Hedge Funds under Fire. For how long? Building Competence. Crossing Borders.
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1 Hedge Funds under Fire. For how long? Building Competence. Crossing Borders. Prof. Dr. Peter Meier, Head Centre for Asset Management HFM Allocator Network: Summit Zurich, September 15, 2016
2 Overview: Hedge funds under fire. For how long? 1. Introduction 2. Hedge funds under fire 3. For how long? 4. Conclusion 2
3 Swiss Hedge Fund Council: A Devotion to Transparency Vision The Swiss Hedge Fund Council is devoted to advancing transparency, development and trust in hedge funds in Switzerland. Our new website: 3
4 4 4
5 Characteristics of Hedge Funds 1. Actively managed portfolios 2. Oriented to the achievement of absolute returns 3. Application of short selling and leverage 4. Mostly offshore domicile Have broad investment opportunities Have a limited number of investors 5. Performance fees 5
6 Hedge funds are the mother of alternative investments. They use all categories of assets for position taking, sometimes even real assets. Financial Assets Strategies Alternative Traditional Equities Fixed Income Derivatives Private Investm. Commodities Real Estate Infrastructure Collectibles Hedge Funds Relative Value Event Driven Directional Real Assets 6
7 Since 2008 offshore domiciled funds are gradually replaced by on shore structures. Fund Off shore On shore Past AIFMD UCITS Future SIF QIF UCITS hedge funds = ARU SIF = Specialized investment fund (Lux) QIF = Qualifying investor fund (IRE) ARU = AR-UCITS = Absolute Return UCITS 7
8 Overview: Hedge funds under fire. For how long? 1. Introduction 2. Hedge funds under fire 3. For how long? 4. Conclusion 8
9 Investor views: Have hedge funds lived up to expectations over the Past 12 Months: 79% say no! Source: Preqin Prof. Dr. Peter Meier 9
10 Cherry picking Economist 10 10
11 Hedge funds under fire Performance problem Fee compression Alternative products competition Alternative beta Multi-asset portfolios Private investments Questioned even: Alpha capability Tail risk insurance Prof. Dr. Peter Meier 11
12 Returns of hedge funds and world equity: Are the good old time over? 40% 30% Secret stars Absolute return confirmed Absolute return questioned % 10% 0% -10% -20% -30% Equity FoHF -40% Daten: VAN, HFR, MSCI (ab 2001 gross returns) -50% Prof. Dr. Peter Meier 12
13 Short term performance is far from historical. Performance per Jun-16 YTD 1 Jahr Jan-94 bis Jun-16 Rendite Rendite Rendite p.a. Volatilität * Ratio* Sharpe- Credit Suisse Hedge Fund Index -1.6% -4.2% 7.8% 7.0% 0.75 Convertible Arbitrage 2.2% 0.1% 6.6% 6.4% 0.63 Equity Market Neutral -3.5% -1.5% 4.3% 9.5% 0.19 Fixed Income Arbitrage -0.2% -0.4% 5.0% 5.3% 0.47 Event Driven -2.5% -10.4% 8.1% 6.2% 0.90 Distressed 0.0% -5.2% 9.2% 6.3% 1.06 Multi-Strategy -3.5% -12.4% 7.6% 6.7% 0.75 Risk Arbitrage 2.7% 0.7% 5.8% 4.0% 0.81 Global Macro -1.5% -3.9% 10.1% 9.0% 0.84 Long/Short Equity -5.0% -5.0% 8.6% 9.3% 0.66 Emerging Markets 0.5% -2.4% 6.8% 13.7% 0.31 Managed Futures 2.0% 5.4% 5.4% 11.6% 0.24 Dedicated Short Bias -7.2% 4.3% -5.4% 16.3% *Average Annual Index data begins January Monthly Standard Deviation annualized. Sharpe ratio calculated using the rolling 90 day T-bill rate. Prof. Dr. Peter Meier 13
14 Hedge funds underperform over the last five years world equity (as of Jul-16). Source: CS Hedge Fund Indexes Prof. Dr. Peter Meier 14
15 Long-short equity hedge funds underperform over the last 12 months world equity (as of Jul-16). Source: CS Hedge Fund Indexes Prof. Dr. Peter Meier 15
16 Fixed income arbitrage underperforms over the last 12 months government bonds (as of Jul-16). Source: CS Hedge Fund Indexes Prof. Dr. Peter Meier 16
17 Hedge fund assets decrease for the first time in 2016 since Prof. Dr. Peter Meier 17
18 Overview: Hedge funds under fire. For how long? 1. Introduction 2. Hedge funds under fire 3. For how long? 4. Conclusion 18
19 Passives, Solutions and Alternatives will continue to win a disproportionate share of net flows. Active Specialized is a threat for hedge funds (Source: Boston Consulting Group). Alternatives Active spec. Solutions Active core Passive Active core Prof. Dr. Peter Meier 19
20 Overview: Hedge funds under fire. For how long? 1. Introduction 2. Hedge funds under fire 3. For how long? 4. Conclusion 20
21 Conclusions Liquid Alternatives, multi-asset portfolios, solutions Cannibalize hedge funds Private investments in favor Few track record No benchmarks Average hedge fund is no more a good investment Active successful selection is important Hedge funds will go back on track again!?! Great recession: Good for hedge funds? 21
22 Contact Prof. Dr. Peter Meier Centre for Asset Management ZHAW Zurich University of Applied Sciences, School of Management and Law or , Technopark Winterthur, Technoparkstrasse 2, P.O. Box, 8401 Winterthur Swiss Hedge Fund Council: website ZHAW: 22
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