About Institutional Investor
U.S. Investment Management Awards: As part of the awards process, Institutional Investors’ editorial and research teams analyze investment strategies based on factors such as 1-, 3- and 5-year performance, Sharpe ratio, information ratio, standard deviation, and upside market capture. Each category is analyzed based on the factors used by institutional investors in their own searches. From this review, the magazine surveyed 1,000 institutions and used the results of that survey to tabulate the winners. The award is based on returns and risk characteristics for Guggenheim Investments’ Multi Credit Fixed Income strategy.
eVestment: All rankings as of 12.31.2015. Core Fixed Income ranking based on gross returns for Guggenheim’s Core Fixed Income Master Composite versus 146 competitors in the eVestment Alliance U.S. Core Fixed Income universe. For the last 1-, 3-, 5-, 7-and 10-year periods, Core Fixed Income ranked in the top 3%, 1%, 1%, 2% and 1%, respectively, versus 240, 239, 236, 230 and 214 competitors, respectively. Prior to August 2014, the Core Fixed Income Master Composite was known as the Core Fixed Income Composite. Opportunistic Credit ranking based on gross returns for Guggenheim’s Opportunistic Credit Composite versus 25 competitors in the eVestment Alliance Credit–Corporate universe. For the last 1-, 3-, 5-, and 7-year periods, Opportunistic Credit ranked in the top 11%, 2%, 1% and 1% respectively, versus 102, 88, 61 and 44 competitors, respectively. Tax-Exempt Municipals ranking based on gross returns for Guggenheim’s Tax-Exempt Municipal Sector versus 106 competitors in the eVestment Alliance U.S. Municipal Fixed Income universe. For the last 1-, 3-, 5-, 7-and 10-year periods, Tax-Exempt Municipals ranked in the top 75%, 17%, 52%, 15% and 3%, respectively, versus 190, 189, 175, 159 and 144 competitors respectively. U.S. Small-Mid Cap Value ranking based on gross returns for Guggenheim’s SMid Cap Value Composite versus 15 competitors in the eVestment Alliance U.S. Small-Mid Cap Value Equity universe. For the last 1-, 3-, 5-, 7- and 10-year periods, U.S. Small-Mid Cap Value ranked in the top 68%, 80%, 84%, 83% and 57%, respectively, versus 95, 92, 85, 75 and 53 competitors, respectively. Multi Credit ranking based on gross returns for Guggenheim’s Multi Credit Composite versus 49 competitors in the eVestment Alliance Custom Multi Credit universe. For the last 1-, 3-, 5-and 7-year periods, Multi Credit ranked in the top 10%, 7%, 7% and 7% respectively, versus 121, 100, 80 and 57 competitors, respectively. Taxable Municipals ranking based on gross returns for Guggenheim’s Taxable Municipal Sector versus 106 competitors in the eVestment Alliance U.S. Municipal Fixed Income universe. For the last 1-, 3-, 5-, 7- and 10-year periods, Taxable Municipals ranked in the top 75%, 17%,52%, 15% and 3%, respectively, versus 190, 189, 175, 159 and 144 competitors, respectively. U.S. Small Cap Value ranking based on gross returns for Guggenheim’s Small Cap Value Composite versus 216 competitors in the eVestment Alliance U.S. Small Cap Value Equity universe. For the last 1-, 3-, 5- and 7-year periods, Small Cap Value ranked in the top 63%, 75%, 69% and 17%, respectively, versus 256, 248, 238 and 222 competitors, respectively. U.S. Bank Loans ranking based on gross returns for Guggenheim’s U.S. Bank Loans Composite versus 19 competitors in the eVestment Alliance U.S. Floating Rate Bank Loan Fixed Income universe. For the last 1-, 3-, 5-, 7-and 10-year periods, U.S. Bank Loans ranked in the top 8%, 3%, 6%, 25% and 1%, respectively, versus 88, 80, 67, 59 and 30 competitors, respectively. High Yield ranking based on gross returns for Guggenheim’s High Yield Traditional Composite versus 156 competitors in the eVestment Alliance U.S. High Yield Fixed Income universe. For the last 1-, 3- and 5-year periods, High Yield ranked in the top 46%, 26% and 24%, respectively, versus 211, 197 and 177 competitors, respectively. Multi Asset ranking based on gross returns for Guggenheim’s Multi-Asset Class Composite versus 1145 competitors in the eVestment Alliance Absolute Return universe. For the last 1-, 3-, 5-, and 7-year periods, Multi Asset ranked in the top 45%, 42%, 18% and 17%, respectively, versus 2523, 2125, 1723, and 1362 competitors, respectively. All Data taken from eVestment Alliance on 02.18.2015
Guggenheim Investments composite peer rankings represent percentile rankings which are based on monthly gross of fee returns and reflect where those returns fall within the indicated eVestment Alliance (EA) universe. EA provides third party databases, including the institutional investment database from which the presented information was extracted. The EA institutional investment database consists of over 1,500 active institutional managers, investment consultants, plan sponsors, and other similar financial institutions actively reporting on over 10,000 products. Only information regarding full year performance and rankings is presented as Guggenheim Investments believes performance for a full year period is an important factor. Additional information regarding EA rankings for year to date and since inception performance of the composites is available on EA’s website.
