SOUTH AFRICAN HEDGE FUND SURVEY

November 2010
 COMMENTS | November 2010

THE HEDGE FUNDS

For the 12 months ended 30 November 2010, the SYm|mETRY Hedge Fund Index returned +10.2%, Long Short Equity returned +12.2%,
Market Neutral +6.3%, Fixed Income +21.5%, Multi Strategy +13.3% and Trading +6.2%.

PARTICIPATION

It is our intention to attempt to increase the participation of existing managers into the survey. This to create a more representative survey
and hence a more reliable industry benchmark.  Over the years the local hedge fund industry has been plagued by survivorship bias and we
would encourage more managers to join the survey as and when they meet with the survey’s listing requirements. It is also the intention
in the future to look at making further content changes and we therefore ask that should you have any recommendations for this, that you
please send your suggestions to hedgefunds@symmetry.co.za.

Warnings and Disclaimer

SYm|mETRY Multi-Manager is a division of Old Mutual Life Assurance Company (South Africa) Limited. Registration number 1999/004643/06. Old Mutual Life Assurance Company (South Africa) Limited is a
licensed financial services provider, authorised in terms of the Financial Advisory and Intermediary Services Act 37 of 2002 to furnish advice and render intermediary services with regard to long term insurance
and pension fund benefits as well as providing intermediary services as a discretionary investment manager.
SYm|mETRY Multi-manager has comprehensive crime and professional indemnity insurance, as part of the Old Mutual Group cover. For more detail, as well as for information on how to contract us and on
how to access information please visit www.symmetry.com
Hedge funds are defined as any fund, regardless of the fund’s legal structure, that holds a net short or net leveraged position. Managers of these funds are subject to higher fit and proper standards and
additional disclosures are required to clients. The legal structure itself, depending on that structure, may not be subject to direct FSB oversight. The inclusion in the SYm|mETRY hedge fund survey of a fund
does not imply endorsement of that hedge fund by SYm|mETRY Multi-Manager or that SYm|mETRY Multi-Manager has checked that the manager is registered with the FSB. Potential investors are strongly
urged to conduct their own due diligence prior to investing. It is advisable to seek independent financial, legal and other professional advice on these matters, as investments of this type are considered to
be speculative and may not be suitable for all investors. Investors should evaluate whether such investments are appropriate given their financial position and current investments. Returns on these products
depend on the performance of the underlying assets. Users should be aware that short term performance can be volatile and that past performance is not necessarily a good guide to future performance. 
The information in this survey is for general guidance and does not constitute an offer made by SYm|mETRY Multi-Manager. This survey is for the use of Old Mutual and its clients only and may not be published
externally without permission first being obtained from SYm|mETRY Multi-Manager. While great care and diligence has been taken in the compilation of the documentation, no representation or warranty,
express or implied, is or will be given by SYm|mETRY Multi-Manager, OMLACSA or its directors, partners, employees or advisors or any other person to the accuracy or the completeness of the information in
the documentation or relating thereto. SYm|mETRY Multi-Manager or OMLACSA will not accept any liability for losses suffered as a result of inaccuracies.

1
 RETURNS | November 2010

Fund
Returns
Start Fund Max Size
Asset Manager Fund Name Date Status Leverage (R'm) 1 Month 3 Months 6 Months 12 Months 3 Yrs p.a. 5 Yrs p.a. YTD

LONG-SHORT EQUITY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
36ONE Asset Management 36ONE Hedge Fund Apr-06 Open 2X 1,328 1.6% 5 6.8% 5 9.7% 7 19.1% 3 11.0% 4 13.2% 5
Alpha Macro Fund Managers The Absolute Alpha Fund Nov-03 Open 1.5X 86 1.3% 7 16.1% 1 8.5% 10 7.7% 14 11.0% 5 18.3% 2 6.8% 15
Bacci Trading Bacci Applause Growth Fund Dec-03 Open 1.5X 10 -0.2% 14 4.7% 11 7.8% 11 9.4% 12 4.7% 11 8.1% 12
Breakwater Capital Impact Fund Feb-02 Open 2X 32 0.7% 9 5.9% 8 12.1% 4 13.5% 9 4.8% 10 6.3% 6 12.6% 7
Variable Bias Equity Long Short
Catalyst Fund Manager Feb-06 Open 7X 24 -0.6% 16 4.0% 13 8.8% 9 13.2% 10 9.6% 6 11.2% 9
Fund
Coronation Fund Managers Presidio Fund Oct-05 Open 3X 104 0.0% 13 7.6% 4 12.5% 3 26.3% 2 15.1% 2 17.8% 3 23.2% 2
i capital Nitrogen Hedge Fund Aug-06 Open 2.5X 252 2.3% 2 3.3% 14 6.1% 14 7.7% 13 11.4% 3 7.1% 14
Investec Asset Management Equity Hedge Fund Dec-07 Open 5X 22 2.9% 1 -1.7% 17 -6.3% 17 -9.6% 17 4.5% 12 -10.8% 17
Peregrine Capital High Growth Fund Feb-04 Closed 5X 269 0.6% 10 5.7% 9 10.4% 6 18.8% 4 6.9% 9 21.1% 1 15.1% 3
Peregrine Capital Oakmont Fund Jun-03 Closed 5X 1,763 0.1% 12 4.1% 12 6.9% 13 13.0% 11 3.7% 13 13.3% 5 10.6% 10
Praesidium SA Hedge Fund Dec-03 Open 2X 38 0.4% 11 6.7% 6 9.6% 8 14.8% 8 -1.5% 14 15.4% 4 10.5% 11
RMB Asset Management RMBAM Long Short Equity Fund Feb-06 Open 3X 12 -0.4% 15 0.1% 16 3.4% 16 4.9% 16 8.4% 7 4.8% 16
Salient Quants SA Hedge Fund Aug-06 Open 3X 18 1.4% 6 8.8% 3 11.7% 5 16.8% 5 7.3% 8 12.6% 6
Steyn Capital Management Long/Short Equity Fund May-09 Closed 2X 331 2.3% 3 6.3% 7 15.3% 2 30.7% 1 29.0% 1
T-Cap Solario Fund May-07 Open 4X 41 1.1% 8 5.1% 10 5.5% 15 7.7% 15 18.4% 1 7.2% 13
Tower Capital Management Tower Fund Aug-09 Open 2X 12 2.1% 4 9.3% 2 17.3% 1 16.7% 6 14.0% 4
X-Chequer Fund Management Long/Short Fund Jun-08 Open 3X 319 -0.7% 17 3.0% 15 6.9% 12 16.5% 7 12.3% 8

