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Ginger Szala, Futures Magazine
Evolution of Hedge Funds
Leadership Forum
Managed Funds Association
Feb. 6,2006
Darwin and the Dollar
What defines a hedge fund?
1) Leverage 2) Long/short abilities 3) Broader markets 4) Structure provides freedom for
manager to pursue multiple strategies
Estimated Number of Hedge Funds1990 – 2005
1,105
1,514
1,945
8,661
610
3,617
5,379
4,454
3,873
821
2,9902,781
3,325
2,383
6,297
7,436
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Number of Funds
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry 1990 – 2005
$38,910$58,370
$95,720
$185,750
$256,720
$456,430
$490,580
$539,060
$57,407
$91,431
$4,406
$55,340$23,336
$46,545
$99,436
$167,790 $167,360
$972,608
$1,105,385
$820,009
$625,554
$367,560 $374,770
$46,907$27,861
$36,918
($1,141)
$14,698
$70,635
$8,463
$73,585
($100,000)
$0
$100,000
$200,000
$300,000
$400,000
$500,000
$600,000
$700,000
$800,000
$900,000
$1,000,000
$1,100,000
$1,200,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset Flow Fund of Funds 1990 – 2005
$1,898
$36,797
$75,413 $74,592
$56,347 $52,525
$74,033 $75,783 $76,094$83,535
$102,546
$206,937
$293,293
$229$7,138 $9,512
$394,629
$358,646
$19,902$33,183$28,453
$1,840
$18,024
$59,430
$103,398
$15,394 $14,812
($850)
($16,219)($3,272)
$18,479
($50,000)
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
$450,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
In Comparison Managed Futures Growth ($billions)
0
20
40
60
80
100
120
140
1980 1984 1988 1992 1996 2000 2004
MUM
04/10/23
Comparison of performance HFRI fund weighted comp. Index 1990 5.81 1991 32.19 1992 21.22 1993 30.88 1994 4.10 1995 21.50 1996 21.10 1997 16.79 1998 2.62 1999 31.29 2000 4.98 2001 4.62 2002 (1.45) 2003 19.55 2004 9.03 2005 9.35
Barclay CTA Index 1990 21.02 1991 3.73 1992 (0.91) 1993 10.37 1994 (0.65) 1995 13.64 1996 9.12 1997 10.89 1998 7.01 1999 (1.19) 2000 7.86 2001 0.84 2002 12.36 2003 8.69 2004 3.30
2005 1.71
04/10/23
Evolution of hedge fund styles Makeup in 1990s Macro 71.1% Equity Hedge 5.3% Event Driven 3.8% Fixed Income (total) 3.3% Distressed securities 2.4% Equity market neutral 1.7% Equity non-hedge 0.6% Merger arbitrage 0.6% Convertible arb 0.5% Emerging markets (total) 0.4% Sector (total) 0.3% Short selling 0.1%
Make up in 2005 Equity Hedge 29.0% Event Driven 13.5% Relative value arb 12.6% Macro 11.1% Fixed Income (total) 8.1% Distressed securities 4.7% Equity non-hedge 4.4% Sector (total) 4.3% Convertible arbitrage 4.3% Emerging markets 3.5% Equity market neutral 2.4% Merger arb 1.5% Market Timing 0.4% Short selling 0.3% Regulation D 0.2%
Estimated Growth of Assets / Net Asset FlowMacro 1990 – 2005
$27,642
$47,367
$70,743
$123,373 $121,420
$136,874
$178,474
$128,360
$150,740
$136,880
$71,402
$58,548
$4,001
$118,078
$107,405$102,457
$115,418
($17,735)
$33,772
($60,978)
($13,587)
$18,437
($47,010)
$14,014$10,521
$17,023$24,571
($8,297)
$4,242 $5,336
$28,146
($75,000)
($50,000)
($25,000)
$0
$25,000
$50,000
$75,000
$100,000
$125,000
$150,000
$175,000
$200,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowEquity Hedge 1990 – 2005
$2,054
$18,727 $20,403
$47,960
$92,790
$133,061
$172,837
$197,840
$13,649
