'How many millionaires do you know who have become wealthy by investing in savings accounts? I rest my case.' - Robert G. Allen
Performance
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) improved during the month of July to their highest levels on the year. The GGHFI returned 2.31% while the Greenwich Composite Investable Index (GI2) gained 0.70% during the month, compared with global equity returns in the S&P 500 Total Return 7.56%, MSCI World Equity 8.37%, and FTSE 100 8.45% equity indices. Year-to-date, the GGHFI and the GI2 have returned 11.78% and 0.40%, respectively, while the S&P 500 Total Return, MSCI World Equity, and FTSE 100 Indices have returned 10.96%, 3.93%, and 13.53%, correspondingly. Seventy-six percent of constituent funds in the GGHFI ended the month with gains…more>>
|
Greenwich Alternative Investments Index |
|||||||||
Total Return |
3 Yr Annual |
5 Yr Annual |
|||||||
Index |
Jul 09 |
YTD |
CAR |
STD |
CAR |
STD |
|||
| Global Hedge Fund | 2.3% |
0.3% |
11.8% |
7.8% |
-3.2% |
3.5% |
8.0% |
6.2% |
6.8% |
| Global Long/Short | 3.3% |
0.3% |
14.1% |
9.3% |
-5.8% |
2.1% |
10.2% |
6.4% |
8.9% |
| Global Market Neutral | 2.2% |
1.1% |
10.5% |
6.8% |
-2.7% |
3.0% |
6.1% |
5.0% |
5.0% |
| Futures | -0.7% |
-1.4% |
-2.6% |
0.4% |
6.9% |
10.2% |
8.2% |
9.3% |
8.6% |
Benchmark |
YTD |
CAR |
STD |
CAR |
STD |
||||
| Lehman Agg. Bond Index | 0.6% |
0.7% |
3.6% |
2.9% |
7.9% |
6.5% |
4.1% |
5.1% |
3.7% |
| S&P 500 Index | 0.2% |
5.6% |
11.0% |
13.8% |
-20.0% |
-6.2% |
19.5% |
-0.1% |
15.8% |
| MSCI World Index | -0.6% |
8.6% |
13.5% |
17.0% |
-23.6% |
-7.7% |
21.4% |
0.3% |
17.5% |
| ASX 200 | 7.3% |
4.0% |
17.1% |
13.1% |
-10.2% |
-1.0% |
17.6% |
8.3% |
15.1% |
| CAR= Cumulative Average Return, STD = Standard Deviation | Source: Greenwichai.com |
Locally, according to Australian Fund Monitors, July's sharp rally in the ASX200 and the S&P 500 provided a welcome boost for the high conviction equity based managers in the AFM index, some of whom posted double digit returns for the month after enduring a disappointing and difficult 2008. Overall equity based funds are just shy of recouping all their losses of the past 12 months, while with some exceptions funds investing outside the equity markets have found both 2009 YTD, and July, more challenging.
Markets
Sentiment (based on macro manager survey)
Macro Managers grew less bearish on the prospects for U.S. Equities in August, with 50% of managers reporting a bearish sentiment for the month versus 60% in July; 40% of managers reported a bullish outlook for August, up 10%. Macro Managers were also mixed on their outlook for the U.S. Dollar. For August, 40% reported a bullish sentiment, 20% held a neutral view, and 40% maintained a bearish view. With respect to 10-year U.S. Treasury prices, Macro Managers were decidedly less bullish than in July. For the month, 50% of managers reported a bullish outlook, 20% of managers reported a neutral outlook, and 30% reported a bearish outlook.
News
Tokyo FX volume falls as hedge funds leave
Foreign exchange trading volume in Japan has fallen 16 percent this year after many hedge funds closed out investments during the global financial crisis, and Tokyo's turnover in spot trading now lags behind Singapore...more>>
Hedge funds ratchet up their focus on China
China is making its presence felt by the hedge-fund industry, replacing London as the most popular base for Asia-focused managers and replacing Japan as the focus for Asian hedge funds. Data provider Hedge Fund Research said in a recent report on the $68.2 billion Asian hedge-fund industry that 24% of Asia-focused hedge funds now are located in China, a rise of more than 5% from a year ago...more>>
Trends
While there is not much happening on the markets, worldwide pension funds are looking seriously at a range of alternative investments, from music rights to real estate – and hedge funds, with several large funds looking at making big investments to reduce portfolio risk.
"This echoes what we’ve been saying all along," comments Van Mac Managing Director Scott MacDonald. “The perception in the local market is that they need to find the appropriate research manager to help with manager selection and implementation.
"Given the additional focus on operational due diligence, it is important for plan sponsors to speak to experienced alternative investment specialists.
"Van Mac group is in a position to assist institutional investors with manager selection and portfolio construction of alternatives," adds Mr MacDonald. "We can assist with a robust, transparent methodology to help your allocation to hedge funds.
"We know that a lot of institutional investors are seeking this advice, but many don’t seem to know where to start to find the information that they need.
"They could be speaking to Van Mac group which has a track record dealing with alternatives managers and understands the pitfalls of the industry," he adds.
"With this in mind VanMac Group has developed its 'SMA' platform which will pass all operational due diligence requirements and provides super funds, plan sponsors and trustees with the ability to create specific cohorts and concentrated style groups with potentially weekly liquidity from up to 150 managers.
"All this at the cost of managing a retail CMT," he says. "When the market is ready VanMac has the solution, as we have addressed potential investor issues and are able to provide a robust scalable solution on a case by case basis."
Pension funds pare stocks, ignoring economic rebound
The world’s biggest pension funds lost confidence in stocks as the best long-term investment, cutting holdings or leaving them unchanged during the steepest rally since the 1930s...more>>
Dutch pension scheme turns to hedge funds
These are difficult times for pension plans around the world; market tribulations in 2008 badly hurt their performance record, leaving many teetering and underfunded. Aggravating the trouble caused by plunging asset values, the steep decline in global interest rates has further escalated their liabilities. But one Dutch pension fund is increasing its hedge fund exposure believing that it was while last year’s liquidity scare made hedge funds correlate to all other asset classes, that’s not how things work fundamentally...more>>
Florida state board eyes hedge funds
After nearly 70 years of managing money, officials at the Florida State Board of Administration (SBA) in Tallahassee, home to the Florida Retirement System, the fourth-largest U.S. pension fund, are close to making their first allocation to hedge funds...more>>
Research
Hedge funds after the storm
According to a new report from Man Investment, hedge funds had their best quarter in nine years as risk appetite came back strongly. All styles except for managed futures made profits, and last year’s laggards such as convertible bond arbitrage have been this year’s biggest gainers and vice versa. Overall, the report found that hedge funds are back on track, with transparency, liquidity and asset control the key points of the post-2008 world...more>>