What has performance been like over the past, say, five years and 12 months?

Due to private placement rules, we cannot publicly disclose our performance.

What have been performance drivers? What might have hit performance, and why?

The main performance drivers for SkyBridge in 2012 and so far in 2013 have been hedge funds focused on cash flow generative strategies.

In our view, these funds offer the most attractive return streams per unit of risk, beta, and liquidity in the current market environment. Thus, we continue to position for potential exposure to strong, consistent cash flow generative strategies that we believe should not be dependent on an improvement in the global economy or financial markets in order to generate returns. If the eurozone and the US economy hold together and security prices do not appreciate in value to any material extent, we believe that the cash flow generative nature of our top-three themes (prepayment sensitive mortgage-backed securities, credit sensitive MBS, and high yield/stressed US corporate credit) should generate at least modest returns.

Furthermore, on a relative basis, we believe these strategies should be typically less affected by the debilitating risk-on/risk-off price action that gripped the capital markets in 2011 and 2012, since the cash flow acts as cushion to extreme market moves.

In addition, we expect to maintain smaller exposures to strategies such as lower beta Basel III implementation-related relative value credit, and residual event-driven equity. We believe that what these strategies do not have in cash flows, they should partially make up for in hard catalysts, such as the continuing trend of US bank balance sheet consolidation and select merger and acquisition activity. We continue to seek to avoid strategies that are dependent on monetising, nearly impossible to time, mark to market gains or losses such as long/short equity or macro.

How in general does the firm go about selecting investments. How do you describe your investment and risk philosophy?

SkyBridge’s investment process starts with fundamental research of the global capital markets to establish a top-down view of the macroeconomic environment. Based on our view of the markets, we will seek to identify low volatility, non-correlated, thematic exposures to hedge fund opportunity sets with the greatest potential risk/reward proposition. Portfolio management actively shifts investment themes (strategies) and exposures as the environment changes.

Prior to making an allocation, we consider historical and anticipated performance of each underlying fund manager and perform extensive operational due diligence – while giving consideration to the current macroeconomic outlook and the particular manager’s strategy. We also practice active portfolio management with the goal of creating diversified, hedged portfolios.

All our investments are supported by risk management, operational due diligence and an ongoing monitoring process – with a view to positioning toward capital market opportunities and risks.

In terms of risk management - SkyBridge views risk holistically, as exposure to any financial, reputational, regulatory, legal, operational, or other such factors that may negatively impact the firm and/or its performance. Risk management considerations are integrated into the firm’s investment decision making and allocation process. The head of risk management sits on the manager selection committee and the portfolio allocation committee.  It is important to note, however, that no risk management system is failsafe.

What is the fee structure? Some FoHFs levy a separate fee. How are fees disclosed?

The industry’s exclusive focus on fees is clearly misplaced. What matters, at the end of an investment process, is the risk-adjusted return net of fees. How one gets to that return is immaterial. If an investor is happy with the return, then a fund of fund has provided value.