$241,920
$285,952
$7,002$5,683$4,046$2,701$2,641
$331,827
$33,326
$1,283
$39,617$36,611
$25,004$23,152
$9,175$351 $47 $969
$1,594 $910
$19,113
$4,013
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowEvent-Driven 1990 – 2005
$1,494 $1,446
$11,681$15,039 $15,566
$21,911
$33,485
$52,215
$75,604
$128,673
$152,247
$10,071$13,738
$100,800
$7,300$4,928$4,553$2,624 $6,455
$1,776$353$1,385$949
($35)
$3,293$518
$4,801
$10,793
$16,449
$2,645
$25,599
($10,000)
$10,000
$30,000
$50,000
$70,000
$90,000
$110,000
$130,000
$150,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
04/10/23
Who invests in hedge funds? Combined U.S and Non-US 1) Fund of hedge funds 40% 2) High net worth 23% 3) Institutions 12% 4) Family Office 11% 5) Private Banks 10% 6) Foundations/Endowments 4% Source: UBS, Note: Based on percentage share of assets under management world wide
New Rules
SEC registration Feb. 1, 2006 deadline
Inside the numbers Roughly 4000 managers globally, 714 registered with SEC. Another 70
pending.
Are we still evolving? New worlds in hedge funds New name?
Insight from insiders
Bruce Cleland, President and CEO of Campbell & Co.
John Kelly, President and CEO of Man Investments Inc.
Mark Rosenberg, Chairman and CIO of SSARIS Advisors
Mark Rzepczynski, CEO of JWH & Co.
04/10/23
Other slides
Global assets
Structured assets
04/10/23
Growth of Hedge Funds and Managed Futures vs.Global Financial Assets & Derivatives1993 – 2004
Sources:• Bank for International Settlements • Banker Magazine • Bridgewell • Cap Gemini• Compeer • Hedge Fund Research • ING • International Financial Services London• Investment Company Institute • J.P. Morgan • Merrill Lynch • NYSE• OECD • Swiss Re
1997 79.1 40127.9 41.4 148.4 368 33
Year $Tn $Bn$Tn $Tn $Tn $Bn $Bn
1993 59.2 19418.5 16.3 93.9 168 26
1994 66.0 19220.4 20.2 106.6 167 25
1995 72.3 20923.4 27.0 122.7 186 23
1998 88.3 41131.4 94.3 214.0 375 36
1999 101.1 49737.4 101.8 240.3 456 41
2000 99.2 52935.5 109.5 244.2 491 38
2001 98.0 58035.9 135.0 268.9 539 41
2002 103.4 67732.9 165.5 301.8 626 51
2003 126.1 90743.3 234.0 403.4 820 87
2004 141.8 1,06245.9 298.4 486.1 930 132
CAGR 7.55% 15.22%7.88% 27.45% 14.68% 15.33% 14.49%
1996 76.3 28125.8 35.5 137.5 257 24
Hedge Funds +
Managed
Futures
Global Bonds +
Equities +
Banks
Pen Funds +
Insurance +
Mutual Funds
Global
OTC + ET
Derivatives
Total Global
Fin Assets &
Derivatives
Hedge
Funds
Managed
Futures
04/10/23
Evolution of hedge fund structures in the USVehicles for investing in hedge funds
Source: Investment Company Act of 1940.Schematic Illustration1Additional qualification standards may be necessary if futures are traded.2Although funds with an exemption under Section 3(c)(7) of the Investment Company Act of 1940, as amended, may have an unlimited number of investors, most funds will generally limit the total number of investors to 499 to avoid reporting requirements under the Securities Exchange Act of 1934, as amended. This is provided for informational purposes only and is not meant to be an exhaustive review of legal issues regarding hedge fund exemptions. Please consult with legal counsel for additional information. There are risks inherent in hedge funds and funds of hedge funds.
US legislation: 3(c)(1) (1949)
Maximum investors: 99
Typical minimum investment: $1 million
Investor qualifications: Accredited1
Individual
- income in excess of $200,000 in each of the preceding two years and expect the same or more this year;
or -net worth (or joint net worth with spouse) of $1 million
Entity: $5 million net worth
US legislation: 3(c)(7) (1996)
Maximum investors: 4992
Typical minimum investment: $1 million
Investor qualifications: Qualified Purchasers & Accredited
Individual
- natural person to have at least $5 million in investments
-certain other regulated high-net worth institutions (insurance companies, employee benefit plans, banks, etc.)
Entity: $25 million in investments
Development: Registered Hedge Funds (early 2000)
Maximum investors: Unlimited
Typical minimum investment: $25,000
Investor qualifications: Accredited
Individual
-a net worth of $1 million at the time of purchase;
or
- income in excess of $200,000 in each of the preceding two year and expect the same income level in the current year
Entity: $1 million net worth
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HFRI Fund Weighted Composite Index – Historical Monthly Performance
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
1990 (2.11) 1.54 3.21 (0.04) 3.05 2.10 1.50 (3.45) (1.96) (0.04) 0.75 1.35 5.811991 2.59 4.02 4.95 1.34 1.98 0.41 2.62 2.06 2.32 1.83 0.27 3.95 32.19
1992 3.84 2.14 0.59 0.30 1.84 (0.41) 2.08 (0.27) 1.94 2.11 2.80 2.53 21.221993 2.32 1.34 3.06 1.49 2.60 2.62 2.09 2.93 1.58 3.18 0.15 3.91 30.88
1994 2.50 (0.55) (1.51) (0.59) 0.68 0.27 1.35 2.46 0.89 (0.03) (1.27) (0.08) 4.101995 (0.22) 1.31 1.65 2.10 1.70 2.48 3.20 2.20 1.96 (0.65) 1.89 2.08 21.50
1996 2.89 1.23 1.46 3.96 3.05 0.18 (2.08) 2.28 2.07 0.98 2.08 1.33 21.101997 3.17 1.03 (1.64) (0.11) 4.38 2.70 3.87 0.34 3.72 (1.53) (0.93) 0.88 16.79
1998 (0.71) 3.27 3.00 0.96 (2.08) (0.13) (0.79) (8.70) 0.69 1.22 3.71 2.79 2.621999 2.24 (1.32) 3.14 4.50 0.72 3.63 0.52 (0.01) 0.16 1.60 5.06 7.65 31.29
2000 0.64 6.16 0.93 (2.85) (1.96) 3.68 (0.60) 3.81 (1.24) (1.79) (3.49) 2.07 4.982001 3.39 (2.21) (1.59) 1.95 1.19 0.29 (0.83) (0.41) (2.83) 2.01 2.07 1.71 4.62
2002 0.45 (0.70) 1.91 0.28 0.04 (1.94) (2.86) 0.53 (1.54) 0.59 2.12 (0.21) (1.45)2003 0.65 0.02 0.14 2.64 3.58 1.35 1.30 1.83 1.16 2.45 1.06 1.87 19.55
2004 1.98 1.19 0.51 (1.48) (0.31) 0.75 (0.96) 0.12 1.65 0.84 2.84 1.65 9.032005 (0.20) 1.83 (0.87) (1.49) 1.04 1.59 2.30 0.82 1.91 (1.42) 1.68 1.89 9.35
HFRI Fund Weighted Composite Index
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Alternative Investment Industry Performance and Trends
Provided courtesy of Hedge Fund Research, Inc.
