Benchmark Plus, Investment Strategy Information History Page

Founded in 1996 by CFA's Mike Dunmire and Robert Ferguson, Benchmark Plus Management is a privately held alternative asset management firm based in Tacoma, Washington. The genesis of the firm stemmed from the principals' years of experience and the observation that few investment managers produced alpha (risk-adjusted excess return) and far fewer managers generated alpha on a consistent basis. The results demonstrated how difficult it is to generate alpha. Even though many firms invested vast resources to have better analysts, better economists, better strategists or better asset allocators, real alpha eluded the majority of investors. The statement below is the investment philosophy that resulted from that observation.

We believe that investors, including ourselves, have limited predictive abilities. We can't predict the future of the economy, the financial markets or interest rates. Nor do we have a long-term futuristic vision of how things should be. Consequently, we believe it is self-defeating to base the success of an investment strategy on factors that cannot be predicted with any degree of certainty. The Benchmark Plus Investment Strategy is based on analysis we can do.

In January of 1996, Dunmire and Ferguson used their own capital to test a new investment concept: the use of hedged hedge funds to create a Real Portable Alpha Generator. The conceptualized product goals were to produce a portfolio with zero beta and insignificant correlation to financial indices. Also, and perhaps most important, was the requirement that the investment process be very risk-averse and seek to provide true catastrophe insurance during times of severe financial stress. Additional performance goals included: (1) Downside volatility limited to no more than five percent on an annualized basis, after leverage; (2) 90% positive monthly returns; (3) drawdowns limited to less than two percent in any month; (4) a Sharpe Ratio greater than two and (5) an alpha (risk-adjusted excess return) of 500 to 1,000 basis points per year.

The founders combining their experience of more than 30 years exclusively devoted to alternative investment strategies and hedging along with a unique investment approach developed a portable "Real Alpha™ Generator". The result was the Benchmark Plus Partners Market Neutral Fund (renamed Real Alpha™ Fund, June 2007); a portfolio that has a beta of zero, no significant correlation to any financial markets and an excess return (alpha) that is consistent on a month by month basis. The Benchmark Plus Partners Real Alpha™ Fund remains the firm's flagship product.

In January of 1998, Benchmark Plus started taking outside capital and in the same year introduced a family of portable alpha index funds. These funds utilize the unique financial characteristics of a Real Alpha™ Generator combined with futures overlays to create additional funds with entirely different investment focuses. The result is funds with directional biases that have historically provided significant alpha in all market conditions. The funds, while they have very different investment objectives, are expected to generate the same 500-1,000 basis points of annual alpha.



Benchmark Plus is devoted to remaining current on the latest in financial theories and incorporating them into their investment process if they can be used to create products that provide significant risk-adjusted excess returns to its clients.