May 2007
« April 2007 | Main | June 2007 »
May 31, 2007
Hedge funds returns strongest in a year, says Greenwich
According to Greenwich, the index was up by 4.81 per cent for the first four months of the year. By comparison, the S&P 500 was up by 4.43 per cent in April and by 5.09 per cent for the year to date, the MSCI World Equity index by 4.21 per cent and 6.36 per cent respectively, and the FTSE 100 by 2.24 per cent and 3.68 per cent. The hedge fund index did comfortably outperform the Lehman Brothers Aggregate Bond indices, which were up by 0.54 per cent in April and by 2.05 per cent for the year.
'Hedge funds continue to deliver solid returns, but with significantly less risk than equities,' says Greenwich general manager Ben Rossman. 'Over the past five-year period, for example, hedge funds' annualised volatility measured about 4.5 per cent, which is roughly a third of the 12 per cent volatility of the equity indices.'
Seventeen of the 18 strategies followed by Greenwich ended April in positive territory. Futures strategies performed best with a return of 4.42 per cent, which the firm attributes largely to managers' ability to capitalise on strength in energy prices and euro and sterling valuations. Short sellers, which account for roughly 1 per cent of index constituents, were the exception, down 2.91 per cent for the month and 3.03 per cent for the year to date.
The directional trading group surged in April, returning 3.35 per cent, bringing year-to-date performance to 2.38 per cent. Futures, market timing and macro sub-strategies posted respective returns of 4.42 per cent (1.72 per cent YTD), 2.07 per cent (3.49 per cent YTD) and 1.30 per cent (2.62 per cent YTD).
The specialty strategies group had another strong month, yielding 2.44 per cent in April, for a year-to-date return of 6.17 per cent. Emerging markets, multi-strategy, and income sub-strategies gained 3.35 per cent (7.27 per cent YTD), 1.98 per cent (6.04 per cent YTD), and 0.97 per cent (3.29 per cent YTD) respectively.
The long-short equity group was up 2.03 per cent in April, for year-to-date performance of 5.27 per cent. Opportunistic, value, aggressive growth, and short selling sub-strategies returned 2.73 per cent (6.20 per cent YTD), 2.13 per cent (5.44 per cent YTD), 2.05 per cent (5.14 per cent YTD), and -2.91 per cent (-3.03 per cent YTD) respectively.
The market neutral group was up 1.18 per cent for the month, and 4.73 year-to-date. Event-driven, equity market neutral, and market neutral arbitrage sub-strategies returned 1.71 per cent (6.42 YTD), 1.24 per cent (3.79 per cent YTD), and 0.79 per cent (3.92 per cent YTD), respectively.
The Greenwich Investable Index, which comprises 48 funds and references actual hedge fund vehicles as opposed to separately managed accounts used to attempt to replicate hedge fund returns, returned 1.49 per cent in April and 4.03 per cent YTD. Since its inception in January 2003, the Investable Index has achieved an annualised return of 10.83 per cent, compared with 11.93 per cent for the Greenwich Global Hedge Fund Index.
-hedgeweek.com-
Posted by su at 3:23 PM | Comments (0)
Event Driven hedge funds were the top performing sector over the past 12 months
Credit Suisse Index Co., Inc., today released its latest industry commentary, Event Driven for All Seasons, disclosing that the Event Driven hedge fund strategy, which includes the Distressed, Multi-Strategy and Risk Arbitrage sub-sectors, was the top performing sector over the past 12 months, returning 15.62%. The sector has benefited from a wide range of opportunities directly related to corporate capital structures presented in all market cycles.
“Event Driven hedge fund managers can shift exposures based upon opportunities in: merger and acquisition activity, global market conditions, distressed corporate situations and other corporate activities to produce attractive returns across both short and long term investment horizons,” according to the Credit Suisse Index Co., Inc. “Event Driven hedge funds, as represented by the Credit Suisse/Tremont Event Driven Hedge Fund Index, have historically produced high returns with low levels of volatility for the past ten years with a Sharpe Ratio of 1.26.”
Some of the findings in Event Driven for All Seasons include the following:
Event Driven hedge funds have returned 15.62%*, making this the top performing sector in the Credit Suisse/Tremont Hedge Fund Index over the past 12 months;
Many Event Driven managers can operate fluently and with flexibility across the entire capital structure, enabling managers to potentially play every aspect of a trade over time, picking spots in a companies capital structure where they think the most attractive risk/return positions lie;
Recently, the growing number of global M&A deals, due to both a consolidation of industries and falling trade barriers, has resulted in a particularly rich environment for the strategy. Further, the increased LBO volume has driven M&A activity, leading to more opportunities for hedge fund managers;
In a developing trend, Event Driven hedge funds have replaced traditional banks as lenders, allowing corporations to assume more debt, refinance their loans, avoid bankruptcy and continue to grow;
Event Driven managers have applied disciplined hedging and careful portfolio construction techniques. This means that in a year like 2002 that was marked by a severe dislocation triggered by accounting frauds and high-profile bankruptcies such as Enron and WorldCom, Event Driven hedge funds were only down 5.94% compared with the MSCI World which was down 14.19%, and the CS High Yield Index which was down 6.24%; and
The Credit Suisse/Tremont Event Driven Hedge Fund Index managers have had negative correlation during equity and credit market drops, but have shown increasingly positive correlation when markets rally.