Average/Total 4,661 0.9% 17 5.6% 17 8.6% 17 13.4% 17 8.2% 14 15.4% 6 11.0% 17

Median 0.7% 5.7% 8.8% 13.5% 7.8% 16.6% 11.2%
Best 2.9% 16.1% 17.3% 30.7% 18.4% 21.1% 29.0%
Worst -0.7% -1.7% -6.3% -9.6% -1.5% 6.3% -10.8%

MARKET NEUTRAL Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Allan Gray Optimal Oct-02 Open 2X 3,012 0.6% 4 0.8% 9 1.8% 12 5.2% 12 8.1% 12 8.4% 6 4.8% 12
Blue Print Fund Managers Blue Print Hedge Fund Jul-07 Open 4X 256 -0.1% 13 3.3% 3 7.8% 1 11.7% 3 15.5% 3 9.5% 3
Cadiz Asset Management Emerald Market Neutral Fund Jan-08 Open 3X 50 -5.8% 17 -4.6% 17 -0.2% 17 1.8% 15 1.2% 15
CAFM Arcis Fund Oct-06 Open 5X 203 0.8% 3 0.9% 8 3.6% 8 8.6% 6 10.3% 7 8.0% 5
Coronation Fund Managers Multi-Strategy Arbitrage Fund Jul-03 Open 3X 556 0.6% 5 2.2% 5 6.4% 3 14.3% 1 14.4% 4 14.9% 1 13.9% 1
Investec Asset Management Active Quants Hedge Fund Sep-05 Open 3.3X 91 1.5% 1 3.7% 2 6.4% 4 6.5% 10 5.8% 14 11.0% 4 5.9% 9
Khulalonda Asset Management Khulalonda Fund Jul-06 Open 3X 200 0.0% 11 -0.1% 11 4.0% 7 6.6% 9 15.8% 2 5.7% 10
Mazi Capital Mazi Visio Market Neutral Fund Nov-06 Open 4X 230 0.4% 8 3.7% 1 4.1% 6 10.9% 4 10.1% 9 7.7% 6
OMIGSA Macro Strategy Macro Solutions Stable Hedge
Oct-05 Open 3X 57 1.0% 2 0.6% 10 2.9% 10 0.0% 17 7.3% 13 7.6% 7 0.2% 17
Investments Fund
OMIGSA Absolute Return
OM Volatility Arbitrage Fund Sep-05 Open 1.33X 1,256 0.4% 7 1.8% 6 3.3% 9 7.2% 8 8.6% 11 10.6% 5 6.3% 8
Investments
Peregrine Capital Pure Hedge Fund Feb-04 Open 4X 183 0.4% 8 2.8% 4 6.7% 2 13.7% 2 9.0% 10 13.4% 2 11.5% 2
Peregrine Fund Platform Big Rock Capital Fund Jan-99 Open 3.5X 673 -0.5% 15 -3.2% 16 0.2% 15 4.7% 13 13.0% 6 11.7% 3 3.1% 14
PSG Absolute Investments Double Diamond Fund Sep-08 Open 3X 52 -1.4% 16 -1.3% 14 -0.1% 16 1.7% 16 0.6% 16
RMBAM Market Neutral Equity
RMB Asset Management Aug-06 Open 3X 12 0.1% 10 -0.1% 12 1.7% 14 3.3% 14 10.1% 8 3.2% 13
Fund
Sanlam Investment
Gen-X Equity Market Neutral Fund May-07 Closed 3X 613 -0.4% 14 -0.3% 13 2.1% 11 7.9% 7 13.9% 5 6.9% 7
Management
Sanlam Investment
Gen-X Statistical Arbitrage Fund Jun-08 Open 3X 150 0.4% 6 -1.3% 15 1.7% 13 5.8% 11 5.3% 11
Management
X-Chequer Fund Management X-Chequer Market Neutral Fund Jun-06 Closed 3.5X 779 0.0% 11 1.7% 7 4.7% 5 10.0% 5 17.3% 1 8.3% 4

Average/Total 8,372 -0.1% 17 0.6% 17 3.4% 17 7.0% 17 11.4% 14 11.1% 7 6.0% 17

Median 0.4% 0.8% 3.3% 6.6% 10.2% 11.0% 5.9%
Best 1.5% 3.7% 7.8% 14.3% 17.3% 14.9% 13.9%
Worst -5.8% -4.6% -0.2% 0.0% 5.8% 7.6% 0.2%

MARKET RETURNS Return Return Return Return Return Return Return

FTSE/JSE All Share Index -0.4% 12.1% 13.1% 15.3% 2.8% 15.6% 12.0%
All Bond Index 2.0% 3.8% 11.6% 18.9% 11.1% 8.8% 17.5%
STeFI (Cash) 0.5% 1.5% 3.3% 7.0% 9.3% 8.9% 6.4%

2
 RETURNS | November 2010

Fund
Returns
Start Fund Max Size
Asset Manager Fund Name Date Status Leverage (R'm) 1 Month 3 Months 6 Months 12 Months 3 Yrs p.a. 5 Yrs p.a. YTD