Date: 01/24/2006Copyright 2006 – All Rights Reserved
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HFRI Monthly Indices – 2005 Monthly PerformanceIndex Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 2005HFRI Convertible Arbitrage Index (0.90) (0.44) (1.48) (2.64) (1.17) 1.03 1.08 0.58 1.23 (0.07) 0.03 0.88 (1.94)
HFRI Dis tressed Securities Index 0.15 1.37 0.30 (0.86) 0.23 1.38 1.65 1.32 1.10 (0.46) 0.98 0.99 8.44HFRI Emerging Markets (Total) 1.48 4.02 (2.00) (0.31) 0.60 1.59 2.94 1.99 4.81 (2.54) 3.14 3.70 20.90
HFRI Equity Hedge Index (0.58) 2.13 (1.05) (2.23) 1.55 1.96 2.95 0.74 2.25 (1.88) 2.14 2.38 10.66HFRI Equity Market Neutral Index 0.64 1.16 0.10 (0.38) 0.58 0.84 0.82 0.56 0.94 (0.36) 0.69 0.82 6.56
HFRI Equity Non-Hedge Index (1.60) 2.91 (2.42) (3.33) 3.17 2.88 4.10 (0.11) 2.08 (2.84) 3.47 1.99 10.33HFRI Event-Driven Index (0.15) 1.39 (0.20) (1.71) 1.20 1.33 2.35 0.89 1.00 (1.82) 1.26 1.40 7.07
HFRI Fixed Income: Arbitrage Index 0.56 0.73 0.19 (0.01) 0.18 0.52 0.97 0.39 0.77 0.34 0.09 0.61 5.46HFRI Fixed Income: Convertible Bonds Index (0.90) 0.70 (1.67) (2.94) (0.66) 1.89 2.62 0.48 1.12 (1.24) 1.51 1.48 2.26
HFRI Fixed Income: Divers ified Index 0.25 0.95 (0.21) (0.30) 0.39 0.79 0.87 0.35 1.05 (0.21) 0.46 0.58 5.07HFRI Fixed Income: High Yield Index 0.67 1.17 (0.30) (0.18) (0.09) 0.78 1.17 0.67 0.34 (0.39) 0.25 0.89 5.07
HFRI Fixed Income: Mortgage-Backed Index 0.98 0.88 0.50 0.78 0.57 0.65 0.75 0.38 0.72 0.66 0.24 0.31 7.67HFRI Macro Index (0.58) 1.81 (0.60) (1.06) 0.35 1.06 0.74 0.73 2.12 (0.67) 1.67 1.23 6.93
HFRI Market Timing Index (0.67) 3.36 (1.34) (1.74) 1.71 1.51 3.23 1.82 2.75 (2.33) 3.27 1.87 14.05HFRI Merger Arbitrage Index (0.03) 0.72 0.12 (1.42) 1.62 1.14 1.12 0.71 0.62 (1.57) 1.20 1.38 5.69
HFRI Regulation D Index (1.82) 3.17 0.84 (0.65) 0.67 3.68 3.60 3.43 (0.39) (1.15) 1.60 (0.96) 12.43HFRI Relative Value Arbitrage Index 0.30 0.78 (0.35) (0.84) (0.10) 0.96 1.34 0.69 1.15 (0.33) 0.88 1.68 6.29
HFRI Sector (Total) (1.05) 1.78 (1.67) (2.20) 2.12 2.23 3.50 0.65 1.71 (2.08) 1.66 2.55 9.37HFRI Short Selling Index 2.47 0.11 3.16 3.70 (3.42) 1.08 (2.78) 2.73 1.44 1.42 (2.40) (0.20) 7.22
HFRI Fund Weighted Composite Index (0.20) 1.83 (0.87) (1.49) 1.04 1.59 2.30 0.82 1.91 (1.42) 1.68 1.89 9.35
HFRI Fund of Funds Compos ite Index 0.00 1.36 (0.55) (1.41) 0.24 1.36 1.74 0.84 1.55 (1.38) 1.66 1.78 7.33
Lehman Bros Gov't/Credit Agg Bond Index 0.75 (0.71) (0.76) 1.62 1.35 0.70 (1.21) 1.61 (1.41) (0.92) 0.55 1.02 2.55
S&P 500 w/ dividends (2.44) 2.10 (1.77) (1.90) 3.18 0.14 3.72 (0.91) 0.81 (1.67) 3.78 0.04 4.91
Extracts from HFR INDUSTRY REPORTS
HFR Industry Report – Year End 2005:
Industry insiders utilize HFR Industry Reports to gain a detailed picture of current trends as well as a historical perspective of the hedge fund industry.
