Sat, Feb 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

eVestment HFN: Securitized credit funds returned +13.73% YTD versus +4.94% for the hedge fund aggregate

Tuesday, October 09, 2012
Opalesque Industry Update: eVestment|HFN today announced that securitized credit funds are among the hedge fund industry’s best performing sub classification in 2012, according to their latest sector focus report. Securitized credit funds returned +13.7 percent year-to-date (YTD) through September compared to +4.9 percent for the HFN Hedge Fund Aggregate Index.

Among securitized credit funds, the best performing sub-group YTD has been those investing specifically in asset-backed securities (ABS), up +14.5 percent. Only funds focused on India, and the healthcare sector have produced better average returns in 2012.

“From investor interest to performance, the securitized credit hedge fund universe has been one of the highlights of the entire hedge fund industry since the financial crisis. In that time frame, mortgage backed securities (MBS) yields have fallen to record lows and some $19.6 billion has been directed to mortgage related strategies alone.” said Peter Laurelli, Vice President, Research, eVestment|HFN. ”Looking at the massive amounts allocated to all credit related strategies in general over the last year, both on the hedge fund and traditional asset management side, there is a lot of money chasing rapidly declining yields and tightening spreads across the credit universe.”

The report found that assets targeting securitized credit reached another all-time high at the end of August, its fourth consecutive quarterly peak. eVestment estimates total hedge fund assets investing in securitized credit markets reached $119.4 billion at the end of August 2012, $72.3 billion of which is focused primarily on MBS. Total assets under management (AUM) in ABS/mortgage focused strategies are estimated to be $72.3 billion at the end of August 2012. This is an increase of 14.6 percent in 2012, which is well above the industry average AUM increase of 4.0 percent.

Securitized credit funds continue to show higher volatility relative to other fixed income strategies. Historical volatility as measured by annualized standard deviation for MBS centric strategies were 10.1 percent, followed by 12.5 percent for ABS focused strategies, and 13.7 percent for collateralized debt obligations (CDO) only strategies; this compares to an average of 8.6 percent for all fixed income funds.

“Volatility is not necessarily a bad thing, in this case the elevated level is mostly ‘upside volatility’ from periods of higher than normal positive returns,” said Mr. Laurelli.

The report contains comparisons across a variety of securitized credit regional and sub-classifications, including across funds targeting distressed securitized assets and those targeting products originated from European credits.

Mr. Laurelli adds, “Funds targeting securitized products originated with European assets were the only sub-classification to show negative performance in 2011, which shows that in an elevated risk environment; generally well performing and low correlated assets can still result in losses.”

The entirety of Europe securitized credit losses in 2011 came during the second half of the year and the group fell an average of 4.9 percent. The report notes the group has rebounded in 2012, +12.7 percent.

eVestment

Press Release

BM

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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie