Wed, Jul 26, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

eVestment HFN: Securitized credit funds returned +13.73% YTD versus +4.94% for the hedge fund aggregate

Tuesday, October 09, 2012
Opalesque Industry Update: eVestment|HFN today announced that securitized credit funds are among the hedge fund industry’s best performing sub classification in 2012, according to their latest sector focus report. Securitized credit funds returned +13.7 percent year-to-date (YTD) through September compared to +4.9 percent for the HFN Hedge Fund Aggregate Index.

Among securitized credit funds, the best performing sub-group YTD has been those investing specifically in asset-backed securities (ABS), up +14.5 percent. Only funds focused on India, and the healthcare sector have produced better average returns in 2012.

“From investor interest to performance, the securitized credit hedge fund universe has been one of the highlights of the entire hedge fund industry since the financial crisis. In that time frame, mortgage backed securities (MBS) yields have fallen to record lows and some $19.6 billion has been directed to mortgage related strategies alone.” said Peter Laurelli, Vice President, Research, eVestment|HFN. ”Looking at the massive amounts allocated to all credit related strategies in general over the last year, both on the hedge fund and traditional asset management side, there is a lot of money chasing rapidly declining yields and tightening spreads across the credit universe.”

The report found that assets targeting securitized credit reached another all-time high at the end of August, its fourth consecutive quarterly peak. eVestment estimates total hedge fund assets investing in securitized credit markets reached $119.4 billion at the end of August 2012, $72.3 billion of which is focused primarily on MBS. Total assets under management (AUM) in ABS/mortgage focused strategies are estimated to be $72.3 billion at the end of August 2012. This is an increase of 14.6 percent in 2012, which is well above the industry average AUM increase of 4.0 percent.

Securitized credit funds continue to show higher volatility relative to other fixed income strategies. Historical volatility as measured by annualized standard deviation for MBS centric strategies were 10.1 percent, followed by 12.5 percent for ABS focused strategies, and 13.7 percent for collateralized debt obligations (CDO) only strategies; this compares to an average of 8.6 percent for all fixed income funds.

“Volatility is not necessarily a bad thing, in this case the elevated level is mostly ‘upside volatility’ from periods of higher than normal positive returns,” said Mr. Laurelli.

The report contains comparisons across a variety of securitized credit regional and sub-classifications, including across funds targeting distressed securitized assets and those targeting products originated from European credits.

Mr. Laurelli adds, “Funds targeting securitized products originated with European assets were the only sub-classification to show negative performance in 2011, which shows that in an elevated risk environment; generally well performing and low correlated assets can still result in losses.”

The entirety of Europe securitized credit losses in 2011 came during the second half of the year and the group fell an average of 4.9 percent. The report notes the group has rebounded in 2012, +12.7 percent.

eVestment

Press Release

BM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Hedge fund CQS favors structured credit, Direct lending funds' fading all-weather appeal, Funds hunt for cracks in most-prized US shopping malls[more]

    Hedge fund CQS favors structured credit From BArrons.com: A hedge fund manager that can invest across the investment landscape says in his latest semi annual report this week that he's finding opportunities in structured credit -- particularly the shorter term, floating rate kind. Exampl

  2. Launches - Bitcoin hedge fund launches ethereum-subscribed ICO investment vehicle, Jersey players institutionalize first regulated crypto-currency hedge fund[more]

    Bitcoin hedge fund launches ethereum-subscribed ICO investment vehicle From Coindesk.com: The operators of a regulated, Jersey-based bitcoin hedge fund have officially closed a new $5 million fund aimed at investing in cryptocurrency tokens and initial coin offerings (ICOs). Backed by fun

  3. SWFs - China Wealth fund backs TPG lender as part of U.S. property push[more]

    From Bloomberg.com: China Investment Corp., the sovereign wealth fund that controls $814 billion in assets, is betting on U.S. real estate by investing in a commercial real estate lender formed by the money management firm TPG. In conjunction with last week's initial public offering of TPG RE Financ

  4. Months to minutes: Enigma launch aims to boost crypto hedge fund creation[more]

    From Coindesk.com: What if starting a hedge fund was as easy as downloading an API? A startup incubated at MIT Media Lab is today revealing a product designed with this ease-of-use in mind. Called Catalyst, the first product offering by blockchain startup Enigma aims to trigger nothing short of an e

  5. Seward & Kissel launches new compliance service[more]

    Bailey McCann, Opalesque New York: The law firm that formed the first hedge fund - Seward & Kissel - has launched a new compliance service for asset managers. Seward & Kissel Regulatory Compliance, or SKRC, offers full-scale regulatory compliance consulting solutions provided by the firm's attor