"I'd like to live as a poor man with lots of money." - Pablo Picasso
Performance
Hedge funds as measured by the Greenwich Global Hedge Fund Index ("GGHFI") declined slightly during the month of October coming off their highest levels on the year. The GGHFI returned (-0.47%) while the Greenwich Composite Investable Index ("GI2") lost an equal (-0.47%) during the month, compared to global equity returns in the S&P 500 Total Return (-1.86%), MSCI World Equity (-1.85%), and FTSE 100 (-1.74%) equity indices. Year-to-date, the GGHFI and the GI2 have returned +16.78% and +3.41%, respectively, while the S&P 500 Total Return, MSCI World Equity, and FTSE 100 Indices have returned +17.03%, +20.20%, and +13.76%, correspondingly. 46% 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 |
Oct 09 |
YTD |
CAR |
STD |
CAR |
STD |
|||
| Global Hedge Fund | -0.5% |
2.8% |
16.1% |
3.7% |
15.0% |
3.9% |
8.1% |
6.6% |
6.9% |
| Global Long/Short | -0.9% |
3.2% |
18.6% |
4.0% |
16.3% |
2.3% |
10.3% |
6.3% |
9.0% |
| Global Market Neutral | 0.2% |
2.2% |
15.2% |
4.1% |
13.5% |
3.7% |
6.2% |
5.6% |
5.1% |
| Multi-Strategy Index | 0.0% |
2.3% |
15.7% |
3.7% |
14.8% |
6.5% |
7.5% |
7.8% |
6.3% |
Benchmark |
YTD |
CAR |
STD |
CAR |
STD |
||||
| Lehman Agg. Bond Index | 0.5% |
1.1% |
6.2% |
2.6% |
13.8% |
6.4% |
4.0% |
5.1% |
3.6% |
| S&P 500 Index | -1.9% |
3.7% |
17.0% |
5.5% |
9.8% |
-7.0% |
19.6% |
0.3% |
16.0% |
| MSCI World Index | -1.9% |
3.8% |
20.2% |
5.9% |
15.6% |
-8.1% |
21.5% |
0.6% |
17.6% |
| CAR= Cumulative Average Return, STD = Standard Deviation | Source: Greenwichai.com |
Locally, according to Australian Fund Monitors (sample approx: 245) the results for October remain flat, however its analysts say that considering the background of falling equity markets this is not a bad result.
| Australian Data | October 2009 | 2009 YTD | Last 12 months |
All Funds |
0.08% |
14.65% |
12.19% |
Equity Based Funds |
0.06% |
20.97% |
17.67% |
Non Equity Based Funds |
0.11% |
6.62% |
5.06% |
ASX 200 |
-2.12% |
24.73% |
15.55% |
Source: Australian Fund Monitors. |
Markets
Sentiment (based on macro manager survey)
Macro managers grew more bearish on U.S. equities for November after a more mixed response in October. For the month, 57% of Macro Managers reported a bearish sentiment on equities while the remaining 43% reported a bullish sentiment. This polarity of sentiments is a departure from October's results, which saw 43% of managers reporting a bearish sentiment and the remainder evenly split between neutral and bullish outlooks. Meanwhile, the percentage of managers holding bearish outlooks for the U.S. Dollar and Treasury prices remained constant with October's responses of 29% and 43%, respectively. However, fewer respondents held bullish outlooks for both the U.S. Dollar and the 10-Year U.S. Treasury note for November, as more Managers shifted to neutral outlooks.
News
Hedge funds expected to outperform bonds, stocks in 2010
Hedge funds will likely outperform bonds and potentially equities in 2010, Swiss private bank Union Bancaire Privee (UBP) said, adding it was keen on emerging market equities. It also said the alternative asset management industry was becoming proactive again and generating positive performances...more>>
Roundtable looks at hedge fund transparency
Sydney investment managers were recently involved in a panel discussion of the issues raised by Prof. Stephen Brown from NYU's Stern School of Business in a recent paper, which found that one in five hedge funds have lied or misrepresented their results. The panel looked at how hedge funds can meet increased calls for transparency from hedge fund investors, as well as examining the main warning signs that hedge fund analysts and consultants should look for, and benchmarks for information integrity in the hedge fund industry.
Other key areas of discussion included when past performance of hedge funds and funds of hedge funds are used as an indicator of future performance - and when is it not, and whether more regulation of hedge funds will enhance the integrity of fund reporting but reduce the returns potential.
Van Mac Group Managing Director Scott MacDonald was a panellist at the event. He says: "Professor Brown's findings underscore the importance of finding a manager you can trust, and then having them independently verified, which has always been the case with independent specialists like Van Mac Group.
"People need to understand who's competent at assessing the issues associated with relatively unfamiliar investment strategies," he continues. " Both asset consultants and institutional investors need to become more competent at assessing trading strategies of a proprietary trading nature, and need to better understand the sustainability of those investment styles and strategies."
An idea may evolve in capital markets, he adds, but as people learn about these opportunities, margins are arbitraged away or eroded as macroeconomic factors change.
"Good managers that survived well during this last period of economic uncertainty and high volatility are probably a good place to start looking," Mr MacDonald says. "This is why we've agreed to represent Alpha Titans in Australia: they've harnessed 13 top managers who've done very well before and during this period."
Liar, liar, hedge funds on fire
Rogue hedge funds will lie, cheat and connive to get investor money, and while the regulators lack muscle to stop them, there are ways for pension funds to quickly spot the next Madoff...more>>
Trends
UK pension funds back global emerging markets
Baring Asset Management's (Barings) annual select poll of UK pension schemes reveals that almost a third (29%) are now more likely to allocate to emerging markets as a result of the recent global market volatility, compared to 4.3% in 2007 and 0% last year...more>>
Hedge funds may account for 40% of bank capital: Report
Hedge funds provided as much as 40 percent of the money raised this year by U.S. and European banks as they sought to offset losses and meet government capital requirements, according to Morgan Stanley...more>>
Hedge funds fill funding gap for Australian companies
Hedge funds are boosting investments in Australian companies, filling a "funding gap" left by a reduction in bank lending, according to David Heathcote, head of KPMG International's debt-advisory practice in Australia...more>>
Research
Institutions, financial advisers high on hedge funds, survey finds
Institutional investors and financial advisers are thinking positively about alternative investments, according to a survey conducted by Morningstar and Barron's, with the majority expecting alternative investments such as hedge funds to make up more than 10% of their portfolios over the next five years...more>>