• Hennessee Hedge Fund Index -0.37% in May
• Barclays CTA and Hedge Fund Indices
• Hedge funds seen running at least 5 pct of global assets
• PlusFunds now has U.S.$2.5 billion invested in the S&P Hedge Fund Indices
• CalPERS eyes 10 managers for enhanced indexing
• Instinet to Expand Block Trading Platform with Launch of Intra-Day Cross
• Competition seen benefiting Chicago futures mkts
• Spitzer: no truce in Grasso war
• LJH Global Investments Names COO
• Martin Currie HF manager leaves after mediocre performance and investor pull backs(JP)
• Allianz to pitch Hedge Funds in Germany (JP)
• 8 hedge funds approved so far in Germany
• German Regulator Finds Improper Mutual Fund Trading
• In spite of the boom, some global challenges remain: Battling AIDS in India

• Financial Portfolio Management System – A Modular Front/Back Office System from Computer Design
• 11th Annual Hedge Fund Forum New York City - Save up to $500
• 7th annual Hedge Funds World Asia 2004 Hong Kong - 10% Discount for subscribers!
• NEW! : 2nd Annual Global Absolute Return Congress (‘Global ARC’) Boston
• Alternative Investment Roundup: three concurrent conferences on Hedge Funds, Private Equity & Real Estate
• Asset Allocation Summit London - 10% discount for subscribers
• Institutional Investor invites for second annual Hedge Fund Awards Dinner in NY on June 24, 2004
• Advertise in this newsletter
• Contact

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July 2003

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Special offer to Opalesque readers. Order Practical Risk Management with us now and save 20%. Only £36.00/€54.00/ (US customers US$72.00) plus P&P. Quote promotion code CWD when prompted, or contact cs-books@wiley.co.uk for further details. Link for EU customers here. US customers, please follow this link. If you get this newsletter in the text version please click on the “View the HTML-Version” at the top of the newsletter or paste the following link into your browser to access the links to Wiley: http://www.opalesque.com/forward.php?to=op_3_2.php. Remember to quote CWD for your discount!

To the Recommended Reading Archive

Positive Moves in Interest Rates, Oil, and Unemployment Increase Hedge Fund Manager's Market Exposure. Hedge funds produced a negative return of -0.37% in May, bringing the 2004 year to date return to +1.82% for the Hennessee Hedge Fund Index®. "Hedge fund managers are calling this 'the I.O.U. market' (interest rates, oil, and unemployment). Positive developments on all three fronts have given hedge fund managers encouragement to increase their equity exposure," stated Charles Gradante, Managing Principal of Hennessee Group LLC. "A growing number of managers believe CEOs have been conservative about 2004 earnings and that there will be surprises to the upside in the third and fourth quarters. The S&P 500 is now trading at 16.5 times forward operating earnings, down from a February peak of 18.5," concluded Mr. Gradante. Source: press release. No online Source

Matthias Knab reports, with Reuters sources: Hedge funds are expected to manage at least five percent of global financial assets by 2009 from around two percent now, delegates to an alternative investment conference said on Tuesday. The 1500 delegates expressed the following views in other votes: the industry would benefit from more regulation; 62 percent of voters news coverage was biased against hedge funds; future returns of hedge funds would most probably be risk free plus up to 5% and that the hedge fund world profits from the institutionalisation of the industry. Source

Since the August 2002 launch of PlusFunds’ groundbreaking program tracking the S&P Hedge Fund Indices, PlusFunds has maintained its leadership position in terms of investment choices and value added services. Moreover, the company’s investment program has benefited from PlusFunds’ independence and neutrality from any financial institution and/or index provider, as well as an advanced managed account platform which supports daily valuation, transaction reconciliation, and risk measurement across a wide range of investment styles. Source

ine.com reports CalPERS staff recommended 10 managers to run a total of $6 billion in U.S. enhanced indexed equity assets. More: Source

Instinet, LLC today announced the expansion of its suite of electronic U.S. equity block trading services with the addition of the Intra-Day Cross (IDX). Scheduled to launch Wednesday, June 9, IDX was designed to counter the industry trend toward smaller execution size, and give institutional investors the opportunity to anonymously and cost efficiently trade large blocks of U.S. stock, or illiquid U.S. securities, without human intervention and without an effect on price. IDX will join the company's other institutional block trading services: Volume-Weighted Average Price (VWAP) Cross, Continuous Block Crossing (CBX(SM)), End-of-Day Cross (EDX), ProActive SmartRouter(SM) and sales trading desks in North America, Europe and Asia. Source

Reuters.com reports competition from Europe has forced Chicago's futures industry to boost its game, benefiting the two big exchanges and their end-users, participants in a financial seminar said on Monday. Source

New York State Attorney General Eliot Spitzer vowed Tuesday to fight to the finish in his court battle with former New York Stock Exchange chief Richard Grasso over a $187 million pay package. "No way, no how," said Spitzer, responding to recent reports that Spitzer and Grasso might both be open to a settlement. Source

