2005 01 - ONE Class A - Euro dollar -  Monthly  comment - BB
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2005 01 - ONE Class A - Euro dollar - Monthly comment - BB

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2 Pages
English

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ONE MULTI-STRATEGY FUND LIMITED – Class AJanuary 2005 Monthly CommentsIn January, both the Dollar share class and the Euro shares class were down (0.30%) and (0.27%) respectively. January was a positive month for oil prices but unfortunately bad for equities as the S&P 500 lost 2.43%. Volatility (as measured by the VIX) moved up slightly from its 2004 lows but closed the month at 12.82% and the 10-year note ended the month at 4.14%. Leading strategies for January 2005 were distressed/high yield trading followed by multi-strategy. Strategy Allocation for January 2005Convertiblearbitrage Fixed Cash2.73% Income2.09%CTA Arbitrage13.65% 2.61%L/S Equity15.99%Options Arbitrage17.91%HighFund of Yi e l dFunds / Multi- 22.58%Strategy22.44%Class A – USD - ISIN code: KYG6751G1055 Class A – Euro – ISIN code: KY6751G1139Monthly Net Returns (%) - USD Class A Monthly Net Returns (%) - EURO Class A 2000 2001 2002 2003 2004 2005 2000 2001 2002 2003 2004 2005Jan1.681.850.660.790.40(0.3) Jan 1.51 1.72 0.94 0.79 0.56 (0.27)Feb5.042.990.190.430.9 Feb 4.88 2.80 0.44 0.45 0.19 Mar 1.77 1.28 0.30 (0.21) 0.33 Mar 1.61 1.17 0.64 (0.08) 0.53 Apr 2.65 0.88 0.60 1.13 (1.26) Apr 2.49 0.43 0.63 1.15 (1.09) May 0.95 1.42 0.52 0.98 (0.79) May 0.78 1.02 0.57 1.38 (0.79) Jun 1.31 0.69 (0.44) 0.26 0.36 Jun 1.14 0.27 (0.42) 0.27 0.44 Jul 0.58 0.41 (0.48) (0.57) (0.51) Jul 0.42 0.19 (0.47) (0.51) (0.19) Aug 1.62 1.11 0.72 (1.89) 0.48 Aug 1.45 0.83 0.84 (2.02) 0.50 Sep 2.39 0 ...

