Sun, Jul 31, 2016
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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New