Satoshi Iwanaga Presentation - · PDF fileCurrent State of the Global Hedge Fund Industry I....

Disclaimer: The contents of this presentation are confidential and may not be reproduced, distributed and/or disclosed to any external parties without obtaining prior written consent from Eurekahedge Private Limited.

� Current State of the Global Hedge Fund Industry

I. Global Hedge Fund AUM Growth

II. Global Hedge Fund AUM Growth Across Strategies

III. AUM Growth for Volatility Strategies

IV. Volatility Strategies - Share of Global Hedge Fund Assets

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Eurekahedge, November 2015

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* Based on 56.68% of funds which have reported Sep-2015 returns as at 18 Oct-2015

0.0

500.0

1,000.0

1,500.0

2,000.0

2,500.0

(200.0)

(150.0)

(100.0)

(50.0)

0.0

50.0

100.0

Jan-0

6

Apr-

06

Jul-06

Oct

-06

Jan-0

7

Apr-

07

Jul-07

Oct

-07

Jan-0

8

Apr-

08

Jul-08

Oct

-08

Jan-0

9

Apr-

09

Jul-09

Oct

-09

Jan-1

0

Apr-

10

Jul-10

Oct

-10

Jan-1

1

Apr-

11

Jul-11

Oct

-11

Jan-1

2

Apr-

12

Jul-12

Oct

-12

Jan-1

3

Apr-

13

Jul-13

Oct

-13

Jan-1

4

Apr-

14

Jul-14

Oct

-14

Jan-1

5

Apr-

15

Jul-15

Industry Asset Total Flow (Investors) Flow (Performance)


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0.0

500.0

1,000.0

1,500.0

2,000.0

2,500.0

Jan-0

6

May

-06

Sep

-06

Jan-0

7

May

-07

Sep

-07

Jan-0

8

May

-08

Sep

-08

Jan-0

9

May

-09

Sep

-09

Jan-1

0

May

-10

Sep

-10

Jan-1

1

May

-11

Sep

-11

Jan-1

2

May

-12

Sep

-12

Jan-1

3

May

-13

Sep

-13

Jan-1

4

May

-14

Sep

-14

Jan-1

5

May

-15

Sep

-15

Others

Relative Value

Distressed Debt

Arbitrage

Macro

Fixed Income

Event Driven

CTA/MF

Multi-Strategy

LS Equity

v


5


0

20

40

60

80

100

120

140

160

Jan-0

6

May

-06

Sep

-06

Jan-0

7

May

-07

Sep

-07

Jan-0

8

May

-08

Sep

-08

Jan-0

9

May

-09

Sep

-09

Jan-1

0

May

-10

Sep

-10

Jan-1

1

May

-11

Sep

-11

Jan-1

2

May

-12

Sep

-12

Jan-1

3

May

-13

Sep

-13

Jan-1

4

May

-14

Sep

-14

Jan-1

5

May

-15

Sep

-15

Volatility Strategies (Variable) Volatility Strategies (Core)

v


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Volatility Strategies (Variable)

$693%

Volatility Strategies

(Core)$542%

Others$2,10595%

Share of Volatility StrategiesUS$ (Bio)

Long Volatility

$4278%

Relative Value

Volatility$24%

Short Volatility

$713%

Tail Risk Volatility

$25%

Volatility Strategies (Core)US$ (Bio)

� The CBOE Eurekahedge Volatility Hedge Fund Indices

I. The need for hedge fund indices tracking volatility strategies

II. Classifying volatility strategies

III. What makes these indices special?

7

v


8

4 Distinct Volatility Indices

The need for representative

benchmarks with industry wide acceptability

The importance of volatility as an asset

class

The diversity of volatility strategies

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9

Long Volatility

•net long view on implied volatility

Short Volatility

•net short view on implied volatility

Relative Value / Opportunistic

Volatility

•long, short or neutral views on volatility

Tail Risk Volatility

•capital appreciation during periods of extreme market stress

v


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Index constituents meticulously identified from over 12,000 unique hedge funds in the Eurekahedge Global Hedge fund

database

Feedback from volatility investing hedge fund managers

Qualitative Overlay

Quantitative Overlay

4 distinct volatility indices

12, 000 hedge funds

130 core volatility hedge funds with ‘4 distinct Risk-Return

Signatures’

� Performance and track record of Volatility Strategies

I. CBOE Eurekahedge Long Volatility Index

II. CBOE Eurekahedge Short Volatility Index

III. CBOE Eurekahedge Relative Value Volatility Index

IV. CBOE Eurekahedge Tail Risk Index

V. Correlation Matrix

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v


12

0

50

100

150

200

250

Dec

-04

Oct

-05

Sep

-06

Aug-0

7

Jul-08

Jun-0

9

May

-10

Mar

-11

Feb

-12

Jan-1

3

Dec

-13

Nov-1

4

Sep

-15

CBOE Eurekahedge Long Volatility Index

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

2008 2011 2013 3-monthsendingAugust

CBOE Eurekahedge Long Volatility Index

Eurekahedge 50 Index

v


13

0

50

100

150

200

250

300

Dec

-04

Oct

-05

Sep

-06

Aug-0

7

Jul-08

Jun-0

9

May

-10

Mar

-11

Feb

-12

Jan-1

3

Dec

-13

Nov-1

4

Sep

-15

CBOE Eurekahedge Short Volatility Index

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

2008 2011 2013 3-monthsending August

CBOE Eurekahedge Short Volatility Index


v


14

0

50

100

150

200

250

300

Dec

-04

Oct

-05

Sep

-06

Aug-0

7

Jul-08

Jun-0

9

May

-10

Mar

-11

Feb

-12

Jan-1

3

Dec

-13

Nov-1

4

Sep

-15

CBOE Eurekahedge Relative Value Volatility Index

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%




v


15

0

20

40

60

80

100

120

140

Dec

-07

Jul-08

Mar

-09

Nov-0

9

Jul-10

Mar

-11

Oct

-11

Jun-1

2

Feb

-13

Oct

-13

Jun-1

4

Feb

-15

Sep

-15

CBOE Eurekahedge Tail Risk Index

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%




v


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CBOE Eurekahedge Long Volatility

Index


CBOE Eurekahedge Short Volatility

Index


Eurekahedge 50 Index 1.00 -0.38 0.11 0.56 -0.47

CBOE Eurekahedge Long Volatility Index 1.00 0.20 -0.27 0.39


1.00 0.35 -0.22

CBOE Eurekahedge Short Volatility Index 1.00 -0.55

CBOE Eurekahedge Tail Risk Index 1.00


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Satoshi Iwanaga Presentation - · PDF fileCurrent State of the Global Hedge Fund Industry I....

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