InstitutionalInvestor.com reports LJH Global Investments has named Robert Blabey as chief operating officer. Blabey will monitor the firm's investment activities in Attica-LJH Investment Management, an FSA-licensed company that manages hedge fund of funds and advises on hedge fund investments. Source

Bloomberg reports that Martin Currie Investment Management Ltd.'s Michael Nicol quit as manager of the Edinburgh-based company's European hedge fund. Martin Currie spokesman Ross Leckie declined to comment on the departure. The firm, which oversees about $15 billion of assets, hired Nicol last year to run a new hedge fund investing in European stocks. Between June 16, 2003, and the end of May the fund lost about 4.4 percent of its value, while the Dow Jones Stoxx 50 Index gained 8.9 percent, according to data compiled by Bloomberg. The fund started with an initial $22 million of assets. It now has about $12 million of customer money, Nicol said. No online Source

According to Bloomberg, Allianz AG's asset-management unit is considering offering hedge funds in Germany and may create a separate subsidiary to oversee the funds, Boersen-Zeitung said, citing the company's head of equities, Andreas Utermann. Allianz Dresdner Asset Management will make a decision in the next 12 months, Utermann was quoted as saying. In March, the Munich-based company introduced two so-called fund of funds. Allianz Dresdner Asset Management plans to wait to see what regulations are introduced by the U.S. Securities and Exchange Commission before proceeding with its plans. The new SEC regulations may forbid managers of mutual funds to also oversee hedge funds. Source

About five months after new regulations have come into place, the German regulator BAFin reports they have received 11 applications for hedge fund distribution out of which 8 have been approved so far. The BAFin stressed they specially check out the disclosures and the qualification of directors and fund manager of the asset management company. Additionally only hedge funds with working and reliable risk control and risk management would be allowed for public distribution. The agency explained that often these new products are still in developmental phase and may hit the markets only slowly. In German: Source

From Bloomberg.com - Germany's financial regulator found one case of improper trading of mutual fund shares in an investigation into the country's 840 billion-euro ($1 trillion) market. BaFin, based in Frankfurt and Bonn, hasn't uncovered “systematic” wrongdoing, Andre Wetzel, a spokesman for the regulator, said in an interview. “We found one instance of late trading,” he said, declining to give more details. Source

The McKinsey Quarterly is taking a deep look how this global desease is still threating the (global?) welfare: The surprising victory of India's Congress Party in last month's national elections was a wake-up call to the country's leaders to address the needs of its rural poor. High on that agenda must be the prevention and treatment of AIDS. Today 4.6 million people in India are infected with HIV, and the number could swell to 25 million by the decade's end if prevention programs are neglected. Ashok Alexander, a former McKinsey director who now leads the Bill & Melinda Gates Foundation's Indian AIDS initiative, believes that the epidemic can be rolled back only by building a network of private and public alliances. In "Battling AIDS in India," Alexander discusses the threat and how to avert it.

The take-away: Although the initiative has received support from some corporate partners, India's businesses have been slow to recognize the severity of the AIDS threat. Pointing to the devastation in parts of Africa as a cautionary example, Alexander warns that businesspeople must go beyond altruism by looking at HIV prevention as an essential prerequisite for avoiding economic and social disaster. Source

In line with changing industry trends Computer Design’s modular Financial Portfolio Management System (FPM) has evolved over the course of time from a multi-currency-multi-instrument portfolio management system, to an institutional fund management system, managed futures system, hedge funds system. Here are some examples of the uses of the FPM system.

• Order Management: Creation of an electronic dealing pad to record the decision process and issue pre-trade breach warnings. Dealers are able to see open positions and P&L on-line. Back office can process the deals without re-keying.
• Managed Futures Accounts: One of the most time consuming tasks for the back office is to compute performance fees in accordance with client mandates. Normally fees accrue at periodic intervals and become payable depending on certain thresholds. In our solution accrual and payment records are accounted through FPM Cash Book/General Ledger and the fee notes printed automatically.
• Client Report Book: Each month client account managers send statements to clients with differing reporting requirements. FPM Client Report Book automates the procedure and provides straight integration with Microsoft Office.
• Financial Reports: Fund managers have complex financial reporting requirement for gross/net P&L, Income Forecast, Statement of Total Return, Balance Sheet. FPM General Ledger meets these requirements through a flexible combination of the accounting database and Excel.
• Performance Attribution: FPM Performance Attribution Module allows asset managers to maintain model portfolios and composite benchmarks and to determine asset class relative performance and contribution based on industry standard methods and integrated graphics output.
• Integrated System: Computer Design creates integrated systems with straight through processing between all departments with a flexible general ledger back-bone, data feed interface for prices and corporate actions, financial reporting and an interface to the custodian for settlement instructions. All of our clients have evaluated a number of systems but only FPM could provide the required functionality for the price.

