Sun, Jul 24, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Index Tracker Macro managers did well in the first half of the year and attracted the most new assets.

Tuesday, July 27, 2010

INDEX TRACKER

Global Macro Proves Mettle in H1

With the dust settled on the first half of the year, global macro has emerged as the second best performing hedge fund strategy after fixed income arbitrage, according to Credit Suisse data. Managed futures made back the losses from earlier in the year but did not sustain the gains, ending up about flat for the first six months.

Global macro outperformed relative to the broad index, which tends to occur when there is a big rise in volatility, says Boris Arabadjiev, chief investment officer at Credit Suisse’s fund of hedge funds group. The strategy has desirable characteristics for the current environment and is one of the strategies usually better able to exploit volatile markets, he said.

Stock, bond and commodity markets posted losses in H1. Both global macro and managed futures, as well as hedge funds as a whole, beat the markets (table).

-------------------------------------------------------
 

January through June 2010 Performance

Selected Credit Suisse Hedge Fund Indexes
 

 

Cumulative Return      

Best Performer      

Worst Performer

Global Macro

4.2%                      

14.9%                  

-18%

Managed Futures

0.3%

16.5%

-18.7%

Broad Index

0.6%

30.8%

-59%

 

 

 

 

Market Indexes

 

 

 

 MSCI World 

-10.9%

 

 

DJ UBS Commodity

-9.6%

 

 

Barclays Global Bond  

-0.3%

 

 

               
------------------------------------------------------

Investors apparently agree that global macro is a good strategy for this environment, judging from asset flows. Global macro received close to $10 billion new capital in the first half of the year. This was the largest inflow among hedge fund sectors, half of which had net outflows during the period.

Money moved also to fixed income arbitrage and event-driven strategies, but in smaller amounts. By contrast, managed futures assets were flat.

Credit Suisse reported that hedge funds as a whole had a slight outflow in the second quarter. Total industry assets are at $1.5 trillion, well below their peak before the massive wave of redemptions in 2008 and early 2009.

Macro funds had low correlation to global equities in the first half of the year. This is a most desirable characteristic, Mr. Arabadjiev says, but the strategy’s relation to markets, or beta, is nonsystematic-meaning it is sometimes high and sometimes low. However, he sees global macro returns compounding nicely because the downside is limited while nimble managers keep more of the upside.

Returns and asset numbers vary across databases because of differences in constituents and the methodology used.
 



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
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. HFR: Hedge funds post strong gains in mid-July as markets recover from Brexit losses[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted strong gains through mid-July as the equity markets continued the recovery from Brexit losses. The HFRX Market Directional Index gained +2.17% (+4.22% YTD) and the HFRX Global Hedge Fund Index gained +1.03% through mid-month (+0.19%

  4. News Briefs - Carlyle goes on trial for a financial-crisis meltdown, Private equity and venture capital outperformed public markets in 2015, Pippa Middleton gets engaged to hedge fund manager James Matthews[more]

    Carlyle goes on trial for a financial-crisis meltdown Carlyle Group co-founder Bill Conway was in court on this small island last week recounting one of the most bruising episodes in his private-equity firm’s history: the 2008 collapse of mortgage-bond fund Carlyle Capital Corp. Carlyle

  5. …And Finally - Two men fall off cliff playing Pokemon Go[more]

    From BizarreNews.com: Two men who fell from a seaside cliff north of San Diego told authorities they became distracted while playing augmented reality game Pokemon Go. Encinitas fire Battalion Chief Robbie Ford said one of the men fell about 50 feet down the bluff in Encinitas while the other man fe