FIXED INCOME Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Acumen Capital AcuityOne Hedge Fund Sep-09 Open 20X 81 -1.5% 10 3.3% 4 3.3% 11 30.7% 3 28.8% 3
Coronation Fund Managers Granite Fixed Income Fund Oct-02 Open 10X 751 0.8% 3 1.9% 6 4.7% 10 10.2% 11 12.0% 6 11.4% 4 9.6% 12
Fairtree Capital Fixed Income Fund Jan-10 Open 12X 408 1.0% 2 3.6% 2 12.1% 2 28.5% 5
Green Oak Capital Specialist Fund Dec-06 Open 7X 98 0.0% 6 3.5% 3 9.2% 5 21.5% 6 16.4% 2 19.4% 7
Green Oak Capital Go Green Fund Nov-09 Open 10X 230 0.1% 4 3.8% 1 11.7% 3 30.7% 4 28.5% 4
Investec Asset Management Fixed Income Hedge Fund Apr-04 Closed 10X 604 -0.8% 8 1.2% 9 5.3% 8 11.8% 10 13.1% 5 12.6% 3 10.5% 11
KADD Capital Validus Fixed Income Fund Sep-06 Closed 10X 712 -3.1% 11 1.5% 8 11.1% 4 32.6% 2 27.7% 1 30.2% 2
KADD Capital Validus + Fixed Income Fund Sep-08 Closed 20X 201 -9.6% 12 -2.5% 12 15.5% 1 45.1% 1 40.7% 1
Kagiso Hedge Funds FreeStone Fund Jul-09 Open 10X 124 -0.9% 9 1.1% 10 9.1% 6 24.1% 5 23.2% 6
PSG Absolute Investments South Easter Fixed Interest Fund Nov-05 Open 20X 292 0.0% 7 -0.4% 11 2.2% 12 12.5% 8 13.2% 4 12.9% 1 10.6% 9
RMB Asset Management RMBAM Proton Fund Aug-01 Open 7X 142 1.1% 1 2.8% 5 5.0% 9 11.9% 9 7.5% 7 9.9% 5 10.5% 10
Sanlam Investment Gen-X Fixed Income Arbitrage
Oct-04 Open 12X 734 0.1% 4 1.9% 7 6.8% 7 15.8% 7 13.6% 3 12.9% 2 14.7% 8
Management Fund

Average/Total 4,376 -1.1% 12 1.8% 12 8.0% 12 22.4% 11 14.8% 7 11.9% 5 21.3% 12

Median 0.0% 1.9% 7.9% 21.5% 13.2% 12.6% 21.3%
Best 1.1% 3.8% 15.5% 45.1% 27.7% 12.9% 40.7%
Worst -9.6% -2.5% 2.2% 10.2% 7.5% 9.9% 9.6%

SINGLE MANAGER MULTI STRATEGY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Brait Multi-Strategy Fund Oct-06 Open 5X 1,124 -1.6% 4 2.9% 3 9.3% 2 20.8% 2 25.0% 1 19.7% 2
Cadiz Asset Management ZAR Opportunities Fund Apr-09 Open 3X 44 -0.5% 3 0.5% 4 4.8% 4 7.2% 4 8.4% 3
Breakwater Capital Clear Horizon Multi-Strategy Fund Oct-05 Open 5X 23 2.6% 1 10.2% 1 20.2% 1 26.0% 1 6.5% 2 14.4% 1 25.9% 1
Mergence Africa Investments Mergence Africa Uvuno Jun-06 Open 1X 664 -0.1% 2 4.8% 2 6.0% 3 8.1% 3 4.1% 3 6.8% 4

Average/Total 1,855 0.1% 4 4.6% 4 10.1% 4 15.5% 4 11.9% 3 14.4% 1 15.2% 4

Median -0.3% 3.9% 7.7% 14.5% 6.5% 14.4% 14.0%
Best 2.6% 10.2% 20.2% 26.0% 25.0% 14.4% 25.9%
Worst -1.6% 0.5% 4.8% 7.2% 4.1% 14.4% 6.8%

TRADING Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Badger Capital Badger Quant Fund Jan-04 Open 1.5X 33 3.6% 1 -2.8% 2 1.2% 2 12.1% 1 18.9% 1 25.2% 1 9.6% 1
Interneuron Freestyle Portfolio Jun-01 Open 1X 54 -1.2% 2 7.6% 1 7.5% 1 10.3% 2 -2.0% 2 4.8% 2 6.8% 2

Average/Total 88 1.2% 2 2.4% 2 4.3% 2 11.2% 2 8.4% 2 15.0% 2 8.2% 2

Median 1.2% 2.4% 4.3% 11.2% 8.4% 15.0% 8.2%
Best 3.6% 7.6% 7.5% 12.1% 18.9% 25.2% 9.6%
Worst -1.2% -2.8% 1.2% 10.3% -2.0% 4.8% 6.8%

FUNDS SMALLER THAN R 10M Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Aylett & Co Aylett Hedge Fund Jun-08 Open 2X 1 0.5% 1 2.1% 1 3.7% 1 10.1% 1 8.9% 1
Gryphon Market Neutral Equity Fund Dec-02 Open 2X 9 0.4% 2 1.1% 2 1.4% 2 4.1% 2 10.8% 1 9.9% 1 3.6% 2

Average/Total 11 0.4% 2 1.6% 2 2.6% 2 7.1% 2 10.8% 1 9.9% 1 6.2% 2

Median 0.4% 1.6% 2.6% 7.1% 10.8% 9.9% 6.2%
Best 0.5% 2.1% 3.7% 10.1% 10.8% 9.9% 8.9%
Worst 0.4% 1.1% 1.4% 4.1% 10.8% 9.9% 3.6%

