APG
Hedge Funds Fund
Hedge fund investments are interesting for a pension fund.
They are aimed at achieving an absolute return. The returns
and risks on these types of investments generally show little
correlation with fluctuations in the value of investments in
traditional financial markets. As such they help reduce the
risks in the portfolio as a whole. Hedge funds derive their
name from the fact that they partly hedge traditional risks,
such as equity risk or credit risk. The return of a hedge fund
is highly contingent on the specific competences, expertise
and experience of the manager, as well as research capacity
and data analyses. The APG Hedge Funds Fund incorporates
diverse strategies. They distinguish themselves from
traditional investments by the high degree of freedom in
investment style, financial leverage and short positions.
The fund invests in strategies such as corporate distressed,
equity-driven and relative value/arbitrage. These strategies
invest in both highly liquid and less liquid investment
instruments on worldwide equity, bond, commodities,
derivatives and currency markets. New Holland Capital
(NHC) advises APG Asset Management on the selection of
strategies and hedge fund managers. NHC also performs
day-to-day management of the hedge fund portfolio.
New Holland Capital (NHC)
NHC employs approximately thirty specialists. NHC’s
portfolio managers have many years of experience with
hedge funds and managing investment portfolios. The team
also has vast experience with operational and financial risk
management in diverse areas such as fixed-income
securities, equities, commodities and currency.
Strategy distribution
Strategy distribution (as %)
Fund
Relative Value/Arbitrage
46
Equity-Driven
20
Corporate Distressed
13
Exotic Beta/Other
9
Macro/Directional
6
Emerging Markets
5
Portfolio Hedge
1
Portfolio liquidity
Portfolio liquidity (as %)
Fund
Next 12 months
68
Up to 24 months
83
Up to 36 months
90
Up to 60 months
93
Longer than 60 months
100
Return
The fund was set up on January 1, 2010. Since then, the fund
has achieved an average annual return of 11.0% in euros,
5.9% in US dollars and a relative performance of 4.5%.
Fund
(in EUR)
Benchmark
(in EUR)
Relative
(in EUR)
Fund
(in USD)
Benchmark
(in USD)
Relative
(in USD)
2015
13.0
15.5
-2.2
1.4
3.7
-2.2
2014
17.8
18.0
-0.2
3.4
3.7
-0.2
2013
2.3
-4.1
6.7
6.9
0.2
6.7
2012
7.7
-1.3
9.1
9.3
0.3
9.1
2011
8.2
3.6
4.5
4.8
0.2
4.5
2010
17.8
7.2
9.8
10.1
0.3
9.8
Return (as %)
Cumulative return since the start of the fund
100%
80%
60%
40%
20%
0%
Fund
Q4 2015
Q2 2015
Q4 2014
Q2 2014
Q4 2013
Q2 2013
Q4 2012
Q2 2012
Q4 2011
Q2 2011
Q4 2010
Q2 2010
Q4 2009
-20%
Benchmark
Risk
An important characteristic of hedge funds is that traditional
risk factors, such as equity risk or credit risk, are fully or
partially hedged. There is often liquidity risk involved,
however, since underlying investments may not be highly
liquid. Financial leverage can also play an important role.
This gives rise to counterparty risk, for instance, which may
sometimes force a hedge fund to liquidate a position. Hedge
fund managers are often relatively small organizations,
therefore there are operational risks as well. Diversification,
monitoring, operational controls and specific hedging
strategies mitigate the risks in the portfolio. The fund
invests worldwide via underlying hedge funds.
Benchmark
The fund’s benchmark is the 1-month US dollar Libor.
Quantitative data
Information ratio (3-year)
Tracking error (3-year)
Assets under management
1.7
0.8%
€ 19.6 billion
Reitze Douma and his team
NHC’s day-to-day management of the hedge fund
portfolio is monitored by APG Asset Management.
The responsibility for this is held by Reitze Douma and
his team. The legal department, and financial and
operational risk management departments of APG Asset
Management at the Amsterdam and New York locations
are also directly involved in the management of the
hedge fund portfolio.
APG Asset Management N.V.
PO Box 75283, 1070 AG Amsterdam, the Netherlands
Gustav Mahlerplein 3, 1082 MS Amsterdam,
the Netherlands, +31 (0) 20 6048802, www.apg.nl
Reitze Douma,
Managing Director Hedge Funds Fund
[email protected]
Disclaimer
This fund-specific fact sheet must be read in conjunction with the APG
Asset Management General Fact Sheet. For more understanding of the terms
and structure used, you are advised to examine that document first.
www.apg.nl
The disclaimer contained in the general fact sheet also applies to this fact
sheet. For the full information, including information on the risks, you must
read the Description of the Structure of APG Pension Fund Investments.
Source: APG AM Data & Bloomberg; Date: Q4 2015