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Alternative Market Briefing

As one of South Africa's oldest hedge funds, Big Rock plays its cards right with low-risk relative value strategy

Wednesday, July 13, 2011

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Leila Kuhlenthal
Benedicte Gravrand, Opalesque Geneva:

Within the Peregrine Group, there is a South Africa-focused, market neutral hedge fund called Big Rock Capital Fund; it is now up 5.6% YTD net, after returning 1.9% in May 2011. That month, the fund remained market neutral (3% net long), it was leveraged 1.4 times and benefited from relative value trades in the financial and industrial sectors.

Comparatively, according to Singapore-based data provider Eurekahedge, emerging markets hedge funds lost 1.20% in May, 0.64% (est.) in June and are up 1.04% YTD; and relative value hedge funds lost 0.19% in May, gained 0.39% (est.) in June and are up 2.80% YTD (the only down year since 2000 being 2008).

The FTSE/JSE Africa All Share Index started 2011 at 32,427 and went down to 32,389 on May 30th. It suffered a dip at the end of 2008 and during 2009 (to around 18,000) but has recovered its May 2008 high of around 32,000 since.

Without a single down calendar year since its inception more than 12 years ago, the Big Rock Capital Fund has returned 626% in total and has annualised 17.3% with a standard deviation of 6.7%. Like quite a few of its peers in South Africa, it did well in 2008 with a return of almost 20%, and in 2009 with 17%.

Some of the fund's portfolio managers, along with Leila Kuhlenthal of the Peregrine Group, spoke to Opalesque's founder Matthias Knab during his recent visit to South Africa.

Big Rock was acquired by the Peregrine Group in January 200......................

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