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Editor's Note
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Opalesque Nordic Roundtable: Diversification by just having a passive allocation across asset classes is becoming less and less useful
Download here: http://www.opalesque.com/RT/NordicRoundtable2012.html
During the recent ten years we have seen a steady increase in correlation between basically all markets. You will find a very good illustration for the decreasing diversification by just looking at the daily moves of the S&P 500 index stocks from 1996 to 2008. During all those years, there were only 12 trading days when more than 490 of the S&P 500 stocks moved in the same direction on a given trading day. In 2011, there were 15 such days with nearly even up/down ratio – and that’s in just one year.
Since August 2009 we have had 17 negative months on the MSCI World Index, and out of 17 months, the broad HFRI Index simultaneously declined 14 times. That is a 80% down capture by the hedge funds. The beta is like 0.23 and the r2 is 76%, so it is very obvious there is too much correlation between hedge funds in general and the equity markets.
Many of the more well-known correlations in the market have totally shifted and actually very much resemble the situation we had in 1929. Also, given the global macro environment, investors can't really rely on a market beta going forward. Seeking diversification by just having a passive allocation across asset classes is therefore becoming less and less useful.
This new Opalesque Roundtable offers relevant insights why and how to invest in a diverse portfolio of active strategies and also addresses the issue of asset concentration into the largest, most well-known firms. For example, the asset concentration the managed futures space is quite astounding. At the moment, the 10% biggest managers have 90% of industry assets. Ten years ago, that number was 80%. You can show that having larger relative asset size negatively impacts your relative performance. The returns of such mega funds will basically be performing in line with the overall industry, which for allocators is a worrying sign.
The Opalesque 2012 Nordic Roundtable was sponsored by Salus Alpha and Eurex.
Download here: www.opalesque.com/RT/NordicRoundtable2012.html
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Opalesque Exclusive: U.S. hedge funds gained in August by buying riskier stocks and commodities: hedge fund news, week 39
In the week-ending 28 September 2012, it was reported that Goldman Sachs Group was scheduled to launch a new hedge fund offering to its wealthiest customers; Citigroup hired former Morgan Stanley Investment Management’s Andrew Mack for its new hedge fund launch; former Royal Bank of Canada and Bank of America Corp. proprietary traders Stuart Lippman and David Liu have left Tandem Global to start a new fund at TIG Advisors; Hyaline Capital Management launched a top-down, macro-driven long/short equity hedge fund; Hal Lehr, a managing director and global head for cross-commodity trading at Deutsche Bank, resigned from the hedge fund with three associates to start a new fund; Gougenheim Investments CEO and founder Philippe Gougenheim said he would launch the Glasnost Macro Fund in early October; and three North Carolina college students launched a global macro hedge fund for Lumina Investments.
Lazard Global Investment launched the Lazard Opportunities fund after closing its Matrix UCITS platform; Hermes Fund Managers unveiled a UCITS-compliant U.S. small and mid-cap equities fund managed by Robert Anstey; and a joint venture between Lyxor Asset’s Fortune SG and Winton Capital Asia launched the first CTA in China.
The South Africa-based global provider of wealth and alternative asset management solutions Peregrine Holdings announced it would close its consulting arm Peregrine Portfolio Innovation; Hong Kong hedge fund Sharp Peak Vega Fund told investors it would return investors money due to poor performance; data from Citiwire showed that 83% of Alternative UCITS fund closures to have occurred over the past three years took place in 2012; and William Collins’ Brencourt Advisors told its investors that the fund would shut down and return investors’ money next month.
The Dow Jones Credit Suisse Hedge Fund Index finished up 0.84% in August 2012 (4.52% YTD);
The Parker FX Index down 0.58% (-1.17% YTD);
And the Scotiabank Canadian Hedge Fund Index +1.21% on asset weighted basis (-6.45% YTD).
U.S. hedge funds posted positive performance in August after buying riskier stocks and commodities; according to Goldman’s analysis of quarterly regulatory filings, returns of hedge funds are dependent on the performance of a few key stocks; data provider Hedge Funds Research recorded the lowest number of hedge funds at high-water mark since 2003; the $2.5bn New York-based Karsh Capital reported a 2% decline in Q2 (+4.3% YTD); $15bn York Capital Management reported 6.96% gains till August; Carl George’s $1.7bn hedge fund at Pivot Capital Management rose 6% as at end of last month; and Woodbine Capital Advisors reported a 0.32% decline in August, contrary to its July gains of 2.96%.
A report indicated that hedge funds had shifted to long-only assets in their search for profit; three hedge fund titans ...
Click here to read Opalesque's full article
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Family Office Forum Sept. 10-11, Wiesbaden Germany
Join Opalesque founder Matthias Knab at the Prestel & Partner Family Office Forum Wiesbaden, the annual event for German-speaking family offices along with 100+ Family Offices!
This is YOUR opportunity to:
- Meet private investor peers in person
- Be part of a trusted community in a "safe place"
- Share experiences and views
- Access information across Family Governance & Investment best practice topics.
