Emerging manager renaissance
•Als PPT, PDF herunterladen•
1 gefällt mir•416 views
Herewith an update of some research of mine on the relative performance of Emerging or Early Stage Hedge funds versus that of their older typically larger brethren. Given the recent announcement by CalPERS that they are withdrawing from hedge funds I thought it might be germane to show that notwithstanding CalPERS exit there remain some signs of life for hedge funds yet.
Empfohlen
Empfohlen
Weitere ähnliche Inhalte
Was ist angesagt?
Was ist angesagt? (20)
Ähnlich wie Emerging manager renaissance
Ähnlich wie Emerging manager renaissance (20)
Mehr von Peter Urbani
Mehr von Peter Urbani (11)
Kürzlich hochgeladen
Kürzlich hochgeladen (20)
Emerging manager renaissance
- 1. Early signs of a renaissance in Emerging Manager Hedge Fund Returns ? By Peter Urbani, KnowRisk Consulting KnowRisk Consulting we crunch the numbers so you don't have to
- 2. Why Emerging Managers ? • Emerging Manager Funds (defined here as those Hedge Funds Funds which are less than 36 months old and have less than $300m in AUM) tend to be run by highly motivated, entrepreneurial and focused managers. • In addition, the exploitable opportunity set they have identified in the marketplace is more likely to persist over the short-term. • Simply put – Emerging / Early Stage Managers try harder. • All of this translates into excess returns or alpha of up to 600bp per annum*. • It is fair to say that the ‘price’ of this excess alpha is in the form of higher business risk associated with a start-up operation. KnowRisk Consulting we crunch the numbers so you don't have to
- 3. Why Emerging Managers ? • This places a higher burden of responsibility on those performing qualitative due diligence to verify the managers ability to properly scale and grow their businesses. • * Depending on which database is used some of this may be attributed to backfill and / or survivor bias. However, notwithstanding these biases, Emerging Managers deliver at least 200bp per annum in excess of the returns of established managers. • Emerging Managers do have occasional periods of relative underperformance to established managers , typically after crisis periods, however the drawdowns associated with Emerging Managers are also lower. KnowRisk Consulting we crunch the numbers so you don't have to
- 4. Average Returns decrease with time Average Hedge Fund Returns versus no of Months 13.0% 12.0% 11.0% 10.0% 9.0% 8.0% 7.0% KnowRisk Consulting we crunch the numbers so you don't have to 8.92% 6.0% 0 6 12 18 24 30 36 42 48 54 60 66 72 78 84 90 96 102 108 114 120 126 No of Months Returns ( Annualised ) Avg Ann Returns per no of months Avg Ann Returns - All periods The Seven Year Itch ?
- 5. Emerging vs. Established Returns KnowRisk Consulting we crunch the numbers so you don't have to
- 6. Emerging vs. Established Returns Emerging Managers versus Established Managers 3000 2500 2000 1500 1000 500 Emerging Managers less than 12 months old and less than $100m AUM Established Managers older than 12 months KnowRisk Consulting we crunch the numbers so you don't have to 3101 844 0 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
- 7. Emerging vs. Established Returns Emerging Managers versus Established Managers 3000 2500 2000 1500 1000 500 Emerging Managers less than 24 months old and less than $200m AUM Established Managers older than 24 months KnowRisk Consulting we crunch the numbers so you don't have to 2007 638 0 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
- 8. Emerging vs. Established Returns Emerging Managers versus Established Managers 3000 2500 2000 1500 1000 500 Emerging Managers less than 36 months old and less than $300m AUM Established Managers older than 36 months KnowRisk Consulting we crunch the numbers so you don't have to 1786 469 0 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
- 9. Emerging vs. Established Statistics KnowRisk Consulting we crunch the numbers so you don't have to
- 10. What about Survivorship Bias ? KnowRisk Consulting we crunch the numbers so you don't have to
- 11. Only 20% of Funds ever exceed $1bn Time to achieve AUM Milestones versus % Achieving AUM 1500 1400 1300 1200 1100 1000 900 800 700 600 500 400 300 200 100 KnowRisk Consulting we crunch the numbers so you don't have to 1416 26 587 449 345 237 131 9.39%7.80% 11.68% 15.27% 21.19% 3.72% 0 0 5 10 15 20 25 30 35 40 45 50 55 60 Average time in Months AUM $m 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% % Achieving AUM Average Fund Size at time % of Funds achieving AUM
