Mon, Sep 25, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

ZHAW: HedgeGate Swiss FoHFs Index up 0.16% in October, 6.95% YTD

Saturday, December 12, 2009
Opalesque Industry Updates - After six consecutive months of per-formance gains, the hedge fund indus-try took a breather in October. Measured through the hedgegate Swiss FoHF Index (SFoHFI), Swiss-registered funds of hedge funds (FoHF) denomi-nated in US dollars have retrenched 0.16% in October 2009. Encouragingly, the gap to the HFRI Fund Weighted Composite Index disappeared com-pletely. On average, Swiss funds of hedge funds were up 7% for this year through October 31. Thus, the gap to the HFRI Fund Weighted Composite Index (up over 15% YTD) remained substantial.

Global equity markets taking a breather as well

Global equity markets, as measured by the MSCI World, took a correction of 1.8%, while the S&P 500 Index – led by financials – fell even 2%. Over the same period of time even the MSCI Emerging Markets Index was flat. Reminder: On a YTD basis the HFRI Emerging markets (Total) Index had reached the best per-formance (+35.8%) across all regions. Equity volatility rose over the month, both in the US and in Europe. The USD con-tinued to experience weakness across a range of currencies, including the Euro.

Swiss registered FoHF: Performance persistency in the short run

The top performers of October 09 achieved their returns with various strate-gies. An attribution to certain winning manoeuvres seems not possible since some commodity, market neutral, fixed income arbitrage and wide diversified strategies were able so satisfy investors’ expectations. For the Swiss registered products it is notable that the managers who were able to take the lead with respect to return (and risk, expressed by the Sharpe ratio) in the previous three months have also played a leading role in October. A certain persistency is visible in the market. One month returns for Swiss registered funds, denominated in USD, range from 8.84% to -5.61% in October and span between 8.34% to -0.76% in the last three months. These figures indicate that the rally for the crown 2009 is still ongoing. The detailed report for all cur-rencies is available on www.hedgegate.com (funds of hedge funds -> performance list).

Going forward
From a statistical point of view, the HFRX Global Hedge Fund Index is quite a good estimator for HFRI Fund of Funds Index returns. Since the fund of funds index usually reports slightly lower returns, a correction needs to be made. Current estimates, based on the reported No-vember return of the HFRX, forecast a FoFH return of approximately 1.5%. Considering this and extrapolating the average return of the months January until November to December would imply a total return of the fund of hedge funds composite index of 12.5% for 2009.

HedgeGate, ZHAW School of Management and Law, Centre Alternative Investments & Risk Management, Switzerland - www.zai.zhaw.ch.


Be

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. iCapital Network enters deal to acquire innovative U.S. private equity access fund platform from Deutsche Bank[more]

    Komfie Manalo, Opalesque Asia: Financial technology platform iCapital Network has entered into a definitive purchase agreement to acquire the US Private Equi

  2. Asia - Hedge funds used to love shorting China. Now, not so much, Fledgling China FoFs require careful use: NCSSF, Amac, Japanese banks turn to PE, hedge funds for returns[more]

    Hedge funds used to love shorting China. Now, not so much From Bloomberg.com: A sharp devaluation. A credit crisis. And an economic hard landing. That's what some of the biggest names in the hedge fund industry were predicting for China after the nation's stocks and currency tumbled in 2

  3. Launches - Orchard launches new credit platform, ETN based on hedge fund to launch on the LSE[more]

    Orchard launches new credit platform Orchard Platform has rolled out Deals as a part of its new platform launch. With the addition of Deals to their suite of technology solutions for loan originators and institutional investors, Orchard Platform takes the next step in their evolution. De

  4. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  5. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N