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Informations

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Reads 13
Language English

Exrait

L/S Equity
15.99%
Convertible
arbitrage
2.73%
Fixed
Income
Arbitrage
2.61%
Cash
2.09%
CTA
13.65%
Options Arbitrage
17.91%
Fund of
Funds / Multi-
Strategy
22.44%
High
Yield
22.58%
ONE
MULTI-STRATEGY FUND LIMITED – Class A
www.onemsf.com
E-mail: info@onemsf.com
Strategy Allocation for January 2005
Minimum Investment:
$/€ 500,000
Subscriptions:
Monthly
Redemptions:
Monthly
Management fee:
1.25% annually
Performance fee:
5% per annum
Investment Manager:
One Capital Management Limited
Administrator:
Circle Partners
Custodian:
Bank of Bermuda Limited
Auditor:
PricewaterhouseCoopers (Cayman).
Counsel:
Truman Bodden & Company
Terms and Structure
January 2005 Monthly Comments
Class A – USD - ISIN code: KYG6751G1055
January NAV : $163.56
Class A – Euro – ISIN code: KY6751G1139
January NAV : €175.53
2000
2001
2002
2003
2004
2005
J
a
n
1
.
6
8
1
.
8
5
0
.
6
6
0
.
7
9
0
.
4
0
(
0
.
3
0
)
F
e
b
5
.
0
4
2
.
9
9
0
.
1
9
0
.
4
3
0
.
0
9
Mar
1.77
1.28
0.30
(0.21)
0.33
Apr
2.65
0.88
0.60
1.13
(1.26)
May
0.95
1.42
0.52
0.98
(0.79)
Jun
1.31
0.69
(0.44)
0.26
0.36
Jul
0.58
0.41
(0.48)
(0.57)
(0.51)
Aug
1.62
1.11
0.72
(1.89)
0.48
Sep
2.39
0.13
(2.82)
1.11
0.08
Oct
7.90
0.70
(0.18)
0.88
0.79
N
o
v
1
.
7
1
0
.
5
5
0
.
9
4
0
.
7
3
2
.
3
9
D
e
c
2
.
0
2
0
.
8
5
0
.
2
6
0
.
6
3
1
.
6
4
YTD
33.70
13.61
0.21
4.31
4.02
(0.30)
Monthly Net Returns (%) - USD Class A
2000
2001
2002
2003
2004
2005
Jan
1.51
1.72
0.94
0.79
0.56
(0.27)
Feb
4.88
2.80
0.44
0.45
0.19
Mar
1.61
1.17
0.64
(0.08)
0.53
Apr
2.49
0.43
0.63
1.15
(1.09)
May
0.78
1.02
0.57
1.38
(0.79)
Jun
1.14
0.27
(0.42)
0.27
0.44
Jul
0.42
0.19
(0.47)
(0.51)
(0.19)
Aug
1.45
0.83
0.84
(2.02)
0.50
Sep
2.22
(0.99)
(2.41)
1.79
0.11
Oct
0.62
0.71
(0.01)
0.82
0.75
Nov
1.54
0.56
1.01
0.72
2.32
Dec
1.85
1.08
0.51
0.50
1.59
YTD
22.46
10.19
2.24
5.33
4.98
(0.27)
Monthly Net Returns (%) - EURO Class A
In January, both the Dollar share class and the Euro shares class were down (0.30%) and (0.27%)
respectively. January was a positive month for oil prices but unfortunately bad for equities as the S&P
500 lost 2.43%. Volatility (as measured by the VIX) moved up slightly from its 2004 lows but closed
the month at 12.82% and the 10-year note ended the month at 4.14%.
Leading strategies for January
2005 were distressed/high yield trading followed by multi-strategy.
ONE
MULTI-STRATEGY FUND LIMITED – Class A
www.onemsf.com
E-mail: info@onemsf.com
Convertible Arbitrage
January was another challenging month for the convertible arbitrage strategies. The new issue calendar
was generally weak with signs of activity only in the smaller issues. Credit spreads widened a bit in
investment grade names and specific sectors. On the positive side, the manager was able to offset some of
the losses by actively gamma trading.
Long/Short Equities
In January the equity markets took a big hit as the S&P 500 returned a negative 2.43%. The fund
performance reflects the fall in the large cap and mid cap indices and the manager was busy reducing the
long bias by selling covered calls on portfolio positions. The largest sector exposure was to
communications and consumer stocks.
Fund of Funds
In January, the fund returned a small positive result. This return is evidence that the 31 component funds
in the fund of funds portfolio are little correlated. The fund was also negatively impacted by the
drawdown in CTA’s. Investor capital in the fund continues to increase, driven by earnings and a few
infusions.
Options Arbitrage
On January 20th, the manager stated deploying the portfolio into the strategy and remained deployed
through month-end.
High Yield Securities
January proved to be a difficult month for most capital markets. However, the fund held up reasonably
well producing gains on both the long and short side. Spread widening in the high yield market was more
an issue in specific sectors, creating a few more interesting opportunities. Going forward, the manager
believes that the greatest opportunities exist in capital structure arbitrage.
CTA
Surprisingly, the US Dollar rallied in the first week of January, producing negative returns for most
systematic trend-followers in the Currency sector. However, fixed income instruments and energy
holdings positively impacted the portfolio. Still the constant reversal in the market placed trend following
systems at an earnings disadvantage for the month.
Multi Strategy
In January, the multi sector (energy book) outperformed all other strategies in the portfolio. The manager
has changed the allocation of trade rules between the two funds managed and has increased the allocation
of capital to the event driven, energy and healthcare/biotech strategies.
Distressed / High Yield Trading
At month-end, the portfolio reached full deployment. The Trading advisor was able to add short positions
to the portfolio. The largest exposures were to basic materials and communications sectors.