TOTAL FUNDS SUMMARY Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank
Total/Average 19,363 0.0% 54 3.0% 54 6.7% 54 12.7% 53 10.6% 41 12.3% 22 11.5% 54
Best Fund 2.9% 16.1% 20.2% 45.1% 27.7% 21.1% 40.7%
Worst Fund -9.6% -4.6% -6.3% -9.6% -2.0% 4.8% -10.8%

HEDGE FUND INDEX Jun-01 0.1% 2.7% 6.0% 10.2% 7.9% 12.3% 8.8%
Long Short Index Long Short Index Feb-02 0.9% 2 5.6% 1 8.3% 2 12.2% 3 5.7% 3 14.7% 2 9.9% 3
Market Neutral Index Market Neutral Index Oct-02 -0.2% 4 0.8% 5 3.4% 5 6.3% 4 8.9% 2 11.1% 3 5.5% 5
Fixed Income Index Fixed Income Index Aug-01 -1.1% 5 1.9% 4 8.1% 3 21.5% 1 17.3% 1 15.6% 1 19.7% 1
Multi Strategy Index Multi Strategy Index Oct-03 0.1% 3 4.6% 2 9.1% 1 13.3% 2 4.3% 4 10.5% 4 11.9% 2
Trading Index Trading Index Jun-01 1.2% 1 2.5% 3 4.5% 4 6.2% 5 1.0% 5 7.9% 5 5.6% 4

MARKET RETURNS Return Return Return Return Return Return Return

FTSE/JSE All Share Index -0.4% 12.1% 13.1% 15.3% 2.8% 15.6% 12.0%
All Bond Index 2.0% 3.8% 11.6% 18.9% 11.1% 8.8% 17.5%
STeFI (Cash) 0.5% 1.5% 3.3% 7.0% 9.3% 8.9% 6.4%

3
 RISK MEASURES | November 2010

% Pos Best Worst Draw- Correlations

Asset Manager Fund Name Months Month Month down Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio ALSI ALBI Group

Inception

Inception

Inception

Inception

3 Years

3 Years

3 Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M

12M

12M
3Y

3Y

3Y

3Y
LONG-SHORT EQUITY
36ONE Asset Management 36ONE Hedge Fund 76.8% 6.3% -11.6% -12.6% 6.3% 9 11.4% 11 4.5 6 0.2 5 3.8 5 1.4 4 1.9 6 0.1 4 61.3% -16.5% 79.7%
Alpha Macro Fund Managers The Absolute Alpha Fund 68.2% 15.4% -5.7% -9.7% 14.6% 17 12.2% 12 0.1 15 0.2 4 1.1 14 1.3 5 0.0 15 0.1 5 45.2% 1.7% 21.0%
Bacci trading Bacci Applause Growth Fund 77.4% 4.2% -7.6% -9.1% 6.2% 8 7.3% 3 0.7 12 (0.7) 11 1.3 12 0.8 12 0.4 12 (0.6) 11 58.5% 24.5% 9.5%

Breakwater Capital Impact Fund 74.5% 6.9% -10.2% -24.7% 6.5% 11 13.2% 13 1.8 11 (0.4) 10 2.4 9 0.9 10 1.0 11 (0.3) 10 47.5% 43.0% 71.3%

Variable Bias Equity Long Short

Catalyst Fund Manager 62.1% 17.5% -9.6% -25.0% 6.0% 7 20.4% 14 2.3 10 0.0 6 2.0 11 1.2 7 1.0 10 0.0 6 26.7% 29.5% 54.5%
Fund
Coronation Fund Managers Presidio Fund 75.8% 7.1% -7.3% -9.8% 6.4% 10 10.8% 8 14.4 2 0.8 2 8.7 2 1.8 3 3.0 3 0.5 2 76.4% 10.7% 85.5%
i capital Nitrogen Hedge Fund 86.5% 7.5% -3.4% -3.4% 4.4% 3 4.5% 1 0.2 13 0.6 3 1.2 13 2.1 1 0.2 13 0.5 3 16.5% 29.0% 52.9%
Investec Asset Management Equity Hedge Fund 61.1% 5.2% -3.8% -13.3% 7.3% 14 7.4% 4 (2.1) 17 (0.8) 12 0.2 17 0.8 11 (2.3) 17 (0.7) 12 23.4% -18.5% 15.4%
Peregrine Capital High Growth Fund 80.5% 7.4% -7.9% -17.7% 3.7% 2 10.1% 7 7.7 3 (0.3) 8 7.9 3 1.0 9 3.2 2 (0.2) 8 59.9% -31.9% 75.0%
Peregrine Capital Oakmont Fund 81.1% 5.6% -4.1% -16.0% 2.9% 1 7.5% 5 4.9 5 (0.9) 13 3.8 6 0.7 13 2.1 5 (0.8) 13 67.4% 2.0% 88.0%
Praesidium SA Hedge Fund 82.1% 12.0% -11.8% -25.8% 7.1% 13 10.9% 10 3.2 7 (1.1) 14 2.4 8 0.5 14 1.1 8 (1.0) 14 53.9% 6.9% 66.7%
RMB Asset Management RMBAM Long Short Equity Fund 78.8% 5.5% -4.2% -7.5% 4.9% 6 6.0% 2 (0.8) 16 (0.2) 7 0.7 16 1.2 6 (0.4) 16 (0.2) 7 73.2% -9.0% 58.6%
Salient Quants SA Hedge Fund 73.1% 8.0% -4.8% -7.9% 9.2% 15 8.2% 6 2.7 8 (0.4) 9 2.4 7 1.1 8 1.1 9 (0.2) 9 47.2% -34.1% 45.6%
Steyn Capital Management Long/Short Equity Fund 94.7% 8.5% -0.6% -0.6% 4.8% 5 236.3 1 999.9 1 4.9 1
T-Cap Solario Fund 65.1% 7.5% -5.3% -5.5% 10.2% 16 10.8% 9 0.1 14 1.5 1 1.1 15 2.1 2 0.1 14 0.8 1 38.5% 23.1% 35.8%
Tower Capital Management Tower Fund 75.0% 3.9% -1.9% -2.8% 7.0% 12 2.5 9 2.4 10 1.4 7
X-Chequer Fund Management Long/Short Fund 93.3% 6.6% -0.7% -0.7% 4.6% 4 6.4 4 4.3 4 2.1 4