From the team that brought you GAIM USA, the only must-attend event of the summer on key regulatory and investment issues in the heart of New York City. **Register and Save up to $500**

• Special track specifically for investors looking to make an early allocation to hedge funds - plus the opportunity to meet leading institutional investors including - Verizon Investment Management, Stanford Management Company & the Ford Foundation
• Opportunity to meet face to face with several leading consultants advising on major alternative investment mandates
• A mid year update on regulatory issues - registration, inspections, cap intro conflicts of interest, AML update, short selling rules and more.
• Expert advice on how to prepare for and manage an SEC inspection - unmissable information given the additional resources the SEC will be dedicating to inspecting hedge funds.
• Outlook for alpha roundtables - face to face time with leading managers to discover their perspectives on alpha opportunities in each of the major hedge fund strategies.

For more information, visit: www.iirhedge.com or contact Marc Weitzman at the Institute for International Research p: 212.661.3500 ext.3092

With over 90 expert speakers form over 15 countries; the 7th annual Hedge Funds World Asia is the regions leading alternative investment event and Hong Kong's only hedge funds event with a proven track record. For more information please contact Rani at Tel: +65 63222 721 or mail to rani.kuppusamy@terrapinn.com

Pension/Endowment speakers include:

• from North America: ABP Investments • Alberta Revenue • CDP Capital • City of Philadelphia Public Employees • Emory University Endowment • George Washington University Endowment • MIT Endowment & Retirement Plan • New Hampshire Retirement System • Texas Teachers Retirement System • The Atlantic Philanthropies • University of California Endowment • University of Texas Endowment • Verizon Investment Management • Virginia Retirement System • World Bank Pension Plan
• from Europe: AP7 Pension Fund • Danish Lawyers & Economist Pension Plan • KLM Airlines Pension Plan • Pension Fennia • Skandia Liv
• from Asia and Australasia: Commonwealth/Public Superannuation Scheme • Mitsubishi Corporation Pension Fund • New Zealand Superannuation Fund • Retail Employees Superannuation Trust • Victorian Funds Management Corporation

For registration go to www.global-arc.net or contact David Stewart at david@global-arc.net

The Alternative Investment Roundup is three concurrent conferences at the same location covering the most important alternative asset classes-Private Equity, Hedge Funds, & Institutional Real Estate. The programs share networking events, offering you unmatched opportunities to meet a wide array of alternative investment professionals and investors. Over 750 decision makers attended last year's event.

10% discount for Alternative Market Briefing Readers for the Alternative Investment Roundup. Register by May 17, 2004 for additional Early Bird Discount. For more information, please visit www.srinstitute.com/air or contact Chris Petersen at CPetersen@srinstitute.com

At this critical juncture for the development of the world's equity and bond markets, this conference will be examining strategic and tactical asset allocation, current strategy and alternative investing. Our conference in October 2003 attracted over 300 participants to the Inter-Continental Hotel.

"THE BIG EVENT FOR THE BIG PICTURE"

The theory and practice of asset allocation is undergoing dramatic change. The dominant position of equities in pension schemes is under question and investment consultants are putting forward new ideas regarding the structure of asset allocation benchmarks. Multi-asset mandates are coming back into fashion. Asset allocators are grappling with uncertain economic and market conditions, and the correlation between equity and bond markets has reversed. Alternative Investments are seeing record new money flows. The Asset Allocation Summit features speakers at the very heart of these key developments. For anyone involved in asset allocation, this could be the most significant investment conference of 2004.

OVER 300 DELEGATES IN 2003

ASSET ALLOCATION SUMMIT 2004 features presentations on:

• Current investment strategy
• Dynamic asset allocation strategies
• Liability driven benchmarks and risk budgeting
• Tactical asset allocation
• Using style analysis
• Investing in hedge funds
• Investing in private equity
• Gold, commodities and other alternatives
• Portable alpha strategies
• Currency overlay strategies
• Derivative overlays and structured products
• Implementation tools and strategies

This gala – held in conjunction with Institutional Investor’s Spring Hedge Fund Investment Roundtable, June 23-24, 2004 – will bring together the hedge fund industry to recognize and applaud the achievements of their peers. The awards dinner will include key industry players – hedge fund managers, funds of funds, endowments, foundations, and corporate and public pension funds.

Nominees for the awards are selected by the editorial team of Alternative Investment News. Subscribers, readers and other industry members are encouraged to visit our website to offer their input and comments on the nominations. Winners will be selected by the editorial team of Alternative Investment News. Winners will be announced at the event.

2004 Alternative Investment News’ Editorial Advisory Board:
Leroy Cody, American Express Alternative Investments
Joel Katzman, J P Morgan Alternative Asset Management
Richard Lindsey, Bear Stearns Securities Corp
Nick von Speyr, Optima Fund Management
Kent Clark, Goldman Sachs Hedge Fund Strategies
Joe Pescatore, UBS
Martin Phipps, Gartmore Investments

Award Categories: Hedge Fund Leader of the Year, Fund of Funds Leader of the Year, Institutional Manager of the Year, Emerging Manager of the Year, Institutional Investor of the Year

To find out who is nominated and to register for the event contact: Nazneen Kanga nkanga@iinews.com

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