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Benedicte Gravrand, Opalesque London:
Swiss school ZHAW’s Center for Alternative Investments and Risk Management has recently published a working paper investigating the appropriateness of several hedge fund indices for investors.
ZHAW School of Management and Law’s newsletter said in its latest issue on 30 June: “We concluded that FoHF (fund of hedge funds) indices suit best due to smaller biases. Although we are quite aware of lower returns in FoHF indices compared to single hedge fund indices (due to various reasons), the difference for the year 2009 (8.5%) seems unusually large to many investors.”
By looking back, the authors found some familiar patterns compared to “last year’s discrepancy.” Indeed, FoHFs were not able to keep up with hedge funds’ rebound in 2009. Although the difference between hedge funds and FoHFs performance in 2008 was not as pronounced as both sets suffered.
The HFRI Fund Weighted Composite Index was up almost 20% in 2009 (when the S&P 500 w/dividends was up 26% and the Barclays Bond index up almost 5%); and it was down 19% in 2008 (when the S&P 500 was down almost 37% and the Barclays Bond index up 6%).
The HFRI Fund of Funds Composite Index was up 11.47% in ’09 and down 21.37% in ’08.
This sort of situation, where there is a visible difference in the performances, is not new: “With respect to the level of the difference, we clearly observe many time clusters where the same or even higher differences than t...................... To view our full article Click here
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