Average/Total 76.8% 7.9% -5.9% -11.3% 6.6% 17 10.0% 14 16.8 17 (0.1) 14 61.5 17 1.2 14 1.2 17 (0.1) 14 49.7% 4.3% 54.2%

Median 76.8% 7.1% -5.3% -9.7% 6.3% 10.4% 2.5 (0.3) 2.4 1.1 1.1 (0.2) 50.7% 4.4% 56.6%

Best 94.7% 17.5% -0.6% -0.6% 2.9% 4.5% 236.3 1.5 999.9 2.1 4.9 0.8 16.5% -34.1% 9.5%

Worst 61.1% 3.9% -11.8% -25.8% 14.6% 20.4% (2.1) (1.1) 0.2 0.5 (2.3) (1.0) 76.4% 43.0% 88.0%
Inception

Inception

Inception

Inception

3 Years

3 Years

3 Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M

12M

12M
3Y

3Y

3Y

3Y
MARKET NEUTRAL
Allan Gray Optimal 84.7% 3.9% -1.0% -1.4% 2.0% 6 2.8% 4 (1.1) 14 (0.6) 14 0.5 14 1.4 12 (0.9) 14 (0.4) 14 -39.5% 6.2% -18.4%

Blue Print Fund Managers Blue Print Hedge Fund 87.8% 7.2% -5.0% -5.0% 3.4% 13 6.8% 12 3.6 4 1.7 5 2.7 4 3.2 4 1.4 4 0.9 5 26.1% -16.5% 25.0%

Cadiz Asset Management Emerald Market Neutral Fund 85.7% 3.9% -5.8% -5.8% 7.7% 17 (0.8) 13 0.5 13 (0.7) 13

CAFM Arcis Fund 86.0% 3.0% -1.9% -3.0% 1.9% 4 2.1% 1 1.7 6 0.8 7 1.8 6 2.9 5 0.8 6 0.5 7 -18.8% 30.6% -2.1%

Coronation Fund Managers Multi-Strategy Arbitrage Fund 91.0% 3.9% -1.6% -1.6% 2.5% 8 4.1% 7 10.5 2 2.6 2 6.7 2 4.1 2 2.9 2 1.3 2 7.8% 15.0% -18.2%

Investec Asset Management Active Quants Hedge Fund 69.4% 7.1% -14.7% -20.2% 3.6% 14 11.1% 14 (0.2) 9 (0.4) 12 0.9 9 1.0 14 (0.2) 10 (0.3) 12 53.9% -31.1% 50.8%

Khulalonda Asset Management Khulalonda Fund 73.6% 6.5% -2.7% -3.5% 3.2% 9 6.8% 11 (0.2) 10 1.8 4 0.9 10 2.5 6 (0.1) 9 1.0 4 -15.8% -16.2% 23.5%

Mazi Capital Mazi Visio Market Neutral Fund 77.6% 9.0% -6.3% -8.5% 3.2% 10 7.3% 13 3.2 5 0.2 9 2.6 5 1.4 10 1.2 5 0.1 9 49.1% -46.5% 54.1%
OMIGSA Macro Strategy Macro Solutions Stable Hedge
67.7% 4.8% -3.2% -4.5% 3.4% 12 5.7% 10 (2.0) 17 (0.5) 13 0.3 17 1.1 13 (2.0) 17 (0.3) 13 40.1% 30.4% 41.3%
Investments Fund
OMIGSA Absolute Return
OM Volatility Arbitrage Fund 90.5% 2.7% -1.3% -2.8% 1.1% 1 2.7% 2 0.3 8 (0.3) 11 1.2 8 1.6 9 0.2 8 (0.3) 11 71.3% 9.8% 50.5%
Investments

Peregrine Capital Pure Hedge Fund 87.8% 4.1% -2.1% -3.2% 1.8% 3 4.3% 8 17.3 1 (0.1) 10 10.5 1 1.4 11 3.8 1 (0.1) 10 61.6% -10.3% 61.7%

Peregrine Fund Platform Big Rock Capital Fund 81.8% 8.7% -4.7% -5.5% 5.3% 15 4.7% 9 (0.5) 12 1.2 6 0.7 12 2.5 7 (0.4) 12 0.8 6 -20.9% -6.0% 12.7%

PSG Absolute Investments Double Diamond Fund 63.0% 7.9% -9.7% -15.7% 5.5% 16 (1.1) 15 0.5 15 (1.0) 15
RMBAM Market Neutral Equity
RMB Asset Management 86.5% 2.5% -3.3% -4.9% 2.0% 5 2.7% 3 (2.0) 16 0.5 8 0.3 16 2.3 8 (1.9) 16 0.3 8 19.3% -14.7% 53.7%
Fund
Sanlam Investment
Gen-X Equity Market Neutral Fund 83.7% 5.2% -2.3% -2.3% 2.4% 7 4.0% 6 0.5 7 1.9 3 1.3 7 3.2 3 0.4 7 1.1 3 18.7% 14.4% 62.8%
Management
Sanlam Investment
Gen-X Statistical Arbitrage Fund 83.3% 3.3% -2.4% -2.4% 3.3% 11 (0.5) 11 0.8 11 (0.4) 11
Management
X-Chequer Fund Management X-Chequer Market Neutral Fund 94.4% 4.8% -1.5% -1.5% 1.7% 2 3.7% 5 3.8 3 6.3 1 3.1 3 8.7 1 1.7 3 2.1 1 41.2% -27.6% 77.6%

