As part of the awards process, Institutional Investor’s 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 Alliance Rankings
All rankings as of 12.31.2016. Opportunistic Credit ranking based on gross returns for Guggenheim’s Opportunistic Credit Composite versus 47 competitors in the eVestment Alliance Credit–Corporate Universe. For the last 1-, 3-, 5- and 7-year periods, Opportunistic Credit ranked in the top 14%, 6%, 2% and 1%, respectively, versus 90, 75, 56 and 40 competitors, respectively. Data taken from eVestment Alliance on 02/15/2017.
Multi Credit ranking based on gross returns for Guggenheim’s Multi Credit Composite versus 44 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 7%, 8%, 5% and 2%, respectively, versus 112, 99, 81 and 63 competitors, respectively. Data taken from eVestment Alliance on 01/23/2017.
Multi Asset ranking based on gross returns for Guggenheim’s Multi-Asset Composite versus 966 competitors in the eVestment Alliance Absolute Return universe. For the last 1-, 3-, 5-and 7-year periods, Multi Asset ranked in the top 17%, 21%, 22% and 14%, respectively, versus 2177, 1912, 1548 and 1279 competitors, respectively. Data taken from eVestment Alliance on 01/24/2017.
Core Fixed Income ranking based on gross returns for Guggenheim’s Core Fixed Income Master Composite versus 143 competitors in the eVestment Alliance US Core Fixed Income universe. For the last 1-, 3-, 5-, 7- and 10-year periods, Core Fixed Income ranked in the top 8%, 1%, 1%, 1% and 1%, respectively, versus 234, 229, 226, 217 and 202 competitors, respectively. Prior to August 2014, the Core Fixed Income Master Composite was known as the Core Fixed Income Composite. Data taken from eVestment Alliance on 01/24/2017.
US Bank Loans ranking based on gross returns for Guggenheim’s US Bank Loans Composite versus 13 competitors in the eVestment Alliance US Floating-Rate Bank Loan Fixed Income universe. For the last 1-, 3-, 5-, 7- and 10-year periods, US Bank Loans ranked in the top 74%, 7%, 9%, 4% and 4%, respectively, versus 74, 74, 63, 51 and 30 competitors, respectively. Data taken from eVestment Alliance on 01/20/2017.
High Yield ranking based on gross returns for Guggenheim’s High Yield Traditional Composite versus 138 competitors in the eVestment Alliance US High Yield Fixed Income universe. For the last 1-, 3-, 5- and 7-year periods, High Yield ranked in the top 21%, 14%, 15%, and 9%, respectively, versus 200, 186, 166 and 145 competitors, respectively. Data taken from eVestment Alliance on 01/20/2017.
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.
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 2013/2014/2015/2016 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, 10/31/2014 and 10/31/2015.
Although the rankings and award information presented herein has been obtained from and is based upon sources Guggenheim Investments believes to be reliable, no representation or warranty, expressed or implied, is made as to the accuracy or completeness of that information. Past performance should not be construed as a guarantee of and may not be indicative of future performance.