NEW YORK, February 19, 2004 — REFCO Alternative Investments, LLC (RAI), the alternative asset management division of REFCO Group Ltd., LLC (�REFCO�), and Abbey Capital Limited (�ACL�), thespecialist alternative investment portfolio manager based in Dublin, today announced the launch of their first fund according to David Henritze, president of RAI, and Tony Gannon, CEO and founder ofACL.
The fund, a diversified multi-manager futures fund, opened with more than $40 million from institutional and high net worth investors in the U.S., Europe, the Far East and Latin America. It is a Commodity Trading Advisor (CTA) portfolio that offers access to 11 managers who collectively provide diversification across time frames, countries, markets and styles. The portfolio combines trend following CTAs with non-trend following CTAs that attempt to minimize correlations and create a more consistent return profile.
�Abbey Capital has constructed a robust portfolio that seeks to deliver returns of 12% � 15% with a volatility target below 10%,� said Mr. Henritze of RAI. �Their portfolio construction and risk management expertise is unsurpassed, and we are confident that this fund will provide investors with a welcome opportunity to diversify their portfolios with a managed futures product with daily liquidity.�
�We are delighted with the structure and diversity of our inaugural fund, said Mr. Gannon of ACL. �We allocate through managed accounts only, which solves transparency problems and provides the liquidity required for our comprehensive risk management process.�
ACL is known for stringent risk controls that combine rigorous quantitative analysis with strong qualitative examination. The research is a continuous process, as Abbey assesses managers against peer groups and strives to improve the portfolio mix on an ongoing basis.
RAI and ACL announced the formation of a strategic alliance on November 6, 2003; in order to jointly develop a series of multi-manager managed futures funds specifically designed for institutional and high net worth investors. ACL is responsible for portfolio construction, manager selection and risk management. RAI defines which products should be created. The products are then distributed to the institutional and high net worth marketplace whereby RAI is responsible for investor services. An independent, third party administrator prices each fund on a daily basis.
RAI is the alternative asset management division of REFCO. RAI expands Refco�s traditional trading and asset management capabilities into managed futures, hedge funds, and structured products to provide investors with a full range of investment choices. RAI capitalizes on the best worldwide issuers, investment managers, derivative experts and other financial service organizations to provide investors with access to competitive investment solutions. RAI has the flexibility and resources to tailor solutions to meet investors’ objectives, whether they require highly customized solutions, retail products, or private labeled products.
REFCO is a diversified financial services organization with operations in 14 countries. Through its worldwide subsidiaries, REFCO is among the most active members of futures exchanges around the world, a major broker of cash market products and an asset manager in traditional and alternative products. REFCO subsidiaries are also clearing members of all principal U.S. and international futures exchanges.
ACL is an alternative investment fund manager specializing in managed futures and FX managers. ACL consists of a team of seasoned professionals who have a deep understanding of the dynamics behind the return drivers and key success factors of alternative managers. ACL provides superior screening and selection capabilities to the creation and management of multi-manager portfolios. ACL operates from Dublin under the supervision of the IFSRA, is regulated by the CFTC, and is also a member of NFA. The firm manages in excess of $250 million.
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For further information call: David D. Henritze, Jr.
President
Refco Alternative Investments, LLC
Refco Group Ltd., LLC
One World Financial Center
200 Liberty Street-Tower A
New York, NY 10281-1094
+1-212-693-3942
dhenritze@refco.com