The Report includes:
•Over 140 pages of charts and graphs provided in PowerPoint format •Year End 2005 estimated total assets and net asset flows for entire industry and by strategy •Detailed breakout of Quarterly HFRI performance •HFRI Annual Performance Matrix 1993-2005•Onshore and Offshore asset analysis breakouts •Risk/Return analysis by strategy: 1, 3 and 5-year summaries of Standard Deviation, Sharpe Ratio, Sortino Ratio, Up/Down Capture, Returns Distribution and Market Correlations •Supporting dataset in Excel spreadsheet format (optional)
HFRI Index Risk Return Comparison 2005
Convert ible Arbit rage
Dist ressed Securit ies
Emerging Market s (T otal)
Equity Hedge
Equity Market Neut ral
Equity Non-Hedge
Event Driven
FI: Arbit rage
FI: Convert ible Bonds
FI: Diversified FI: High Yield
FI: Mortgage-Backed
Fund Weighted Comp. Index
Fund of Funds Comp
Lehman Gov/Credit
Macro
Market T iming
Merger Arbit rage
Reg. D
Relat ive Value Arb
S&P 500
Sector (T otal)
Short Selling
-5%
0%
5%
10%
15%
20%
25%
0% 1% 2% 3%
STD (%)
Return (%)
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowConvertible Arbitrage 1990 – 2005
$12,806
$20,132
$32,833
$10,887
($7,665)
$679$499$388$91$187 $47
$1,290$2,256 $3,013
$6,383
$44,773
$36,718
$44,713
$8,391
$522$252 $115 $144
($115)
$36
$843$699
$2,883
$5,492 $6,346
$3,295
($10,000)
($5,000)
$0
$5,000
$10,000
$15,000
$20,000
$25,000
$30,000
$35,000
$40,000
$45,000
$50,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowDistressed Securities 1990 – 2005
$934 $364
$29,279
$564
$35,556
$51,922
$46,256
$1,033 $1,008$1,751 $3,323 $3,578
$4,732
$7,104$7,886
$14,426
$596
($24)
$317$149
($366)
$1,246 $1,203$1,970
$761
$5,671
$14,115
$215
($1,945)
$6,637
$1,714
($5,000)
$0
$5,000
$10,000
$15,000
$20,000
$25,000
$30,000
$35,000
$40,000
$45,000
$50,000
$55,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowMerger Arbitrage 1990 – 2005
$233
$1,416 $1,388
$2,375
$4,266
$9,862
$15,468
$13,702
$12,614
$14,572 $14,472
$56$58 $78 $138
$637
($971)
($23)
$3,734
$4,588
$1,619
$916$649
($146)
$2 $16 $55
$410$1,021
($520)
$193
($2,000)
$0
$2,000
$4,000
$6,000
$8,000
$10,000
$12,000
$14,000
$16,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005
Estimated Growth of Assets / Net Asset FlowRelative Value Arbitrage 1990 – 2005
$3,922$421 $840
$13,302
$23,082
$74,295
$98,591
$130,454
$121,541
$7,340$596
$10,472
$3,837$3,729$1,363$873
$11,262
$1,434
$16,898
$441
($32)
$202$136
($3,009)
$2,023
$6,449
($2,671)
$5,162
$8,908
$91
$49,946
($10,000)
$5,000
$20,000
$35,000
$50,000
$65,000
$80,000
$95,000
$110,000
$125,000
$140,000
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Assets (In $MM)
Estimated Assets Net Asset Flow
Extract from HFR Industry Report – Year End 2005