Post on 31-Jul-2020
transcript
Evolution of Hedge Fund Investing: Institutional Investors Go Direct
Date: Monday, April 29, 2013 Time: 2:15 PM – 3:15 PM
Room: Whittier Room
Global hedge funds began 2013 with one of their strongest
quarters ever
80
90
100
110
120
130
140
150
160
170
180
2009 2010 2011 2012 2013
Global equities
Equity hedgefunds
HFRI Equity Hedge vs FTSE All World, total return, Jan 2009=100
Source: Datastream, HFRI.
The total size of the hedge fund industry continued to grow
Source: Datastream, HFRI.
-0.5
0
0.5
1
1.5
2
2.5
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012
Hedge fund industry assets, US$ trillions
Net asset flow
Estimated assets
Hedge fund liquidations hit a three year high
-1471
-1010
-743 -775-873
-1600
-1400
-1200
-1000
-800
-600
-400
-200
02008 2009 2010 2011 2012
Hedge fund liquidations
Source: HFRI.
Correlation dropped and fundamentals returned to the fore
40
45
50
55
60
65
70
75
80
85
90
Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12
ICJ Index (S&P 500 Implied Correlation Index)
Source: Bloomberg.
Japanese Yen created dislocations and opportunities in 2013
Source: HFRI.
-15
-10
-5
0
5
10
15
20
25
30
2008 2009 2010 2011 2012 2013
Option volatility surface (USD-JPY pair)
G-7 currency volatility
Historical currency volatility
-0.5
0.0
0.5
1.0
1.5
2.0
12/12 1/13 2/13 3/13 4/13
USD-JPY Volatility, post Abe election
Hedge fund allocations shifted towards health care industry
2013
-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0
Health Care
Energy
Industrials
Information Technology
Utilities
Telecom Services
Consumer Staples
Materials
Financials
Consumer Discretionary
Change in allocation since Q4 2012, percent
Source: Bloomberg.
Pension funds continue to invest in hedge fund industry
0.0
0.5
1.0
1.5
2.0
2003 2004 2005 2006 2007 2008 2009 2010 2011
Pension funds and other institutional investors
High net worth individualsand family offices
Sources of hedge fund assets under management, US$ billions
Source: Citi.
Note: “Other institutional investors” includes endowments, foundations, insurance funds, and sovereign wealth funds.
Investor contributions to assets under management 2012
Other
institutional
23%
Fund of funds
17%
Pension funds
17%
High net worth
individuals
24%
Family offices
19%
Investors in hedge funds, percent of total AUM
Source: HFRI.
Firms that increased staff size to improve transparency
2012
6881
7152
3219
2948
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Overall ≤ 499 500-999 ≥ 1,000
By AUM, US$ millions
Yes
No
77
57 59
23
43 41
≤ 25 staff 25-99 staff ≥ 100 staff
By size of firm
Yes
No
Source: KPMG, 2012.
Defined benefit assets grew in hedge funds
Source: Bloomberg.
0
20
40
60
80
100
120
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
US$ billions
Direct investment
Funds of funds
Single-manager funds have outperformed funds of funds
85
90
95
100
105
110
115
120
125
130
2008 2009 2010 2011 2012 2013
Fund of Funds Index
Single-Manager Funds
Index
HFRIFOF Index vs HFRIFWI Index, thousands
Source: Bloomberg.
The JOBS Act changing how hedge funds market themselves
Source: WSJ.