Average/Total 82.0% 5.2% -4.1% -5.4% 3.2% 17 4.9% 14 1.9 17 1.1 14 2.1 17 2.7 14 0.3 17 0.5 14 21.0% -4.5% 33.9%

Median 84.7% 4.8% -2.7% -3.5% 3.2% 4.2% (0.2) 0.6 0.9 2.4 (0.1) 0.4 22.7% -8.1% 45.9%

Best 94.4% 9.0% -1.0% -1.4% 1.1% 2.1% 17.3 6.3 10.5 8.7 3.8 2.1 -39.5% -46.5% -18.4%

Worst 63.0% 2.5% -14.7% -20.2% 7.7% 11.1% (2.0) (0.6) 0.3 1.0 (2.0) (0.4) 71.3% 30.6% 77.6%
Months

Months

Months

Months
3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years
12

12

12

12

MARKET RETURNS
FTSE/JSE All Share Index 55.6% 12.5% -13.2% -40.4% 17.0% 22.2% 0.9 (0.4) 1.5 1.0 0.5 (0.3) 100% -1.5%

All Bond Index 63.9% 8.5% -2.9% -9.4% 4.4% 8.2% 10.9 0.4 7.6 1.5 2.7 0.2 -1.5% 100%

STeFI (Cash) 100.0% 1.0% 0.5% 0.0% 0.2% 0.6% - - 1.1 40.4 - - -35.9% 2.1%

4
 RISK MEASURES | November 2010

% Pos Best Worst Draw- Correlations

Asset Manager Fund Name Months Month Month down Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio ALSI ALBI Group

Inception

Inception

Inception

Inception

3Years

3Years

3Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M

12M

12M
3Y

3Y

3Y

3Y
FIXED INCOME
Acumen Capital AcuityOne Hedge Fund 80.0% 12.3% -2.7% -2.7% 10.8% 10 5.6 8 3.9 8 2.2 9
Coronation Fund Managers Granite Fixed Income Fund 99.0% 3.5% -1.2% -1.2% 1.4% 1 2.0% 1 9.3 4 4.9 1 7.1 4 17.5 1 2.3 7 1.3 4 -20.0% -13.7% 21.1%
Fairtree Capital Fixed Income Fund 100.0% 4.0% 1.0% 0.0%
Green Oak Capital Specialist Fund 91.7% 4.7% -2.8% -2.8% 4.7% 6 4.8% 4 19.7 2 3.0 4 13.8 3 4.8 3 3.1 4 1.5 2 25.4% -27.0% 62.7%
Green Oak Capital Go Green Fund 100.0% 7.7% 0.0% 0.0% 6.9% 7 50.6 1 45.1 1 3.4 2
Investec Asset Management Fixed Income Hedge Fund 95.0% 5.9% -1.6% -1.6% 2.7% 4 4.2% 3 3.1 10 1.8 5 3.1 10 3.5 5 1.7 10 0.9 5 7.7% 72.5% -9.4%
KADD Capital Validus Fixed Income Fund 90.2% 9.5% -5.7% -5.7% 7.6% 9 9.0% 6 7.1 6 4.1 2 7.0 5 5.3 2 3.4 3 2.0 1 5.9% -8.3% 79.6%
KADD Capital Validus + Fixed Income Fund 88.9% 15.5% -9.6% -9.6% 17.2% 11 3.7 9 3.7 9 2.2 8
Kagiso Hedge Funds FreeStone Fund 76.5% 5.5% -1.2% -1.2% 7.4% 8 6.0 7 4.1 7 2.3 6
PSG Absolute Investments South Easter Fixed Interest Fund 80.3% 6.9% -5.3% -5.3% 4.2% 5 7.5% 5 2.6 11 0.8 6 2.2 11 2.0 6 1.3 11 0.5 6 -0.7% -14.5% 50.3%
RMB Asset Management RMBAM Proton Fund 90.18% 4.3% -9.5% -17.9% 1.6% 2 9.0% 7 7.2 5 (0.2) 7 5.8 6 1.1 7 3.0 5 (0.2) 7 26.2% -63.8% 31.8%
Sanlam Investment Gen-X Fixed Income Arbitrage
91.89% 3.5% -0.6% -0.6% 2.3% 3 3.1% 2 18.5 3 3.0 3 16.2 2 4.4 4 3.9 1 1.4 3 -15.1% 8.0% 44.0%
Management Fund

Average/Total 90.3% 6.9% -3.3% -4.0% 6.1% 11 5.7% 7 12.1 11 2.5 7 10.2 11 5.5 7 2.6 11 1.1 7 4.2% -6.7% 40.0%
Median 90.9% 5.7% -2.1% -2.1% 4.7% 4.8% 7.1 3.0 5.8 4.4 2.3 1.3 5.9% -13.7% 44.0%
Best 100.0% 15.5% 1.0% 0.0% 1.4% 2.0% 50.6 4.9 45.1 17.5 3.9 2.0 26.2% 72.5% 79.6%
Worst 76.5% 3.5% -9.6% -17.9% 17.2% 9.0% 2.6 (0.2) 2.2 1.1 1.3 (0.2) -20.0% -63.8% -9.4%
Inception

Inception

Inception

Inception

3Years

3Years

3Years
SINGLE MANAGER MULTI
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M
12M