* 1 Year performance figure from May 2006 to April 2007
-Business Wire-
Posted by su at 3:20 PM | Comments (0)
May 29, 2007
Hedge fund assets up 37% for 2006
The largest hedge fund and absolute-return managers experienced strong inflows in 2006, according to Pensions & Investments’ annual survey of money managers.
Assets under management of the top 25 hedge fund managers as of Dec. 31 rose $98 billion or 30% to $420.4 billion, compared with year-end 2005. More than half of the increase in assets appears to be from new net inflows, given the 12.86% return of the Hedge Fund Research Inc. Fund Weighted Composite index for the year ended Dec. 31. In fact, the $420 billion managed by P&I’s top 25 equated to about 29% of the entire $1.43 trillion hedge fund industry’s assets as of Dec. 31, as estimated by Chicago-based HFR, a hedge fund researcher.
Overall, assets invested in hedge funds by all of the managers reporting for year-end 2006 grew 37%, to $771.3 billion.
Absolute-return strategies managed by the top 25 managers increased roughly $76 billion, or 14%, to $605 billion at the end of the year. And among all managers reporting, absolute-return investments grew 19% to $771.25 billion.
Each of the top five managers reported significant asset increases in worldwide assets in hedge funds. UBS Global Asset Management, Chicago, moved up to lead the pack from third place thanks to a $16.7 billion or 47% increase from the previous year to $52.2 billion as of Dec. 31. Although P&I’s survey data do not break out hedge fund-of-funds assets, hedge funds of funds accounted for about 83% of UBS’ assets. Internally managed single-strategy and multistrategy hedge funds totaled $8.7 billion.
Key component
Strong institutional demand for funds of funds and single hedge funds globally was behind the growth. “It continues to be a key and growing part of UBS Global Asset Management,” said Kris Kagel, spokesman. Goldman Sachs Group, New York, retained its second place slot, with $50.6 billion managed in worldwide hedge fund assets as of Dec. 31, a $14.5 billion, or 40%, increase. Hedge funds of funds accounted for $18.1 billion or 36% of total hedge fund assets, while internally managed single and multistrategy hedge funds totaled $32.5 billion. With $29 billion, Goldman Sachs was the largest manager of multistrategy hedge funds.
Bridgewater Associates Inc., Westport, Conn., moving to third place from fourth, managed all of its $30.2 billion internally in single-strategy hedge funds, an increase of $8.8 billion or 41%. Legg Mason Inc., Baltimore, also moved up one notch to fourth place with $29.2 billion in hedge fund assets. Legg Mason’s hedge fund assets rose $8.2 billion or 39% in 2006. Fully 98% of Legg Mason’s hedge fund assets were managed primarily in hedge funds of funds by its subsidiary, New York-based Permal Group, according to the company’s earnings reports for year-end 2006.
BNY Asset Management, New York, moved into sixth place from fifth with total hedge fund assets of $28.9 billion, an increase of $8.3 billion or 40%. BNY did not break out its hedge fund assets, but its Jericho, N.Y.-based subsidiary, Ivy Asset Management Corp., managed more than $15 billion in hedge fund-of-funds assets as of Dec. 31 (P&I, Jan. 8).
In the lead
Goldman Sachs remained unassailable at the top of P&I’s ranking of absolute-return managers with $107.3 billion, a $33.5 billion lead on its nearest rival. Goldman Sachs’ absolute-return assets increased by $16.6 billion or 18%. That inflow accounted for 17% of the firm’s total 2006 asset management inflows of $94 billion, said Suzanne Donohoe, head of North American client businesses.
“Our biggest drivers of growth have been from our global tactical asset allocation business, which has a very long track record —– more than 10 years. It is managed against a cash benchmark and it is designed to be uncorrelated with other major indexes. The length of the track record has been a big factor in our success with institutional investors,” Ms. Donohoe said.
Other factors included strong inflows to Goldman Sach’s direct hedge funds and hedge funds of funds, as well as to private equity funds of funds, said Ms. Donohoe. She pointed to the closing of a $3 billion secondary private equity fund of funds, an area that is traditionally capacity constrained.
“There are a lot if institutional investors with money they want to out to work in private equity and this fund was very successful,” Ms. Donohoe said.
“We’ve consciously built a very broad alternatives platform over the last 10 years and we’re seeing results now in growth,” she added.
UBS Global moved to second place from third, with $73.7 billion under management in absolute-return strategies, more than double the assets of third-place AIG Global Investment Group, New York. AIG moved up from fifth place in last year’s survey, with $34.6 billion in absolute-return strategies, followed by JPMorgan Asset Management, New York, which dropped to fourth place from second with $34 billion. New to the absolute return rankings was Schroder Investment Management North America Inc., New York, which rounded out the top five with $33.6 billion.
-Pensions & Investments-
Posted by su at 4:16 PM | Comments (0)