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Dr Drago Indjic
London Business School June 2012
Downside Risk
Hedged, more agile strategies outperform: smaller losses, lower variance
Liquidity of funds
20 40 60 80
Managed Futures
15
Count
Count
0
0
10
31
60
90
60
130
210 Duration
390
Duration
FoHF Liabilities
Duration of liabilities is structurally mismatched works in normal conditions
Fund of Funds
0
0 90 215
200
400
750
S Fund (MP=100%, GI=0%) - Redemption S Fund (MP=0%, GI=0%) - Redemption S Fund (MP=0%, GI=100%) - Redemption
80%
S Fund (MP=100%, GI=0%) - Still at risk S Fund (MP=0%, GI=0%) - Still at risk S Fund (MP=0%, GI=100%) - Still at risk
60%
40%
20%
June 22nd
Replication today Hedge fund industry today Indexation risk and benefits New Normal (Jan 2011) Stress and response Mind your tail and momentum
Secondary markets
Collateral management
Deaths: 232
the highest since 240 in 1Q10 FOF continued to experience a contraction 64 closing while 34 launched; 4th consecutive quarter of decline in number
Index XYZ?
(HFR 1Q12) Hedge fund performance dispersion increased over 4Q11, with the top decile of all hedge funds averaging a gain of over 20%, while the bottom decile of all funds declined by 28% on average.
Rear View
Portfolio De-Construction
New Dawn
Leverage
Watch Out
Emerging World
Not a Game
Year 1
Shipping Performance
Navigate in the high seas of illiquidity
Liquidity
Counterparty
BetaHF
Capacity Fees