12M
3Y

3Y

3Y

3Y
STRATEGY
Brait Multi-Strategy Fund 74.0% 8.7% -7.4% -11.9% 6.6% 4 7.2% 2 5.5 2 5.6 1 4.2 2 5.4 1 2.1 2 2.2 1 23.2% -15.4% 30.2%
Cadiz Asset Management ZAR Opportunities Fund 75.0% 2.2% -1.8% -3.6% 4.2% 1 0.0 4 1.0 4 0.0 4
Breakwater Capital Clear Horizon Multi-Strategy Fund 66.1% 12.5% -8.4% -31.3% 6.4% 2 10.5% 3 8.7 1 (0.4) 2 7.3 1 1.0 2 3.0 1 (0.3) 2 66.2% 18.3% 58.4%
Mergence Africa Investments Mergence Africa Uvuno 66.7% 4.8% -4.9% -9.7% 6.5% 3 7.1% 1 0.3 3 (0.9) 3 1.1 3 0.8 3 0.2 3 (0.7) 3 72.2% -16.3% 85.0%

Average/Total 70.4% 7.1% -5.6% -14.1% 5.9% 4 8.3% 3 3.6 4 1.5 3 3.4 4 2.4 3 1.3 4 0.4 3 53.9% -4.5% 57.8%
Median 70.3% 6.8% -6.1% -10.8% 6.5% 7.2% 2.9 (0.4) 2.7 1.0 1.1 (0.3) 66.2% -15.4% 58.4%
Best 75.0% 12.5% -1.8% -3.6% 4.2% 7.1% 8.7 5.6 7.3 5.4 3.0 2.2 23.2% -16.3% 30.2%
Worst 66.1% 2.2% -8.4% -31.3% 6.6% 10.5% 0.0 (0.9) 1.0 0.8 0.0 (0.7) 72.2% 18.3% 85.0%
Inception

Inception

Inception

Inception

3 Years

3 Years

3 Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M
12M

12M
3Y

3Y

3Y

3Y
TRADING
Badger Capital Badger Quant Fund 74.7% 19.5% -14.0% -16.7% 8.3% 1 8.7% 1 0.9 1 1.8 1 1.6 1 2.5 1 0.6 1 1.1 1 17.1% -4.7% -4.2%
Interneuron Freestyle Portfolio 59.6% 9.4% -7.4% -21.9% 12.5% 2 11.1% 2 0.5 2 (1.2) 2 1.2 2 0.6 2 0.3 2 (1.0) 2 38.8% -8.7% 61.3%

Average/Total 67.2% 14.4% -10.7% -19.3% 10.4% 2 9.9% 2 0.65 2 0.29 2 1.41 2 1.52 2 0.44 2 0.04 2 27.9% -6.7% 28.5%
Median 67.2% 14.4% -10.7% -19.3% 10.4% 9.9% 0.65 0.29 1.41 1.52 0.44 0.04 27.9% -6.7% 28.5%
Best 74.7% 19.5% -7.4% -16.7% 8.3% 8.7% 0.85 1.77 1.57 2.47 0.61 1.10 17.1% -8.7% -4.2%
Worst 59.6% 9.4% -14.0% -21.9% 12.5% 11.1% 0.46 (1.20) 1.24 0.58 0.26 (1.02) 38.8% -4.7% 61.3%
Inception

Inception

Inception

Inception

3 Years

3 Years

3 Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M
12M

12M
3Y

3Y

3Y

3Y

FUNDS SMALLER THAN R 10M

Aylett & Co Aylett Hedge Fund 100.0% 4.8% 0.4% 0.0% 1.3% 2 11.7 1 6.8 1 2.4 1
Gryphon Market Neutral Equity Fund 88.5% 2.3% -1.0% -1.0% 1.1% 1 2.4% 1 (2.3) 2 1.1 1 0.1 2 3.2 1 (2.7) 2 0.6 1 -14.4% -17.6% 12.8%

Average/Total 94.3% 3.5% -0.3% -0.5% 1.2% 2 2.4% 1 4.7 2 1.1 1 3.4 2 3.2 1 (0.1) 2 0.6 1 -14.4% -17.6% 12.8%
Median 94.3% 3.5% -0.3% -0.5% 1.2% 2.4% 4.7 1.1 3.4 3.2 (0.1) 0.6 -14.4% -17.6% 12.8%
Best 100.0% 4.8% 0.4% 0.0% 1.1% 2.4% 11.7 1.1 6.8 3.2 2.4 0.6 -14.4% -17.6% 12.8%
Worst 88.5% 2.3% -1.0% -1.0% 1.3% 2.4% -2.3 1.1 0.1 3.2 (2.7) 0.6 -14.4% -17.6% 12.8%
Inception

Inception

Inception

Inception

3 Years

3 Years

3 Years
Rank

Rank

Rank

Rank

Rank

Rank

Rank

Rank
12M

12M

12M
12M
3Y

3Y

3Y

3Y

TOTAL FUNDS SUMMARY

Average/Total 81.3% 6.8% -4.7% -8.0% 5.2% 7.2% 9.0 0.9 23.3 2.6 1.1 0.3 29.8% -2.3% 42.9%
Best 100.0% 19.5% 1.0% 0.0% 1.1% 2.0% 236.3 6.3 999.9 17.5 4.9 2.2 76.4% 72.5% 88.0%
Worst 59.6% 2.2% -14.7% -31.3% 17.2% 20.4% (2.3) (1.2) 0.1 0.5 (2.7) (1.0) -39.5% -63.8% -18.4%

HEDGE FUND INDEX 86.0% 6.8% -7.2% -9.0% 2.2% 3.7% 3.1 (0.5) 2.6 1.2 1.4 (0.4) 74.7% -10.0%
Long Short Index Long Short Index 75.5% 7.4% -5.7% -12.2% 4.1% 0 6.9% 4 2.5 3 (0.6) 3 2.6 3 0.9 3 1.3 3 (0.5) 3 72.2% 13.8%
Market Neutral Index Market Neutral Index 92.9% 3.7% -0.5% -0.5% 1.4% -2 2.1% 1 (0.7) 5 (0.3) 2 0.7 5 2.0 2 (0.5) 5 (0.2) 2 64.7% -24.1%
Fixed Interest Index Fixed Income Index 96.4% 3.4% -1.5% -1.5% 3.7% -1 3.7% 2 8.9 1 3.9 1 8.5 1 5.6 1 3.9 1 2.2 1 23.2% -25.2%
Multi Strategy Index Multi Strategy Index 79.1% 7.9% -7.0% -12.8% 4.3% 1 6.9% 3 2.9 2 (0.8) 4 2.6 2 0.8 4 1.4 2 (0.7) 4 70.7% -25.5%
Trading Index Trading Index 59.6% 10.3% -5.8% -9.6% 5.4% 2 7.0% 5 (0.2) 4 (1.3) 5 0.9 4 0.5 5 (0.2) 4 (1.2) 5 12.7% -34.5%
Months

