Net returns for the nine months ended September 30, 2012 for the Fortress Macro Funds, Fortress Asia Macro Funds and Fortress Partners Funds were 11.1%, 10.7% and 6.9%, respectively. Positive year-to-date performance has brought nearly all main Fortress Macro Fund and Fortress Asia Macro Fund capital above respective high water marks and thus eligible to generate incentive income. As of September 30, 2012, approximately 96% of capital in the main Fortress Macro Funds exceeded respective high water marks and 100% of Fortress Asia Macro Fund capital exceeded its respective high water marks. In aggregate, approximately $2.4 billion of capital is now above respective high water marks, a $1.3 billion increase from the end of the second quarter.
Liquid Hedge Fund AUM finished the third quarter flat at $4.4 billion. In the third quarter, we raised a total of $167 million of capital, directly adding to AUM, and paid out $379 million of redemptions. NAV appreciation of $193 million also added to AUM during the period.
Subsequent to quarter end, the Liquid Hedge Funds have raised over $400 million of additional capital, which will be added to AUM in the fourth quarter of 2012. As of September 30, 2012, there were $0.3 billion of Liquid Hedge Fund redemption notices outstanding, of which $0.1 billion will be paid primarily within one quarter and $0.2 billion will be paid primarily in the first quarter of 2013.
“Double digit year-to-date returns in our Fortress Macro Funds and Fortress Asia Macro Funds have brought nearly all of our capital above respective incentive thresholds,” said Mike Novogratz, Fortress Principal and co-CIO of Macro Funds. “With over $2 billion of capital now eligible for incentive income, we are positioned very well for a strong financial close to 2012 and for next year. Our trading philosophy continues to align well with market opportunities and we remain optimistic that we can continue to deliver positive returns for our investors.”
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