At vero eos et accusamus et iusto odio dignissimos ducimus qui blanditiis praesentium voluptatum deleniti atque corrupti quos dolores et quas molestias excepturi sint occaecati cupiditate non provident, similique sunt in culpa qui officia deserunt mollitia animi, id est...
At vero eos et accusamus et iusto odio dignissimos ducimus qui blanditiis praesentium voluptatum deleniti atque corrupti quos dolores et quas molestias excepturi sint occaecati cupiditate non provident, similique sunt in culpa qui officia deserunt mollitia animi, id est ...
At vero eos et accusamus et iusto odio dignissimos ducimus qui blanditiis praesentium voluptatum deleniti atque corrupti quos dolores et quas molestias excepturi sint occaecati cupiditate non provident, similique sunt in culpa qui officia deserunt mollitia animi, id est ...
法國的Olympia capital management，也是一家當地的知名避險基金公司，在9月份發表一篇避險基金產業的研究報告，簡短精要的報告內容共為三個部位：1、產業現況；2、2009年上半年各策略的表現說明；3、提供對於產業前景與各類策略的展望。這份報告讀來並不沈重，主要還是因為有著圖表的輔助，以及彙整其他報告的資料佐證，接續去年底金融緊張氣氛時期許多大型避險基金報告所提出的觀察事項，如收費結構改造議題，資金動態、各類策略的消長，是篇不錯的產業觀察報告。
另一個報導:Is There a Season for Happier Returns?，是我覺得較有意思的內容，說明有關CTA策略的基金在一年四季12個月當中，是否存在著擇時投資的樣態(Pattern)? 因為管理期貨策略基金的績效今年以來一直不若去年亮麗，若是從Credit Suisse/Tremont 所追蹤的避險基金策略績效來看，managed futures今年以來就只有5月份、8月份是正報酬，其餘的月份就難看了，尤其是與近來不斷上漲的股票市場比較起來，負報酬就更讓人刺眼難受。 但是，也有許多資深的投資人與CTA業者，倒是老神在在地認為下半年雖然也進入9月的時序，但是接下來的3個月份，CTA仍有很大的機會可以反敗為勝。但是這究竟是不切實際的樂觀期待，還是其來有自的可靠經驗？作者著手從BarclayHedge的資料庫，找出有10年以上交易實績的158支CTA,統計出這些CTA在1998年~2008年期間，12個各別的月份績效為何？從下圖可看出，除了3月與7月之外，其餘的月份可都是有著正報酬的表現。尤其是下半年的績效會比上半年好。 作者提出的解釋是：因為股市在上半年交易量較下半年的交易量高，也比較有市場效率，導致管理期貨交易策略較難發揮效果。而下半年股票市場不效率的機會因為受到「五月賣股票」大眾盲從的投資行為影響，就有比較多會有利於管理期貨策略的交易。而且，每年的9月~11月期間，VIX指數(波動率指數)都會較高。其中，還引用了VIX的歷史數據，預判在不久的將來，VIX會再度上揚，掀起另一波金融動盪，也再度供輸給CTA策略異軍突起的機會。(這個預言，只能等著瞧…)
一家成立30年，號稱不從事與任何避險基金有利益衝突的業務，沒有管理資產、不做基金估價業務、不賣產業報告，而是專注在實務察核(due deligence)扮演投資偵察隊角色的公司-Castle Hall，前一周發表一篇報告-FROM MANHATTAN TO MADOFF-THE CAUSES AND LESSONS OF HEDGE FUND OPERATIONAL FAILURE。從世紀騙徒-馬多夫詐騙案切入，點出了營運管理失誤(operational failure)的黑暗面對投資人的資產和資產管理業者所造成的負面影響。 Castle Hall從其避險基金的資料庫中，依照七大類別的營運過失項目共挖出了327件相關的失誤案例，若是把世紀騙徒馬多夫所捅下的800億美金天量不計，仍有150億美金的金額是因為這些營運過失而讓投資人的資產受損，其中比例最高的兩項就是侵吞款項與五鬼搬運捏造資產品項。而Castle Hall並未把操作失利的影響納入在營運過失項目中，所以像是LTCM,Amaranth,Sowood等過往曾經轟動避一時的避險基金虧損事件都不列入負面事件中。 1-Theft and misappropriation 侵吞款項 2-Non-existence of assets (the manager claimed to own fake securities or operated a Ponzi scheme where reported assets did not exist) 捏造資產數據，資產實際已不存在 3-Marketing Misrepresentation 詐騙行銷 4-Conflict of Interest 利益衝突 5-Legal/Regulatory Violation 違反法規 6-Concealment of Trading Losses 隱暪交易虧損 7-Mis-valuation of Assets. 謊報資產價值
Man investment 每季都會出版一份季報，向來是一份投資避險基金的投資人或是業界人士都會閱讀的產業報告。因為該集團向來對外一再強調他們在研究資源的著力與重視，而且他們也的確一直都會提供研究報告給合作伙伴，讓他們能夠有效的更新避險基金產業的脈動與Man investment旗下商品的績效。 最新的這份季報幾天前剛出爐，包括兩大部份： 前半部內容是分析說明各類避險基金策略的績效表現與整體產業資產的變化。當然，隨著金融秩序的穩定之後，避險基金也是回春復原的非常明顯，其中又以新興市場股票多空策略及可轉債策略反彈最大、績效顯著；但是去年的倍受追捧的獲利策略-管理期貨策略則是反差的表現不佳。 後半部內容則是整理了產業結構現況與檢討。我認為不脫離："Hedge fund tomorrow"與"New views of the hedge fund industry"的範圍，只是再次證明，避險基金的改造聲浪已經漸次要發生作用了。因為經過這段期間許多專業媒體與機構投資人的要求，透明度、流動性、資產管理權等等議題，避險基金很難再坐視不理。
----------------------------------------------------------------------------------- Hedged mutual funds (HMFs) may be a dominant trend in next hedge fund industry cycle By Benedicte Gravrand, Opalesque London:
Last year, hedge funds lost on average 20%. But mutual funds lost around twice as much. However, there is a marked trend towards a convergence between the two styles and structures, particularly in the U.S.
Mutual funds have been under pressure for a while, what with underperformance and competition from the better-yielding alternative investment funds, and the cheaper ETFS and other index funds. So they are starting to use the clever tools that came out of the investment world's laboratories, namely: alternative investment funds, to generate higher returns. So the retail market can now access such tools as shorting, leverage (although not as much as with hedge funds due to regulations), derivatives, etc. for less fees, more transparency, better liquidity and more regulatory oversight.
Naik, Agarwal and Boyson, in their 2007 working paper entitled "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds" (Hedge Fund Centre, London Business School) predicted that "...hedged mutual funds will play an increasingly important role in the field of investment management as they provide access to hedge-fund like strategies with the fee structure, liquidity, and regulatory requirements of mutual funds."
Next cycle? According to a Greenwich, CT based consultancy firm Lake Partners' report on The State of the Hedge Fund Industry, produced in conjunction with international law firm K&L Gates and presented by webinar on 30 June-09, the hedge fund industry has had quite a few cycles of renaissance and wreckage including:
Cycle 1 - 1949-1970s, started with A.W. Jones, ending in the "dark ages"; Cycle 2 - 1980-1990, Golden Era cumulating to a market correction; Cycle 3 - 1991-94, recovery and "masters of the universe"; Cycle 4 - 1995-98, bull market to margin calls; Cycle 5 - 1999-2002, bull market ending in bear market; Cycle 6 - 2003-2009, from institutionalisation to retrenchment.
The next cycle in the hedge fund industry chronicles might well be that of convergence between styles and structures for greater access to the retail market.
Democratization of alternative strategies Lake Partners noted a definite trend towards democratization of alternative strategies as the latter is moving into mutual funds.
It all started in 1997 with the SEC's repeal of the "short-short" Rule, when the first mutual fund practitioners initiated more hedging. The following year, the first dedicated "hedge mutual funds" were created. (Note: Here is a link to a related research paper by K-H. Bae and J. Yi, which found that the timing performance of mutual fund managers improved significantly after the short-short rule repeal: "The Impact of the Short-Short Rule Repeal on the Timing Ability of Mutual Funds".)
According to Forbes.com, Robert Gordon, CEO of New York-based investment firm Twenty-First Securities, pioneered the mutual fund with a hedge fund style earlier than that, in 1985 in fact, under the management of now legendary money runner Robert Stovall - although the fund never became profitable. Gordon says he still thinks they're a good idea. "But they don't have the same cache" as a hedge fund. "You don't get the same thrill."