Months

Months
3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years

3 Years
Months
12

12

12

MARKET RETURNS
12

FTSE/JSE All Share Index 55.6% 12.5% -13.2% -40.4% 17.0% 22.2% 0.9 (0.4) 1.5 1.0 0.5 (0.3) 100% -1.5%
All Bond Index 63.9% 8.5% -2.9% -9.4% 4.4% 8.2% 10.9 0.4 7.6 1.5 2.7 0.2 -1.5% 100%
STeFI (Cash) 100.0% 1.0% 0.5% 0.0% 0.2% 0.6% - - 1.1 40.4 - - -35.9% 2.1%

5
 GLOSSARY AND CONTACT DETAILS | November 2010

ALBI (All Bond Index) Maximum Leverage

The Bond Exchange Association of South Africa All Bond Index, which The maximum leverage the fund is allowed to utilise according to its
is used as a proxy for the SA fixed interest (bond) market. mandate.

ALSI (All Share Index) Sharpe Ratio

The FTSE/JSE All Share Index, which is used as a proxy for the SA The Sharpe ratio is calculated by subtracting the risk-free rate - such
equity market. The index consists of the largest 160 stocks on the as that of the 10-year U.S. Treasury bond - from the rate of return
JSE, weighted according to their free float market caps. for a portfolio and dividing the result by the standard deviation of the
portfolio returns.
Correlation The Sharpe ratio tells us whether a portfolio’s returns are due to smart
investment decisions or a result of excess risk. This measurement is
A statistical measure of how two securities move in relation to very useful because although one portfolio or fund can reap higher
each other. Correlation is computed into what is known as the returns than its peers, it is only a good investment if those higher
correlation coefficient, which ranges between -1 and +1.  Perfect returns do not come with too much additional risk. The greater a
positive correlation (a correlation co-efficient of +1) implies that as portfolio’s Sharpe ratio, the better its risk-adjusted performance has
one security moves, either up or down, the other security will move been. A negative Sharpe ratio indicates that a risk-less asset would
in lockstep, in the same direction.  Alternatively, perfect negative perform better than the security being analyzed.
correlation means that if one security moves in either direction
the security that is perfectly negatively correlated will move by an
equal amount in the opposite direction. If the correlation is 0, the Pos Months %
movements of the securities are said to have no correlation;  they The percentage of months that the fund had positive returns.
are completely random.

Return and Risk Calculations

Fixed Income Category
All return calculations are based on time weighted returns from
Managers in this category generate profit by exploiting opportunities monthly data, are net of fees and are annualised for periods longer
in fixed interest securities and derivatives. than 1 year (indicated by p.a.).

Fund Size Risk Free Return

The market value of the assets in the fund as at the survey date. The rate of return that can be earned with almost no risk. For this
survey this rate is assumed to be the return that is earned on short
Fund Status dated fixed interest instruments as measured by the STEFI index.
Indicates the fund’s ability to accept new investments. OPEN means
the fund is still accepting new investments. CLOSED means the fund Single Manager Multi-Strategy Category
is no longer accepting new investments Funds in this category combine several distinct investment strategies
into one fund.
Funds Smaller Than R10 Million Category
This category is for all funds with less than R10 million in assets. Standard Deviation
These funds are listed seperately to distinguish them from the larger A measure of the dispersion of a fund’s returns around its mean.
and more established funds. Standard deviation is often also referred to as the volatility of the
fund and is a common measure of risk in a fund. Funds with higher
Group Correlation standard deviations have more uncertain returns than funds with
lower standard deviations.
The correlation of the fund with the average monthly return of its
category.
STEFI Index (Short Term Fixed Interest Index)
(Largest) Drawdown The STEFI index measures the performance of various short-term
fixed interest instruments (max maturity of 1 year).
The biggest cumulative loss the fund has experienced since inception.

Sortino Ratio
Leverage
The Sortino ratio measures the downside risk-adjusted return of the
Leverage is calculated as the sum of the absolute value of total long fund. It is calculated by deducting the risk free return from the fund
exposure and total short exposure of the fund divided by the fund return. The result is then divided by the fund’s downside deviation
size. Leverage is used as an indication of the fund’s exposure relative from the risk free rate.
to its size. Leverage is sometimes also referred to as Total Gross
Exposure or Gearing.
Trading Category
Long-Short Equity Category Funds in this category generate profit by trading mainly in derivatives
and indices rather than individual securities. Investment opportunities
Funds in this category generate profit by exploiting opportunities in are identified using technical or quantitative systems and the funds
the equity and equity derivatives market. Managers can hold both are often traded very actively.
long and short positions in these securities and can actively manage
the net equity market exposure of the fund depending on market
conditions.

Market Neutral Category

Funds in this category generate profit by exploiting opportunities in
the equity and equity derivatives market. Managers aim to neutralise
directional market risk by combining long and short positions in
broadly equal amounts.

Contact Details:
For any queries or comments regarding the SYm|mETRY South African Hedge Fund survey or to participate in the survey, please contact Martin
Hammond on 021 509 6028 or hedgefunds@symmetry.co.za. To receive the most recent survey every month, please subscribe on the SYm|mETRY
website at www.symmetry.co.za