Sat, Aug 29, 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 - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Performance - Hedge funds set to bank millions by short selling during London share slump, The China market chaos has made this hedge fund its most money in 2 years, Odey hedge fund said to surge 9% betting against China, Hedge funds with long-held bearish views on China rack up profits, Hedge funds in U.S. seen curbing damage from August turbulence, Hedge funds collect on their predictions of a fall, How did managed futures do while the Dow was down 1000[more]

    Hedge funds set to bank millions by short selling during London share slump From TheGuardian.com: Hedge funds are set to bank tens of millions of pounds from the slump in share prices in London, having bet almost £18bn that the FTSE 100 would fall. The funds making the bets include Lansd

  5. Opalesque Exclusive: John C Head IV leaves alternative investment firm Gallery Capital, David Harrison joins as co-CIO[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: John C Head IV, former president and co-founder of Gallery Capital Management, an alternative inv

 

banner