Now, we are seeing a rapid growth in AuM and in the variety of the alternative mutual funds and structures. Indeed, the alternative mutual fund industry has grown from $1.3bn in 1997 to $100bn (est.) in 2009 (YTD).
Hedge funds and other asset managers launching alternative mutual funds It is not just mutual funds that are launching funds using alternative strategies; there is also a trend of hedge fund managers launching mutual funds - as they seek to attract capital from the retail market. Indeed, one can invest in such a fund with only a few thousand dollars.
Greenwich, CT-based hedge fund firm AQR Capital Management for example, is now offering new mutual funds. David Kabiller, founding principal of AQR, told ConnPost.com earlier this month that he did not think this trend would catch on among hedge funds: "There's a lot of cost and oversight to developing a mutual fund company. To take on those costs, you have to be able to innovate those products."
Only this month, we heard of U.S. firm Fred Alger Management, which is preparing to launch a long/short equity mutual fund; New York-based asset manager Van Eck Global, which is launching a new mutual fund that invests in hedge funds; Bull Path Capital Management LLC in New York, which recently converted the domestic version of its hedge fund into a mutual fund; and North Carolina-based hedge fund firm Hatteras Funds, which acquired AIP Mutual Funds, and with it the management of two mutual funds of hedge funds (see Opalesque Exclusive).
There is also U.S. investment adviser Driehaus Capital Management, which has just launched an absolute return mutual fund; FundQuest, a U.S. and European managed account services provider, which has expanded its alternative investments offering with hedge-style mutual funds; and Andrew W. Lo, the famed finance professor at the Massachusetts Institute of Technology, who has recently launched a mutual fund providing hedge-fund-like strategies.(interview video below)
By Benedicte Gravrand, Opalesque London:
This is the second of a two-part article. Part One was published yesterday and can be found here Source
What are HMFs? According to the Lake Partners report, hedged mutual funds are open-end investment companies registered under the US Investment Company Act of 1940 which implement their underlying portfolios using hedging strategies or investments on an ongoing, regular or periodic basis. Although open-end mutual funds are not the only ones in the game: registered closed-end funds, ETFs and ETNs also use these strategies.
Strategies include long/short investing, hedging (options, futures, derivatives, etc.) and alternative strategies (commodities, leverage, derivatives, illiquid private placement or distressed securities and other instruments).
Hedged mutual funds provide access to alternative strategies with lower costs, more oversight, and better liquidity and transparency than hedge funds, says the report. Their regulatory safeguards include independent custody, limitations on leverage, liquidity and daily pricing, and lower costs.
Investing in HMFs These funds indeed offer an opportunity for investors and professionals to have greater choice, additional sources of potential returns, more tools for risk management and enhanced diversification.
Those driving the current and future marketplace for hedged mutual funds are mainly: investors (individuals, HNWIs, family offices); investment professionals (manufacturers, advisors, alternatives managers); fiduciaries, foundations, endowments; and retirements plans.
According to Investopedia.com, unlike retail hedge funds, which have higher minimums that require some level of investor accreditation, this breed of mutual fund enjoys the same level of accessibility as the more commonplace active and passive strategies available across the traditional equity and fixed income style boxes.
Traditional mutual funds' load fees are around 3% and expense ratio fees are around 1% to 2% - although there are other one-off fees too. However, according to Investopedia, HMFs' fees are often higher than those of the typical actively managed mutual fund; the fee range for hedged products can be from 2.5% to 4% or more.
HMFs underperform hedge funds but outperform mutual funds In their study, Naik, Agarwal and Boyson found that despite their use of similar trading strategies, hedged mutual funds underperform hedge funds : "We attribute this evidence to lighter regulation and better incentives faced by hedge funds", says the paper's abstract. "In contrast, hedged mutual funds outperform traditional mutual funds. Most interesting, this superior performance is largely driven by managers with experience in implementing hedge fund strategies."
So hedge fund managers would do well in the mutual fund arena. We could also conclude from this that if hedge funds outperform HMFs due to lighter regulation, the forthcoming, heavier, regulations on hedge funds, both in Europe and in the US, might affect hedge funds' performance significantly.
The Lake Partners report estimates that hedged mutual funds (HMFs) could outperform traditional mutual funds by as much as 4.8% p.a.
A Morningstar fund analyst recently mentioned two HMFs to CNN's Money Magazine: the Merger Fund and Hussman Strategic Growth. Both move out of sync with the S&P 500 and did well during the bear market but less well in the rebound. Over the past five years, Merger has gained an annualized 6.3%, Hussman 7.5% (Morningstar is tracking some 54 HMFs).
