Sunday, January 11, 2009


Superfund is now offering a fund in Australia. This company, which originated in Austria, offers managed futures products to retail investors in many countries around the world.

The fund is invested 37.5% in managed futures, 37.5% in a market neutral stock trading program and 25% in Australian cash equivalents. They plan to hedge returns into the Australian Dollar. Minimum investment is $A10,000 which compares favorably to the Macquarie and Select Funds managed futures products. Fees are steeper than most hedge funds with a 3% management/administration fee and a 27% performance fee with no hurdle. The fund is not a FIF. It seems that they plan on paying all fund income out in order to avoid entity level taxation.

Comparing the Quadriga B managed futures fund that Superfund offers in the US to Man's AHL Diversified Fund we find that between November 2002 and November 2008, Quadriga returned 1.92% per month but had a monthly standard deviation of 11.4%. Man AHL returned 1.40% per month but with a much lower standard deviation of 4.9%. In other words, the Man fund is higher quality. Quadriga had a correlation of 0.06 to the MSCI World Index while Man had -0.10. The correlation between Quadriga and Man is high at 0.73. I don't have any data on their stock trading program.

Bottom line is I wouldn't recommend this fund at this stage except to someone who was very heavily into managed futures and wanted to diversify across managers to reduce risk.

No comments: