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Swing And A Miss: Complete Hedge Fund October Score Card
With the near record October hope rally a distant memory now, the hope that hedge funds participated in it is also just that. Alas, while most hedge funds exhibited a more than 1x beta on the way down in August and September, most were lucky to get half the upside on the way up in October at best. While there are some outlier surprises, unfortunately it is the ones with an abysmal Sharpe Ratio, so for investors who enjoy huge drawdowns and massive month-to-month vol, they probably lucked out in October. Everyone else: better luck next time. Some very notable let downs: Brevan Howard: -1.25%, Tudor: -2.44%, Moore Global: -2.23%, Landsdowne: -0.50%, Bluecrest: 0.43%, Perry: 3.39%, King Street: -0.04%, Blue Mountain: 0.73%, Fortress Macro: -2.19% and last and probably least JAT Capital: -13.7%.
Full list of notables:
- Blue Mountain: 0.73%
- Basso: 0.81%
- Brigade: 0.50%
- Davidson Kempner: 2.11%
- Strategic Value Restructuring: -3.25%
- King Street: -0.04%
- Horseman: -1.80%
- Viking: 4.86%
- Maverick: 8.32% (YTD -9.94%) - what's the Sharpe Ratio on that one?
- Arcus Japan: -1.30%
- Landsdowne: -0.50%
- Elm Ridge: 1.10%
- RIEF B: 4.43%
- Greenlight: 7.80% (YTD 1.16%)
- Visium: 1.33%
- Owl Creek: 5.50%
- Perry: 3.39% (YTD -3.97%)
- Pershing Square: 13.50% (YTD -4.43%)
- Third Point: 0.80%
- York: 2.17%
- Fortress Macro: -2.19%
- Brevan Howard: -1.25%
- Moore Global: -2.23%
- Tudor: -2.44%
- Man: 0.79%
- Hutchin Hill: -3.64%
- Bluecrest: 0.43%
- Millennium: 1.15%
- QVT: 0.28%
As for twitter's favorite mome chasers, JAT Capital, we leave it to Reuters: " JAT Capital, the hedge fund run by former Shumway Capital portfolio manager John Thaler, lost 13.7 percent last month. JAT, one of 2011's best performers, remains up 12.7 percent for the year, but it has been a sharp declinefrom its dazzling 38 percent peak in September."
Full EOM HSBC report:
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Now hedge funds are betting that China eases and Berlusconi resigns so 1300 here we come. The fact they are bullish for no other reason than they are afraid of missing the next move up says it all.
Running low on hopium boys. Winter is coming.
They have been killed because they were momo trading in tandem. Also the market is hard to hedge in, with thin markets and tighter volatility. Can't see much trading on the upside. Unless the USD is completely destroyed then maybe a bull market.
Hedge Fund Fun Facts:
In 1990, hedge funds only had ~$30B in assets under management. By 2005, that number had grown to over $1.2 trillion (a 40X increase) and came damn close to $2 trillion by the time the credit crisis hit. Likewise, the number of hedge funds grew from ~500 to over 8,000 in the same period of time.
With so much money from these hedge funds chasing increasingly smaller arbitrage opportunities (due to more competition among traders and fund managers), the push for greater leverage was needed to juice smaller and smaller margins on each trade. This is one reason why leverage continued to grow and was fundamental to the success (and ultimately failure, in some cases) of these funds.
Source: Center for International Securities and Derivatives Markets
http://www.investmentthinktank.com/wp-content/whitepapers/Alt%20Asset%20...
Page 5
Max Fischer, Civis Mundi
They seem to be more like privets.
picking up pennies in front of a bulldozer.
The US has been in a growth recession since July. More capital going into speculative plays further drains capital from the real economy, so it'll take a very long time to get back to long term potential growth of 2.2%. You can see it in the charts. This far into the 'expansion', and we're still very far from the pre-crisis output level. And we should blame it on the speculative economy, since all the $$$ pumped into the system, hasn't gone to small business, or entrepreneurs to hire laid off workers. INstead banks continue to bet on commodities, and whether the EZ will implode, and god knows what other types of derivatives are out there.
The big banks know they can gamble all they want, because no president/Congress (Dem, or Rep) will risk losing an election, if the economy implodes. fucking moral hazard.
'It's the economy stupid' is the maxim politicians repeat. So banks can get away with MUR-DER. And politicians turn a blind eye.
For there to be a move(ment), ppl must get up--stand up for their rights..
rage against the dying of the light.
#occupywallstreet.
If someone needs to tell you your rights, you don't have any.
Hugh Hendry's fund and Ray Dalio (Bridgewater) are both up about 32% and about 30% YTD last I looked.
They are two of a small number of hedgies who are talented in my book. Anyone know how Chanos is doing?
2 and 20 for that? - Bitchez.
S&P @ 1382 on 12/31/2011.
Any takers?
The headlines have been great to trade but it's got to get old sometime. My guess is predicated on American corporate strength (earnings) and the seasonal effect.
F*ck Tudor cut smacked down, wow...
Move up?
I think these guys are dying to short. But I think gold will bid higher
Tyler...think the outliers didn't 'luck out' they lucked in...but sure their managers must give them the heebee jeebees. Need a Sharpe ratio microscope to read it!!
Monkeys throwing darts did better.
"One time I took my wife to the zoo and a monkey threw cocki all over her face"
Kissel
http://www.youtube.com/watch?v=_q1oGjRHoV8
How could a hedge fund possibly return anything when nearly every USD denominated asset on the planet has a correlation of 1.0?
Its called levered beta for a reason.
So.....buy vol bitchez.
It's a religion. Trust your priest. Otherwise he'll do that voodoo that he do so well.
Was that a goat?
The spread's blown out! Sharpe ratio indeed. Too bad for hedge funds they still don't think of gold as, "Risk off".
Hmm... Biased much? You only showed YTD performance for funds that did well for the month but poorly for the year, trying to explain away their success.
What about the funds that missed the Oct rally? Are any outperforming for the year? Wouldn't want to show that!!!
How about over a cycle, say 1/1/2008 till today. Adjust for volatility to get Alpha. My guess is you'll find AVERAGE cumulative Alpha of at least 500 bps with the top quartile north of 2,500. That's what the 2/20 is for.
Stop being biased against HF just because we make lots of $$ . Go after the real monkeys. Slow money managers making sub-index returns per-fees.
And JabCap ?
some hedge funds at the heart of the storm are still doing quite well.... you need to check BPIBELS PL, spain and portugal equities only, 3.55% YTD, 1.68% in october, sharpe YTD 0.9x...not bad vs your list, huh ?