Sun, Oct 26, 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. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t