While many hedge fund strategies are known
to be positively correlated both with each other and with the equities indices,
some have low or negative correlations, according to research to be released at
the upcoming Absolute Returns conference in Melbourne on September 8.
The research, by Graham Capital Management
of the US, shows that systematic global macro strategies tend to have
low-to-negative correlations to most other hedge fund strategies and the
S&P 500.
Further, the research shows that systematic
global macro strategies generally perform exceptionally well during drawdown
periods for major asset classes, as occurred across the globe during the height
of the GFC.
The research concludes: “A thorough
investigation of the risk and performance properties of hedge fund strategies
on a standalone basis, as well as in the context of a portfolio of hedge fund
strategies, generally leads to a larger allocation to systematic global macro.
“Such portfolios, based on distributional
properties beyond average return and monthly volatility, generally perform very
well in terms of drawdowns and higher-moment risk measures (skewness and
kurtosis), confirming the systematic global macro hedge fund style as an
important ingredient in successful long-term investing.”
The Absolute Returns conference, produced
by Conexus Financial (publisher of I&T News), is the third annual event
held in conjunction with the Alternative Investment Management Association
(Australian Chapter).
It features a range of international
speakers and panelists, including: Greg Moessing, managing director of leading
US asset consultant Cambridge Associates; Meredith Jones, managing director of
hedge fund data and analytics firm Pertrac; Gregor Andrade, principal of AQR
Capital; Ric Thomas, head of alternative investments for SSgA; Lars Yaeger,
author and partner of the Partners Group; Bob Murray, member of the investment
committee for Graham Capital; Guy Stern, head of multi-asset fund management
for Standard Life; and Matthew Arkinstall, investment director of Greenpark
Capital.Program and registration details: www.investmenttechnology.com.au
