Bailey McCann, Opalesque New York: eVestment released it's Funds of Hedge Funds Report which shows that funds of hedge funds gained $5.61 billion in assets under management during Q1 2015 for a total of $943.40 billion, accounting for approximately 30.41% of hedge fund industry assets.
According to the data, FoFs outperformed hedge funds on an
equal weighted absolute basis over the last twelve
months ending May 2015. Both cohorts posted returns of 6.65% versus 5.84%,
respectively. However, over a longer time horizon hedge funds regain the top spot, beating FoFs by 2% over five years.
As measured by their Sharpe ratios, the average fund of
hedge funds continue to outperform the average
hedge fund - 1.42 versus 1.27 over the last twelve
months.
In terms of allocations, more money in the first half went to traditional hedge funds than FoFs, but the cohort is expected to see continued redemptions through the remainder of 2015.
On an exposure basis, both macro and managed futures FoFs saw negative allocations. The data is notable as historically, both macro and managed futures strategies have been big components of the FoFs industry. "FoHFs have historically been overrepresented in macro
and managed futures funds’ investor bases which is not
surprising given that FoHFs were more readily able to
assess complex strategies in the past. However, FoHFs
now account for 31.60% of macro AUM and 28.89% of
managed futures AUM compared to 30.41% for hedge
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