- 12. Emerging Manager ‘Alpha’ Emerging versus Established Manager 'Alpha' 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% -2.00% -4.00% MorningStar EM Alpha Eurekahedge EM Alpha 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 KnowRisk Consulting we crunch the numbers so you don't have to
- 13. Fund of Funds Flows finally turn up Net Asset Flows to Fund of Hedge Funds 1990 – Q2 2014 $120,000 $80,000 $40,000 $0 ($40,000) ($80,000) ($120,000) Source: HFR 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 KnowRisk Consulting we crunch the numbers so you don't have to
- 14. Number of Funds recovering Number of Hedge Funds and FoF 11000 10000 9000 8000 7000 6000 5000 4000 3000 2000 1000 0 Source: HFR FoF HF 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 KnowRisk Consulting we crunch the numbers so you don't have to
- 15. Emerging vs. Established Returns Emerging v.s. Established Manager Returns 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% Emerging Managers less than 36 months old and less than $300m AUM Established Managers older than 36 months 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 KnowRisk Consulting we crunch the numbers so you don't have to
- 16. Conclusions • After struggling mightily post the GFC there are finally some early signs of a possible renaissance in Emerging Manager excess returns or ‘Emerging Manager Alpha’. • The recent downturn was caused by ongoing fallout from the GFC, uncertainty about pending legislation and consolidation in the Funds of Funds space. • The total number of Hedge Funds and FoF is approaching its pre crisis high of over 10,000 funds • More importantly, Fund of Funds which were a major source of seed capital for Emerging Managers have finally stopped hemorrhaging AUM. • As a result we expect to see continued improvements in relative outperformance from Emerging Managers as hedge fund issuance / new launches picks up. KnowRisk Consulting we crunch the numbers so you don't have to
- 17. Emerging Manager ‘Alpha’ Emerging versus Established Manager 'Alpha' 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% -2.00% -4.00% MorningStar EM Alpha Eurekahedge EM Alpha 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 KnowRisk Consulting we crunch the numbers so you don't have to
- 18. Emerging v.s. Established Returns KnowRisk Consulting we crunch the numbers so you don't have to
- 19. Risk Return Persistence KnowRisk Consulting we crunch the numbers so you don't have to
- 20. Important Notes • The information contained herein (the "information") is intended for illustrative purposes only, has been developed internally and has been based on variations of existing funds, managed accounts, simulations, extrapolations of other investment programs, pro forma data or taken from trade and statistical services and other sources that we deem reliable, although no warranty is made that the information is accurate or complete and it should not be relied upon as such. • The information is not intended to depict or predict actual investment performance of any financial product and is subject to change without notice. • Any opinions expressed herein reflect KnowRisk Consulting’s judgment at the date and time hereof and are subject to change without notice. • The information should not be construed as legal, tax, investment or other advice. • This does not constitute an offer to sell, or the solicitation of an offer to buy, any product. An offer may only be made by means of the offering memorandum and governing documents of the relevant funds (the "Fund Documents"), which should be read in their entirety. • The information is not intended to be complete or final and is qualified in its entirety by the Fund Documents. In the event the Information is inconsistent or contrary to the descriptions or terms of the Fund Documents, the terms of the Fund Documents shall prevail. • Interests in the funds are privately offered to investors who satisfy the eligibility criteria described in the Fund Documents. • The Information is CONFIDENTIAL. It is intended only for the use of the person to whom this document is given and may not be reproduced or redistributed without permission. • Any securities discussed herein may not be suitable for all investors. Transactions of the type described herein may involve a high degree of risk, and the value of such instruments may be highly volatile. • Past performance is not guarantee of, and cannot be construed as an indication of, future results. KnowRisk Consulting we crunch the numbers so you don't have to