Thu, Oct 2, 2014
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

Banner

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. Legal - Court throws out lawsuits related to Fannie Mae, Freddie Mac profits, Insider case by SEC is a step removed from Herbalife itself, SEC grants Citigroup waivers, easing hedge-fund curbs[more]

    Court throws out lawsuits related to Fannie Mae, Freddie Mac profits From WSJ.com: A group of Wall Street investors on Tuesday suffered a blow in their attempts to sue the federal government over their treatment of the shareholders of mortgage finance giants Fannie Mae and Freddie Mac af

  2. Launches - Goldman Sachs Asset Management launches GS Long Short Fund, Western & Southern launching international hedge fund, Lansdowne Partners plans energy hedge fund, RBC Global Asset Management launches new RBC Funds (Lux) - Asia Ex-Japan Fund, PVE Capital latest credit strategy to launch on the Sciens managed account platform[more]

    Goldman Sachs Asset Management launches GS Long Short Fund From Marketwatch.com: Goldman Sachs Asset Management has announced the launch of the Goldman Sachs Long Short Fund, which pursues high conviction investment ideas in global equity markets through a fundamental, bottom-up approach

  3. CalPERS’ move might alter hedge fund fees for good[more]

    Benedicte Gravrand, Opalesque Geneva: When CalPERS, the California Public Employees’ Retirement System, announced on September 15th that it was unwinding its hedge-fund portfolio, it was seen by many as is a significant blow to the sector’s appeal. The Fund is

  4. Opalesque Exclusive: Institutions eye private credit over traditional fixed income[more]

    Bailey McCann, Opalesque New York: Investing in private insurance, realty tax receivables, or investment-grade short-term accounts receivable may not spring to mind as a means of mitigating risk in a portfolio, but one firm, New York-based BroadRiver Asset Management is out to change all that. Th

  5. Short-term trading quant fund beats S&P since '09[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A relatively new multi-strategy, market-neutral quantitative hedge fund has managed to outperform the S&P500 and the HFRX Global since 2009. New Jersey-ba