Creditflux: The Creditflux “CLO” awards are performance-based awards presented to a CLO selected from the CLO universe, which includes US and European CLOs, and where possible differentiates between vintages. In 2011, 293 CLOs were submitted by approximately 50 CLO managers, and in 2012, 300 CLOs were submitted by 66 managers. In 2013, 394 U.S. and 193 European arbitrage CLO transactions were reviewed in the study. Performance is evaluated across the lifetime of a deal up to the end of the year preceding the award year
Through the use of its proprietary ParPlus formula in 2011 and its liquidation IRR in 2012, Creditflux judges the best performing deals to be those that have safeguarded debt investors’ principal and interest, while generating excellent returns for equity investors. The awards are calculated using data supplied directly by managers, but all finalists are checked against the performance data in CLO Master. For validation purposes, only CLOs in CLO Master will be eligible for an award.
The Creditflux “Manager of the Year” award measures performance across a manager as a whole. The universe of managers is divided into European and US managers and again into those firms with more than $2bn of CLOs under management and those with $2bn or less under management. Managers must submit all of their deals or be penalized. A US CLO is a par-based cash securitization of at least $100 million of assets of which at least 60% are US corporate credit instruments and a European CLO is a par-based cash securitization of at least $100 million of assets of which at least 60% are European corporate credit instruments
Creditflux (continued): The “Best U.S. CLO 2.0” is a category that measures the best CLO with a closing date between 2009 and 2011, based on liquidation IRR. Liquidation IRR is the internal rate of return equity investors would receive if a CLO had been liquidated on 31 December 2012, all its assets sold at market value and all proceeds and remaining cash distributed to investors in accordance with the cash flow waterfall. To achieve a positive liquidation IRR, CLOs must be able to repay all debt liabilities. Market values are based on an average of all managers’ marks for that asset. Creditflux applies a haircut for assets that are held by only one manager.
The Creditflux’s “Best Called” deal of 2013 is based on a deal’s actual achieved final equity IRR. Creditflux’s annual CLO awards are based on the liquidation IRR methodology. Liquidation IRR is the internal rate of return equity investors would receive if each competing CLO had been liquidated on 12.31.13 and all assets sold at market value. To calculate the return, all equity distributions up to 12.31.13 were used and a final distribution based on the difference between the market value of the portfolio (inc any cash accounts) and the outstanding liabilities on the liquidation date. To simplify calculations it was assumed that no fees were paid and that all excess cash on liquidation was paid to the equity investors. As part of the process, managers provided their list of marks as of 31st December 2013. Then the average (median) was determined and compared with independent pricing sources to calculate the liquidation value of the portfolio, including any cash accounts. More info about these awards can be reviewed on Creditflux’s website.
Creditflux 2015: With the exception of two awards voted for by investor attendees at the symposium (the investors’ choice awards), all the Creditflux Manager Awards are given according to rigorous, quantifiable and relevant measures of performance. The credit hedge fund awards are based on a methodology that rewards performance weighted by volatility relative to a fund’s redemption profile. Funds that promise liquidity need to deliver stable returns; those that lock up investors’ capital need to achieve greater absolute performance. CLO performance is measured in terms of liquidation IRR: the total return equity investors would have received if their CLO had been liquidated on 31 December 2014. This takes account of equity distributions and the net asset value of the portfolio, and rewards managers that have delivered the best returns to equity while giving a cushion to debt investors. Data for the awards calculations is submitted by managers and supported by figures from CLO-i. Manager of the year award is based on average ranking for each manager across all award categories where present. Funds not submitted for the relevant category are assumed to have fourth-quartile performance. Managers must be present in four or more award categories.
Barron’s: Barron’s Best 100 Hedge Funds rankings is based on data as of December 2013, 2012, 2011 and 2010, respectively, and includes the fund assets of both on- and off-shore funds that meet the minimum fund size of $300 million. The rankings exclude funds that invest in a single country, sector, commodities or narrow asset types. At the request of Barron’s, BarclayHedge (barclayhedge.com), eVestment (evestment.com) and Morningstar (alternativeinvestments.morningstar.com) screened thousands of funds to identify those funds meeting Barron’s basic criteria. Barron’s verified each firm’s results. The other six funds to make Barron’s list for four consecutive years are: ECF Value Fund LP, Providence MBS Ltd, Barnegat Ltd, VR Global Partners LP, Palomino Fund (Appaloosa), and Dankse Investment Hedge Fixed Income Strategies.
HFMWeek: HFMWeek is the largest, globally circulated magazine to the alternative investment industry. The HFMWeek US Performance Awards recognize and reward hedge funds that have outperformed their peers and demonstrated impressive growth. Funds submitting for this category had to meet the following criteria: management of the fund is based in the U.S. or Canada; have a minimum of $1 billion in assets under management; and must have a track record of 3 years ending with their June 2013/2014/2015 performance figures. More information about the HFMWeek U.S. Performance Awards can be reviewed on HFMWeek's website (www.hfmweek.com).
Bloomberg: 100 Top Performing Large Hedge Funds: Rankings calculated using data supplied by hedge-fund research firms, hedge funds and investors. Large Hedge Fund is defined as funds with $1 billion or more in assets. Assets and returns were for the 10 months ended on 10.31.2013 and 10.31.2014. Top 200 Best Performing Fixed Income Directional Hedge Funds: Only funds with $50 million or more under management that have reported performance through 12.31.2012 are included.