BusinessWeek.com mentioned another HMFs last month, a fairly new offering called the Nakoma Absolute Return Fund: the fund is up almost 6% YTD, trailing the S&P 500 by about 3%, a little better than the managers' historical performance in bull markets.
找尋有關管理期貨策略在1983年刋出的經典文章："The Potential Role of Managed Commodity – Financial Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds" (此文John Lintner所撰寫，他是一位Harvard Professor)，在google 過程中，發現CME 的資源中心有幾篇有關管理期貨的相關資料，當然也包括了John Lintner的經典文章，還有網路簡報-A Former Institutional Investor’s Perspective on Managed Futures,可以聽聽他們怎麼介紹管理期貨策略。簡報資料相當豐富。
雖然全球景氣仍在末定之天，但是避險基金已經受惠於金融秩序的穩定而能夠正常發揮各種交易策略的功能，績效變好了、資金外流也減輕了進而表現穩定增長的景象。從Credit Suisse Tremont Index LLC 今天所發表的2009年中報告，就能看出端倪。但是風暴之後，對避險基金的檢討仍是不絕於耳，要求提高透明度、減少管理費用、強化管制等等議題，仍會繼續不斷的出現在新聞版面上。不變的是，還是會有能力出眾獲得高資產淨值投資人或是機構法人青睬的基金經理人繼續在避險基金產業賺大錢的。
Highlights and Key Points – 1H 2009:
*With returns of 7.2% through June 30th, hedge funds, as represented by the Credit Suisse/Tremont Hedge Fund Index (the ‘Broad Index’), have posted positive returns for five out of the first six months in 2009 *Hedge funds have outperformed both equity and bond indices through the first half of the year while maintaining lower levels of volatility
*Convertible Arbitrage, Emerging Markets, and Global Macro are specific sectors which received increased attention as investors regained their appetite for risk and global markets rallied
*Performance has improved across most sectors, with the bulk of returns for many strategies falling in positive territory for the year, and 80% of all funds ending the second quarter in positive territory
*Assets under management have dropped approximately $18 billion since the first quarter of 2009; we estimate industry assets totaled $1.3 trillion as of June 30. This is down from $1.5 trillion at the end of 2008
*As of June 30, an estimated 9.6% of funds were classified as impaired, meaning they have either suspended redemptions, imposed gate provisions or sidepocketed assets. This is down from an estimated 11.6% at the end of 2008
*Calls for government regulation, increased requests for transparency and the rise of secondary markets are three trends currently developing in the hedge fund space
*Six months after their worst drawdown on record, hedge funds appear to be demonstrating better performance than in previous recovery periods, such as the Asian Currency Crisis and the Tech Bubble Burst events. Historically, it has taken hedge funds 13 months to recover from these market disruptions
這是麥肯錫研究中心最新出爐的一份報告：The new power brokers:How oil, Asia, hedge funds,and private equity are faring in the financial crisis，其中針對避險基金產業的調查報告。包括HF目前資產規模的歷年變化與比較，各種投資策略的績效與股債市比較，產業生態的變化-如法令規範、費用結構等最近一直都是熱門討論的議題。也是一篇不錯的整理報告。我個人比較喜歡其中幾張圖表，頗有創意。至於其他主題如：石油、亞洲市場 私募基金等，就等有空再來看了。
01 A Story of Success 02 Market Forces Deal a Setback 03 Regulatory Implications of the Crisis 04 A New Hedge Fund Regulatory Architecture 06 G20 Establishes a New Regulatory Framework 07 Systemic Risk 10 Preserving the Role of Hedge Funds 11 Focus on Counterparties 12 Hedge Fund Operations and Administration 13 Hedge Funds in a Healthy Capital Market System 16 The Next Phase for Hedge Funds
人物簡介： Martin Lueck,英國Aspect基金公司的創辦人，同時也研究部門的高階主管。他在Opalesque Futures Intelligence 的訪問中，分享他對2008年以及管理期貨基金的未來展望。Martin 投身於量化模型之管理期貨產業已有20年之久，1987年他與另二位好友成立了 Adam, Harding and Lueck ltd.也就是後來被MAN GROUP 買下的AHL。1997年，他成立Aspect公司，依舊活躍於cta產業。
