Hedge Fund Industry Snapshot - 2013-10-29آ  Composite hedge fund performance, equal-weighted...

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Transcript of Hedge Fund Industry Snapshot - 2013-10-29آ  Composite hedge fund performance, equal-weighted...

  • Hedge Fund Industry Snapshot Data as of September 2013

    Americas New York: +800 773-2889 San Francisco: +415 617-8554

    Citi Prime Finance | Market Commentary

    www.citigroupgcib.com | Report Date: October 2013

    EMEA EMEA: +44 0 207-986-0822

    Asia Pac Hong Kong: +852 2501-8356 Tokyo: +813 6270-3165 Singapore: +65 6432-1223 Australia: +612 8225-6424

    This report has been prepared by members of Citi Prime Finance and is not a research report. This report does not constitute advice on investments or a solicitation to buy or sell any financial instrument. Please see final pages for Market Commentary Disclosures.

  • Table of Contents

    Monthly Highlights 1

    Hedge Fund Industry Overview  AUM, Performance  Industry Flows

    2

    Hedge Fund Stats by Strategy 4

    Performance at a Glance *NEW Hedge Fund Performance Red/Black Report  Hedge Fund Performance *NEW performance dispersion by strategy  Citi HARP vs. HFRI Fund of Fund Performance  Securities Market Performance

    5

    Short Flows Data  US Short Sales & Short Cover by Sector  US Short Sales & Short Cover by Industry Group

    8

    Hedge Fund (Fund Level) Profiles  Fund Structure  Fund Analytics

    11

    Risk vs. Return Metrics 13

    By Strategy  Performance vs. Respective Benchmark(s)  Leverage Profile  Hedge Fund Performance by Size  Hedge Fund Performance by Age

    14

    Firm Disclaimers and Market Commentary Disclosures 25

    Contacts 26

  • Highlights Performance, AUM & Flows

     According to eVestment, industry assets rose for September 2013 gaining +$49.6 billion. Asset growth was attributed mostly from performance gains of +$32.0 billion with net positive investor flows accounting for +$17.6 billion.

     September 2013 marks the sixth month with positive performance gains this year and reverses course from August performance losses of -$14.8 billion. Mean monthly performance gains now stand at +$10.7 billion for 2013 compared to +$9.6 billion for 2012. September 2013 performance contrasts with September 2012 performance gains which stood at +$18.9 billion.

     Net positive investor flows of +$17.6 billion for September 2013 marks the seventh period of net positive flows YTD. September 2013 flows are higher than the mean monthly flows for 2013 which now stand at +$5.3 billion. September 2012 net flows were +$18.7 billion over the same period.

    Fund Profiles  Across the subset of hedge funds reporting performance and AUM, the monthly median performance for large single funds (>$500 million) was

    +1.0%, medium single funds ($100–$500 million) +1.4% and small single funds ($500 million AUM) continue to hold a large portion of industry AUM (71%) compared to medium funds ($100–$500 million) at 18% and small funds (

  •  Composite hedge fund performance, equal-weighted across funds, was up for September 2013 with performance ranging from +0.96% to +1.53%. Across the major hedge fund indices, returns were higher than the previous month which experienced -0.86% to -0.49% over the same period.

     Financial markets gained in September as the US Federal Reserve elected not to taper its bond purchases, while into month end, investors prepared for US government shutdown over the budget bill impasse. Global equity markets posted broad-based gains for September, recovering August losses despite declining into month end, with gains across US, European, Asian & Emerging Markets regions. Sector gains were led by Technology, Cyclicals, Energy & Financials, with leadership also from small cap & growth equities. German election results contributed favorably to investor risk tolerance, with European equities led by gains in Germany, Spain, France, Russia & Italy. Asian and Emerging Markets also gained for the month, with leadership from Japan, China, Brazil, Hong Kong, Korea & Thailand. US yields fell as the yield curve steepened on continuation of Fed bond purchases, yields also declined across France, Germany, Spain & the Netherlands. US corporate issuance reached record level in September, as issuers positioned for higher future borrowing costs.

     Hedge fund strategy wise, top performing strategies in September 2013 include Emerging Markets at +2.71%, Equity Long/Short at +2.60%, Event Driven at +1.94%, and Convertible Arbitrage at +1.34%. The lowest performing strategies include CTA/Managed Futures -1.13%, Equity Market Neutral at +0.50%, and Fixed Income Arbitrage at +0.87%.

    Hedge Fund Industry: AUM, Performance

    Source: eVestment; Hedge Fund Research, Inc., © 2012.

    Source: HFR, eVestment|HFN.

    Industry Performance: Sept-13 / YTD

    Monthly Industry AUM and Performance

    Note Pad

     MSCI World Index: -5.0%; +16.9% YTD

     MSCI EM Index: +6.5%; -3.6% YTD

     S&P 500: +3.1%; +18.5% YTD

     Citi US BIG Index: +0.9%; -2.4% YTD

     S&P GSCI: -3.4%; -0.3% YTD

     US Dollar Index: -2.3%; +0.7% YTD

     HFN Country Indices Sept-13/ YTD: – Brazil: +4.19% / -5.44%; Australia: -0.58% / +2.86% – China: +1.68%/+8.61%; Japan: +4.24%/+23.04%

    2

    -2%

    -1%

    0%

    1%

    2%

    3%

    2,450

    2,500

    2,550

    2,600

    2,650

    2,700

    2,750

    2,800

    Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13

    M onthly P

    erform ance (%

    )

    In du

    st ry

    A U

    M ($

    bn )

    AUM HFN EqWt HFR EqWt HFRX Wt

    4.29%

    5.50%

    5.64%

    0.96%

    1.53%

    1.32%

    -0.5% 1.5% 3.5% 5.5%

    HFRX Wt

    HFR EqWt

    HFN EqWt

    Sept-13 2013

  • Hedge Fund Industry: Change in Industry Assets

    Source: eVestment

    Source: eVestment|HFN.

     According to eVestment, industry assets rose for September 2013 gaining +$49.6 billion. Asset growth was attributed mostly from performance gains of +$32.0 billion with net positive investor flows accounting for +$17.6 billion.

     September 2013 marks the sixth month with positive performance gains this year and reverses course from August performance losses of -$14.8 billion. Mean monthly performance gains now stand at +$10.7 billion for 2013 compared to +$9.6 billion for 2012. September 2013 performance contrasts with September 2012 performance gains which stood at +$18.9 billion.

     Net positive investor flows of +$17.6 billion for September 2013 marks the seventh period of net positive flows YTD. September 2013 flows are higher than the mean monthly flows for 2013 which now stand at +$5.3 billion. September 2012 net flows were +$18.7 billion over the same period.

     Total industry AUM now stands at $2.74 trillion for September 2013 an increase of +5.5% from December 2012 and an increase of +6.1% from July 2012.

    Composition of Change in Assets Sept -13 Amounts in ($ Billion)

    Monthly Change in Industry Assets and Composition Note Pad

     The Citi Prime Finance calculation for gross leverage (as measured on a mean basis) 1.95x in September versus 1.96x in August and 2.0x in July.

    Gross leverage (mean): defined as sum of (LMV + abs SMV)/Net Equity.

    3

    1.80

    1.85

    1.90

    1.95

    2.00

    2.05

    Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13

    Gross Leverage

    (75)

    (50)

    (25)

    -

    25

    50

    75

    100

    125

    Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13

    C hg

    in In

    du s

    As se

    ts ($

    bn )

    Chg due to Performance Net Investor Flows Total Change in Indus Assets

    $17.6

    $32.0

    (60) (40) (20) 0 20 40

    Net Investor Flows

    Chg due to Performance

  • 4.1%

    10.1%

    1.5%

    5.0%

    14.4%

    6.5%

    15.0% 12.5%

    4.6% 3.2%

    -16.4%

    -3.1%

    -15.1%

    -0.4% -0.6%

    -8.9%

    -1.1%

    -13.9%

    -7.4%

    -1.1%

    -15.4%

    12.0%

    -20.00%

    -15.00%

    -10.00%

    -5.00%

    0.00%

    5.00%

    10.00%

    15.00%

    20.00%

    Hedge Fund Stats by Strategy

    Note: Hedge fund data is self-reported; each calculation is based on the respective data from funds who have reported for the current period. Breakdown by assets and number of funds updated on a quarterly basis Source: Citi Prime Finance.

    Source: Citi Prime Finance.Source: Citi Prime Finance.

    Source: Citi Prime Finance.

    Hedge Fund Strategy Breakdown by Assets Hedge Fund Strategy Breakdown by Number of Funds

    Hedge Fund Performance by Strategy Hedge Fund Leverage Ratios by Strategy Gross Leverage (Mean): Defined as the sum of (LMV + abs SMV)/Net Equity

    4

    1.3%

    7.0%

    0.1%

    0.9%

    8.5%

    29.6%

    1.6%

    7.1%

    10.0%

    25.9%

    7.9%

    Convert Arb

    CTA/Managed Futures

    Dedicated Short Bias

    Distressed

    Emerging Markets

    Equity Long/Short

    Equity Market Neutral

    Event Driven

    FI Arbitrage

    Global Macro

    Multi-Strategy

    1.7%

    14.6%

    0.2%

    1.0%

    7.4%

    30.3%

    5.6%

    6.3%

    9.4%

    19.