Saturday, May 16, 2009

Hedge Fund Returns for April 2009

HFRI returned 3.74% for April while Credit Suisse/Tremont estimate that hedge funds only gained 1.68% which is very close to the HFRX estimate of 1.61%. Both providers agree that convertible arbitrage did very well (5.73% or 4.52%). Short bias of course did horribly, macro not very well, and hedged equity strategies OK to good.

For comparison the MSCI World Index gained 11.90% in USD terms, while Moom gained 12.76%. Our target portfolio would have gained 7.32% (in AUD terms: 5.89%, -1.29%, 6.75%). The AUD target portfolio suffered due to a loss in Australian shares and managed futures plus the rise in the AUD.


Glitzer said...

I see from your post to balance the portfolio you include MAN AHL Diversified Futures. I invest in a dollar-cost average basis, which is mostly china biased, around 80%. Would you think MAN AHL Diversified Futures is a good hedge against the portfolio, especially for dollar-cost averaging purpose? Many thanks.

mOOm said...

Hi Glitzer - if you nominate one or two funds, stocks, or indices to represent your portfolio I can do a diversification analysis. My standard analysis assumes monthly rebalancing which could be achieved either by switching between funds each month or by adding more of the new savings to poorer performing assets. When you say dollar cost averaging would that include rebalancing? If so how often? Or do you think the monthly rebalancing model is good enough?

Glitzer said...

Heya mOOm, thanks for the reply. This is what I refer to in terms of dollar cost averaging.

On a specific day of each month, e.g. the 15th, I will pay in for example $1000. This $1000 is then allocated out to a portfolio of funds.

I have picked out the fund with the following allocations:
China Fund 80%
Man AHL 10%
India Fund 10%

As I pay in consistently $1,000 each month, therefore the prices bought for these funds will subsequently average out over time, based on the market price of the fund.

When I think of rebalancing, this is something that I am unsure. Since if I consistently pay in a $1,000 every month, and the funds are bought based on the market price, I suppose that has already taken care of the rebalancing? Or should I have a better rebalancing approach, this is something I am not still not familiar with. Any pointers?

mOOm said...

OK, I'll do an analysis soon - my parents in law went back to China today and we are in the middle of completely reorganizing our apartment...

I'll do the analysis on the basis you proposed. If some funds outperform, the allocation will drift in that direction. Whether it makes sense to rebalance depends on how happy you are with that risk level. There are a lot of different opinions out there on this.