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