, Evaluation Associates • Counter-cultural view of the industry • Risk is different -- Net benefit? • Fees on Fees in Funds of Funds, Style Analysis • Class 8: Multi Funds • Building a fund of funds. • High Water Mark contracts: motivations and incentives.

  13. Wrap-up • Class 9: Fred Busk • Service part of the fund industry • Turn-key hedge funds? • Volatility and Operational Risk: horror stories to remember. • Class 10: Richard Deitz VR Capital • How its done: Itl. opportunities • Hedge funds and Asian Crisis

  14. Wrap-Up • Class 11: Foote School Case • Hedge funds in the portfolio • Mean-variance model and alternative investments. • Class 12: Regulation and Industry Evolution • Regulation is a two-edged sword.

  15. Rankings as of 04/29/05 For school-professor . . YAL-GOE Rank Account Name(s) Cash MV Long MV Short Equity Trades 1 A42919 Scott Wallsmith Joe Leiwant 1,727,281.16 693,779.44 1,069,094.00 1,351,966.60 153 2 A42901 Olukayode Aje 1,993,923.56 269,985.00 1,019,388.00 1,244,520.56 78 3 A42910 David Lieberman Sean Myers 1,150,205.81 83,972.77 0.00 1,234,178.58 59 4 A42916 Manuel Lecour Gerardo Garcia 1,110,001.87 480,684.00 495,841.50 1,094,844.37 14 5 A42911 Arunava Biswas William Haluska 595,999.67 1,138,450.36 700,738.69 1,033,711.34 128 6 A42905 Qinhai Xia 651,031.86 693,288.00 330,498.20 1,013,821.66 24 7 A42948 Vaidas Navickas 1,011,128.33 0.00 0.00 1,011,128.33 12 8 A42998 PROF ACCT 1,007,921.31 0.00 0.00 1,007,921.31 0 9 A42999 YALE UNIV INTEREST ONLY 1,007,176.02 0.00 0.00 1,007,176.02 0 10 A42950 Ming Fang 1,005,101.62 1,927.50 0.00 1,007,029.12 1 11 A42913 Michael Blue Peter Ammon 300,903.73 855,964.22 150,895.96 1,005,971.99 111 12 A42914 Brian Watson 943,365.31 57,823.25 0.00 1,001,188.56 101 13 A42902 Suhail Chandy 765,872.67 355,940.00 121,410.00 1,000,402.67 24 14 A42912 Michael Benson 595,963.97 380,090.40 0.00 976,054.37 6 15 A42922 Ted Urban 98,805.49 1,341,575.00 472,030.00 968,350.49 17 16 A42915 Kate Marshall John Brydels 932,198.21 869,177.26 850,121.55 951,253.92 27 17 A42907 Nick Halliwell 1,110,317.89 660,260.94 820,973.07 949,605.76 42 18 A42926 Sharad Satia Gautam Nangia 918,987.32 14,590.00 0.00 933,577.32 6 19 A42904 Len Rittberg 941,328.62 475,845.00 496,580.00 920,593.62 30 20 A42908 Jeff Kaczynski Sean Olesen 699,859.54 459,387.72 242,748.71 916,498.55 65 21 A42917 M Baig 769,550.10 453,294.90 335,103.96 887,741.04 19 22 A42920 Ryder Campbell Stephen Shea 886,714.09 137,540.00 140,979.00 883,275.09 36 23 A42930 Billy Ng -410,095.67 1,329,355.50 106,450.00 812,809.83 221 24 A42906 Chet Prabhu 48,651.98 760,390.00 0.00 809,041.98 19 25 A42921 Paul Escott 511,247.63 0.00 0.00 511,247.63 24 26 A42909 Ari Raivetz Oren Monhite-Yahav -125,197.64 583,088.40 0.00 457,890.76 60 Beginning Date: 01/31/05 Beginning S&P: 1,171.36 The class average is 961,223.13 Ending Date: 05/06/05 Current S&P: 1,156.85 The S&P500 account is 987,612.69

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