Marktbericht
Hedgefonds-Marktbericht der Credit Suisse (ENG)
Tactical Trading strategies sail through choppy waters Outperformer-strategy Global macro with higher weighting (22.4%). By Nils Beitlich
Concerns about European bank exposure to peripheral debt as well as a potential Greek default and disappointment over the lack of resolve among European authorities set an uncertain and challenging market environment for hedge funds in August and September.
While equity hedge and event driven strategies suffered the most, global macro funds managed to provide negatively correlated gains. First indications show that this trend continued into the first few weeks of September. Higher systemic risk as well as decreasing liquidity remain the two main problems for most hedge fund strategies.
However, even if the current environment exhibits some similarities to the financial crisis of 2008, hedge funds seem to be better prepared to protect investor capital. Performance dispersions among all strategies remain at very high levels, highlighting the importance of a proper single hedge fund selection process.
Once again investors face the almost impossible task to choose the right investment within a market environment driven by sentiment rather than fundamentals and rational decisions. While most hedge fund strategies are negatively affected by low liquidity conditions and high systemic risk, tactical trading strategies have historically proven their ability to deliver efficient risk return characteristics in times of extreme market stress.
Nevertheless, this downside protection comes at a price. While both strategies historically have provided meaningful downside protection in falling equity markets, managed futures funds particularly tend to underperform in times of sharp trend reversals and sideways moving markets.
In contrast, global macro managers face probably the best opportunity set when macroeconomic parameters change rapidly and unexpectedly and therefore seem to be better equipped to take advantage of uncertainty about economic trends and market direction.
In August, hedge funds posted their largest monthly declines since May 2010 (DJ CS Hedge Fund Index –2.3%). Nevertheless, they managed to outperform global equity markets by more than 4.9% (MSCI World: –7.26%). After dedicated short, only global macro and managed futures funds (tactical trading strategies) were able to post a positive performance in August.
Hedge fund launches outpace liquidations
According to the latest Hedge Fund Research Market Microstructure Industry Report, the total number of hedge funds increased in the second quarter 2011 by 89. While fund liquidations increased slightly to 181, this number was offset by 280 new launches, bringing the total launches year-to-date to 578 (see Figure 1). Single hedge funds reached their highest level since 2007, whereas funds of hedge funds continue to disappear from the market (53 liquidations vs. 35 launches).
In terms of strategies, equity hedge and macro strategies exhibited the highest attraction accounting for 70% of new launches.
New capital flowing into hedge funds
Despite the difficult market environment of recent months, institutional investors are eagerly allocating capital to hedge funds. According to Morgan Stanley, allocations to hedge funds have increased while cash holdings have decreased in favor of hedge fund allocations, and the outlook for hedge fund allocations in the next quarter remains optimistic. We would argue that despite difficulties, investors believe that hedge funds are still better equipped to preserve capital and offer downside protection in a difficult environment.
In the second quarter of 2011, investors favored equity long short, event driven and global macro strategies. In terms of geographical focus, interest in Asian hedge funds is high.While over 20% of investors see Asia as their main focus area, Asian funds account for less than 5% of assets under management (AuM). It is thus likely that we will see major inflows to Asian hedge funds in the future.
Institutional investors allocating to UCITS
Similar observations have been made within Credit Suisse for UCITS hedge funds. According to Credit Suisse Private Banking Advisory and Order Fulfillment, there are nearly twice as many UCITS fund redemptions as new subscriptions. However, in terms of volume it is the other way around: the volume of new subscriptions surpasses redemptions, meaning that inflows come mainly from institutional investors who provide the larger tickets, while private clients stay on the sidelines. While performance differences between UCITS funds and offshore funds are minor in times of market stress (about 1%–2%), offshore funds clearly outperform UCITS in up markets (> 10% p.a.).
Strategy Comments
Tactical trading strategies once again demonstrated their ability to generate crisis alpha in August (see Figure 2). The possibility of another ‘Lehman-like’ event will likely push markets into a prolonged downtrend; in such a scenario, exposure to global macro and managed futures could prove useful.
Global macro (outperform)
The shaky months of July and August saw the global macro strategy come back into its own, an outperformer in times of market stress (DJ-CS: +1.9%; HFRI: +0.2). Historically, the correlation between the global macro strategy (DJ CS Global Macro Index since 1994) and the S&P 500 has been extremely low (0.25). Right through the crisis, global macro funds have managed to deliver positive returns quarter after quarter starting in 2009.
In August, managers who stayed with tactical trading amidst extreme volatility ended on the right side of the trade on most occasions. This situation is in line with our findings that global macro managers generally outperform other strategies in times of higher volatility. Macro funds long on industrial metals and Asian currencies finished as laggards, while funds with exposure to precious metals, specifically gold, experienced gains. Fixed-income-related themes also generated positive returns, with the fund inflow into US Treasuries going up in light of European uncertainty. Given the good run macro managers have had in the last two months, they are likely looking forward to a further unfolding of the debt crisis in the USA and euro zone. We maintain our outperformance stance.
Nils Beitlich
Nils Beitlich ist Leiter des Alternative Investment Research bei der Credit Suisse in Zürich.
Credit Suisse
Als eine der weltweit führenden Banken bietetdie Credit Suisse ihren Kunden globale Dienstleistungenin den Bereichen Private Banking, Investment Bankingund Asset Management an. Der Asset-ManagementBereichofferierteine umfassende Produktpalette mit etlichen Anlagekategorien von alternativen Investments wie z.B.Private-Equity-Anlagen, Hedgefonds, Immobilien und Kreditprodukten bis hin zu „Multi AssetClass“-Produkten. Die Hedgefondsstrategie-Plattform derCredit Suisse beschäftigt rund 200 Spezialisten mit großer Erfahrung in den Bereichen Active Fund of Hedge Fund, Hedge Fund Indexing sowie Single- und Multi-Manager-Strategien. Diese Gruppe kann auf das institutionelle Wissen und Know-how zurückgreifen, die dasUnternehmen seit seinem Einstieg in diese Anlageklasseim Jahr 1994 zusammengetragen hat.
Kontakt
Rudi Aberle
Director, Head of Investment Consulting,
Asset Management
CREDIT SUISSE (DEUTSCHLAND) AG
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Email: rudi.aberle@credit-suisse.com