Are you a family office*? You'll enjoy free admission. Simply contact ticket@prestelandpartner.com
Are you a partner and service provider for family offices? Then you can purchase one of the strictly limited delegate passes, simply contact ticket@prestelandpartner.com
At the Family Office there will be... - More family offices on stage than providers,
- More family offices in the audience than providers.
* Our definition of a true family office is AUM of at least 120 million euros of one or fewer families / private individuals, and the family office does not work as a solution provider for many third parties.
See here for agenda and more information: https://prestelandpartner.com/familyofficeforumde.html
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ABN Amro's 12th Amsterdam Investor Forum 1-2 October
This year, ABN Amro again will host the Amsterdam Investor Forum (AIF) on 1-2 October at its headquarters. The theme is "The Known Unknowns and The Unknown Unknowns."
Register here early - only 250 can attend: https://www.amsterdaminvestorforum.com/login/
At the event, ABN AMRO Clearing will address topics around the theme "The Known Unknowns and the Unknown Unknowns" through thought-provoking panels, keynotes, fireside chats and dedicated investor round tables. The AIF team will also be hosting networking drinks in the evening on 1 October.
Fund managers can now register for the prestigious AIF Factor competition
Fund managers can now submit their applications for the prestigious AIF Factor
This is a competition where five shortlisted alternative funds are given the floor for a 3-minute pitch to present their investment proposition to the whole event audience, offering managers a unique opportunity to raise their profile and gain exposure to interested investors.
The forum delegates then cast their votes, appointing the most compelling strategy the 2024 AIF Factor winner. The competition is open to all funds regardless of size, domicile and trading approach.
Apply here to participate: https://aif.amsterdaminvestorforum.com/
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Legends4Legends2024 Oct. 17th EYE Filmmuseum, Amsterdam: Unlocking the True Internet Economy
Recent advancements in blockchain technology have positioned it to support the onboarding of hundreds of millions of users. Onchain transactions will become an integral part of our online behaviour. This shift presents significant investment opportunities.
Legends4Legends is the largest content-driven event in Europe to educate family offices, professional investors, institutional allocators, wealth managers and private banks on the promise of blockchain technology and its investment opportunities.
The charity event brings together the global thought leaders in blockchain venture capital, along with 300 family offices, professional investors, institutional allocators, wealth managers and private banks that together deep dive into the practical applications of the technology, enabling participants to cut through the noise.
The afternoon will be rounded off by an open Q&A and networking drinks, giving you the chance to network with the speakers, the Theta Team, friends and peers.
Legends4Legends raises money for Alternatives 4 Children, an independent charitable foundation established in 2011 in the Netherlands with the aim to involve professionals from the (Alternative) Financial industry and the conviction that, together, we can make a difference for children in need.
Secure your seat now as tickets are limited by registering here.
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AIM Summit Dubai Edition Oct. 21-22
Discover the future of alternative investments at the AIM Summit Dubai, 21 & 22 October 2024, where the world's leading minds converge to shape the next era of alternative investments. Taking place in the vibrant city of Dubai, this edition will gather over 800+ fund managers, institutional investors, family offices, sovereign wealth funds and financial associations and over 100+ global thought leaders, economists and politicians.
Apply to attend today! https://www.aimsummit.com/event/dubai/summary
As a platform that goes beyond traditional boundaries, AIM Summit offers a unique opportunity for attendees to delve into a wide range of alternative investment classes, including private equity, venture capital, hedge funds, digital assets, fintech, AI, Blockchain, and more.
The summit is designed to provide in-depth analyses of market dynamics, regulatory landscapes, and investment strategies, ensuring that attendees are well-equipped to navigate the complexities of the alternative investment space.
For more information, contact info@aimsummit.com
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| Carry-Neutral Tail Risk Hedging: The Ambrus Group's revolutionary approach to protecting your portfolio |
In an exclusive interview with Opalesque TV, the founding partners of The Ambrus Group unveil a groundbreaking strategy that is redefining tail risk hedging. Unlike traditional approaches that bleed investor capital during normal market conditions, Ambrus has developed an innovative, carry-neutral m...
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Interested in featuring your firm here? Contact us
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| Technical Research Briefing |
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S&P FUTURES (@ES) – Daily
Currently: Long Looking to: Sell @ 4,118.75
As of 3/21/21 @ 7:58pm EST: 3,896
LAST WEEK: We suggested buying dips to 3,875 with stops on a close below 3,840 and with a target for selling longs / getting short at 4,118.75.
UPDATE: S&P futures had a terrible day Thursday and limped into the weekend. Right now, we put possible short-term ceilings at 3,918 or 3,950. If 3,918 holds as short-term resistance, we will look for a dip in the ES futures to 3,818 – 3,820. If 3,950 is tested and holds as resistance instead, we will look for a dip to 3,848 – 3,850 to follow. After this bounce and subsequent dip, we will be buying S&P futures aggressively (unless evidence presents itself that forces us to change our opinion) near one of those support levels.
We would look to buy dips to either 3,849 or 3,818.50 with stops honored on a close below 3,847 and 3,815, respectively. The upside target for either entry will be 4,119. NO SHORTING RIGHT NOW!
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