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AGF tops second EDHEC French funds of hedge funds rankings

Date: Wednesday, December 6, 2006
Author: Hedgeweek.com

AGF Alternative Asset Management has topped the fund of hedge fund rankings produced by French business School EDHEC for the second year running, with joint second place being taken by another management company from the same group.

The fund of hedge funds rankings were first carried out last year by EDHEC's Risk and Asset Management Research Centre at the initiative of financial daily La Tribune, following the launch in 2004 of the EuroPerformance-EDHEC Style Ratings.

This system for rating the performance of European mutual funds measures their performance with regard to the risks actually being run by managers while at the same time taking into account extreme risks and managers' ability to generate outperformance. The new rankings applied the same approach to rating funds of hedge funds.

The winner, for the second year running, was AGF Alternative Asset Management as manager of the Phénix Alternative Holdings fund, with a score of 3.83 out of a maximum of 4.0.

The three runners-up with scores of 3.5 were W Finance, a subsidiary of AGF, with the Héraclès W Finance Arbitrage funds, Groupama Asset Management with the Groupama Alternatif Equilibre fund and Credit Suisse Asset Management with CS Alternatif.

The rankings are determined according to three elements. First is the quality of management in terms of performance, based on the excess return compared with the strategic benchmark specific to each fund and an evaluation of the quality of the strategic allocation.

The rating process also assesses the quality of management in terms of the risks being run, based on the average and extreme risk differentials between the fund of funds and its strategic benchmark.

Finally, the ranking take into account performance persistence, based on the funds' capacity to deliver positive performance over the analysis period and their capacity to produce regular outperformance without excessive volatility.

The overall score awarded to each fund of funds corresponds to the arithmetic average of the three scores attributed for performance, risk control and performance persistence, varying between 1 (worst quartile and thus lowest score possible) to 4 (best quartile and thus best score possible).

EDHEC, which has campuses in Lille and Nice, is one of the leading French and European business schools. The team of 33 professors, engineers and associate researchers at its Risk and Asset Management Research Centre implement six industry-sponsored programmes focusing on asset allocation and risk management in the traditional and alternative investment universes.