“Good thoughts are no better than good dreams, unless they are executed.”- Ralph Waldo Emerson, 1836
Performance
The Greenwich Global Hedge Fund Index ("GGHFI") returned -1.9% in March, erasing its gain of 1.84% in February. Year-to-date, the GGHFI has returned -2.92%. The comparable March return for the S&P 500 return was -0.4%, that of MSCI World Equity -1.3%, the FTSE 100 -3.1% and that of the ASX 200 was -3.8%. All hedge fund strategy groups ended the month with negative returns. Long-Short Equity Group strategies returned -2.4%. For the third month in a row, dedicated short sellers were the top performers in this group, gaining +1.4% on the month. Emerging markets fell 4.6% after a February rise. The Market Neutral Group return, as befitting the low volatility strategy had a return of -0.8%. Only 31% of constituent funds in the GGHFI ended the month with gains.
| Greenwich Alternative Investments Hedge Fund Index |
|||||||||
Total Return |
3 Yr Annual |
5 Yr Annual |
|||||||
Index |
Mar 08 | Feb 08 |
YTD |
3 Month |
1 Year |
CAR |
STD |
CAR |
STD |
| Global Hedge Fund | -1.9% |
1.8% |
-2.9% |
-2.9% |
5.0% |
9.2% |
5.2% |
10.7% |
4.8% |
| Global Long/Short | -2.4% |
1.4% |
-5.5% |
-5.5% |
2.1% |
9.5% |
6.7% |
11.9% |
6.4% |
| Global Market Neutral | -0.8% |
0.8% |
-1.5% |
-1.5% |
3.0% |
7.4% |
3.1% |
7.9% |
2.8% |
| Emerging Markets | -4.6% |
3.2% |
-7.7% |
-7.7% |
9.9% |
16.4% |
9.7% |
21.0% |
9.3% |
Benchmark |
Mar 08 | Feb 08 |
YTD |
3 Month |
1 Year |
CAR |
STD |
CAR |
STD |
| Lehman Bond Index | 0.3% |
0.1% |
2.2% |
2.2% |
7.7% |
5.5% |
2.8% |
4.6% |
3.6% |
| S&P 500 Index | -0.4% |
-3.3% |
-9.5% |
-9.5% |
-5.1% |
5.9% |
8.7% |
11.3% |
9.2% |
| MSCI World Index | -1.3% |
-0.7% |
-9.5% |
-9.5% |
-5.1% |
7.7% |
9.3% |
13.9% |
9.8% |
| ASX 200 | -3.8% |
-1.4% |
-16% |
-16% |
-10% |
12.5% |
12.1% |
17.1% |
10.3% |
| CAR= Cumulative Average Return, STD = Standard Deviation | Source: Greenwichai.com |
Markets
March saw most equity markets settle down by and rally towards the end of the month. Volatilities were lower in most markets as witnessed by the fall in the S&P 500 volatility index, which ended the month at 25% from a two-year peak of more than 30% in mid March. The exceptions were many commodity markets, which showed more volatility, especially in natural gas and wheat markets. The U.S. Dollar continued its slide lower against most other currencies in March.
Pension funds welcome hedge fund standards
More than half of pension funds will require that the hedge funds in which they invest comply within three years with best practice standards recently proposed by a hedge fund industry group, according to results of a recent KPMG survey...more>>
Implications of Short Selling and the Credit Crisis
With so much negative media about short selling, particularly by hedge funds, VanMac Group's Scott MacDonald believes it's time to step back and take an objective look at how short selling works in the market's favour...more>>
Trends
Innovative hedge fund platform concept launched in Australia
VanMac Global Hedge Fund Consultants has introduced a hedge fund platform into the Australian market designed to give investors a hands-on approach to hedge fund allocation and risk management. The VanMac Hedge Fund Platform (HFP) enables its institutional investor base to individually tailor asset weightings with various levels of exposure and risk parameters to be incorporated on a client-by-client basis...more>>
Fund Flows
Hedge fund assets barely grew during the first quarter 2008. Investors allocated a net $16.5 billion to hedge funds during the first quarter, the smallest increase in almost four years. Industry assets remained about the same as the net inflows were offset by an approximately -3% return for the industry as a whole. Most of the inflows were into equity hedge funds, distressed debt and special situations hedge funds as investors bet on an increase in bankruptcies. Most of the outflows were from global macro hedge funds and merger arbitrage managers.
The performance of hedge funds, year to date still reflects well at +5% against the ASX 200 rolling 12 months returns of -10% and on a risk adjusted basis most hedge funds are holding up very well over the longer periods.
General
Centenary of Australian superannuation
This year marks a centenary of superannuation in Australia, one of the first countries in the world to establish retirement savings plans. This article reviews our early innovation and leadership and looks ahead to challenges of the next 100 years for the superannuation industry...more>>
Separating fact from myth
Never has an industry so extensively studied by “experts” produced such a surplus of myths, misunderstandings, and half-truths. Too often, a seemingly logical statement that sounds-good-when-you-say-it-fast becomes accepted conventional wisdom despite the reams of evidence weighted against it. Although many of these experts are well-intentioned, they may not be sufficiently well-informed. According to a new report by Crestmont Research, finding the truth lies in enhanced collaboration between academia, industry, and the press...more>>
Treasury-backed committees lay out hedge fund best practices...
Two panels appointed by US Treasury Secretary Henry Paulson have advised hedge funds to adopt guidelines including increased disclosure and strengthened management of risk in the aftermath of the rout in credit markets.
According to a summary of recommendations released by the US Treasury, hedge funds, along with other market participants, need to better evaluate and implement strong practices to better manage their businesses and reduce risk. According to Bloomberg, the report goes on to detail a series of robust practices that its authors view as critical to reducing systemic risk...more>>
...but US rejects tight control of hedge funds
US treasury secretary Henry Paulson has called for “increased vigilance” over the activities of hedge funds but has eschewed regulation. In an article published by www.hedgefundsreview.com he said hedge funds should increase disclosure and strengthen risk management...more>>
Instos plan to spend up in India
Two-thirds of Australian institutional investors polled in the Centre for Investor Education (CIE) conference about India said they expect to increase their portfolio allocation to the region in the coming year.
“There are many opportunities for Australian institutional investors because of the demographics, things like the roads, telecommunications are increasingly important,” Melda Donnelly, CIE founder and chairman recently told Financial Standard .
In February, the State Bank of India Funds Management vice president and fund manager Aashish Wakanker, said the bank was allocating funds towards engineering and capital goods because of the country's infrastructure shortfall.
“This expected growth in infrastructure is not for tomorrow's demand but for yesterday's demand. There is simply not enough infrastructure to support India 's growth story,” he said.
Not just infrastructure, Donnelly said there are also opportunities for pension investment in healthcare and technology.
The findings of the poll are relevant because more than half of those surveyed come from the largest super funds in the country including Australian Super, Victorian Funds Management Corporation and Telstra Super – representing a combined $665 billion in funds under management.
For the diary
ASFA 2008, the premier superannuation industry conference event will be held offshore this year, in Auckland , New Zealand from 12-14 November. Registrations for this year's event, themed Reaching New Heights, will commence on 1 April...more>>