Satoshi Iwanaga Presentation - · PDF fileCurrent State of the Global Hedge Fund Industry I....
Transcript of Satoshi Iwanaga Presentation - · PDF fileCurrent State of the Global Hedge Fund Industry I....
Disclaimer: The contents of this presentation are confidential and may not be reproduced, distributed and/or disclosed to any external parties without obtaining prior written consent from Eurekahedge Private Limited.
� Current State of the Global Hedge Fund Industry
I. Global Hedge Fund AUM Growth
II. Global Hedge Fund AUM Growth Across Strategies
III. AUM Growth for Volatility Strategies
IV. Volatility Strategies - Share of Global Hedge Fund Assets
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* Based on 56.68% of funds which have reported Sep-2015 returns as at 18 Oct-2015
0.0
500.0
1,000.0
1,500.0
2,000.0
2,500.0
(200.0)
(150.0)
(100.0)
(50.0)
0.0
50.0
100.0
Jan-0
6
Apr-
06
Jul-06
Oct
-06
Jan-0
7
Apr-
07
Jul-07
Oct
-07
Jan-0
8
Apr-
08
Jul-08
Oct
-08
Jan-0
9
Apr-
09
Jul-09
Oct
-09
Jan-1
0
Apr-
10
Jul-10
Oct
-10
Jan-1
1
Apr-
11
Jul-11
Oct
-11
Jan-1
2
Apr-
12
Jul-12
Oct
-12
Jan-1
3
Apr-
13
Jul-13
Oct
-13
Jan-1
4
Apr-
14
Jul-14
Oct
-14
Jan-1
5
Apr-
15
Jul-15
Industry Asset Total Flow (Investors) Flow (Performance)
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* Based on 56.68% of funds which have reported Sep-2015 returns as at 18 Oct-2015
0.0
500.0
1,000.0
1,500.0
2,000.0
2,500.0
Jan-0
6
May
-06
Sep
-06
Jan-0
7
May
-07
Sep
-07
Jan-0
8
May
-08
Sep
-08
Jan-0
9
May
-09
Sep
-09
Jan-1
0
May
-10
Sep
-10
Jan-1
1
May
-11
Sep
-11
Jan-1
2
May
-12
Sep
-12
Jan-1
3
May
-13
Sep
-13
Jan-1
4
May
-14
Sep
-14
Jan-1
5
May
-15
Sep
-15
Others
Relative Value
Distressed Debt
Arbitrage
Macro
Fixed Income
Event Driven
CTA/MF
Multi-Strategy
LS Equity
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* Based on 56.68% of funds which have reported Sep-2015 returns as at 18 Oct-2015
0
20
40
60
80
100
120
140
160
Jan-0
6
May
-06
Sep
-06
Jan-0
7
May
-07
Sep
-07
Jan-0
8
May
-08
Sep
-08
Jan-0
9
May
-09
Sep
-09
Jan-1
0
May
-10
Sep
-10
Jan-1
1
May
-11
Sep
-11
Jan-1
2
May
-12
Sep
-12
Jan-1
3
May
-13
Sep
-13
Jan-1
4
May
-14
Sep
-14
Jan-1
5
May
-15
Sep
-15
Volatility Strategies (Variable) Volatility Strategies (Core)
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Volatility Strategies (Variable)
$693%
Volatility Strategies
(Core)$542%
Others$2,10595%
Share of Volatility StrategiesUS$ (Bio)
Long Volatility
$4278%
Relative Value
Volatility$24%
Short Volatility
$713%
Tail Risk Volatility
$25%
Volatility Strategies (Core)US$ (Bio)
� The CBOE Eurekahedge Volatility Hedge Fund Indices
I. The need for hedge fund indices tracking volatility strategies
II. Classifying volatility strategies
III. What makes these indices special?
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4 Distinct Volatility Indices
The need for representative
benchmarks with industry wide acceptability
The importance of volatility as an asset
class
The diversity of volatility strategies
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Long Volatility
•net long view on implied volatility
Short Volatility
•net short view on implied volatility
Relative Value / Opportunistic
Volatility
•long, short or neutral views on volatility
Tail Risk Volatility
•capital appreciation during periods of extreme market stress
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Index constituents meticulously identified from over 12,000 unique hedge funds in the Eurekahedge Global Hedge fund
database
Feedback from volatility investing hedge fund managers
Qualitative Overlay
Quantitative Overlay
4 distinct volatility indices
12, 000 hedge funds
130 core volatility hedge funds with ‘4 distinct Risk-Return
Signatures’
� Performance and track record of Volatility Strategies
I. CBOE Eurekahedge Long Volatility Index
II. CBOE Eurekahedge Short Volatility Index
III. CBOE Eurekahedge Relative Value Volatility Index
IV. CBOE Eurekahedge Tail Risk Index
V. Correlation Matrix
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0
50
100
150
200
250
Dec
-04
Oct
-05
Sep
-06
Aug-0
7
Jul-08
Jun-0
9
May
-10
Mar
-11
Feb
-12
Jan-1
3
Dec
-13
Nov-1
4
Sep
-15
CBOE Eurekahedge Long Volatility Index
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
2008 2011 2013 3-monthsendingAugust
CBOE Eurekahedge Long Volatility Index
Eurekahedge 50 Index
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0
50
100
150
200
250
300
Dec
-04
Oct
-05
Sep
-06
Aug-0
7
Jul-08
Jun-0
9
May
-10
Mar
-11
Feb
-12
Jan-1
3
Dec
-13
Nov-1
4
Sep
-15
CBOE Eurekahedge Short Volatility Index
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
2008 2011 2013 3-monthsending August
CBOE Eurekahedge Short Volatility Index
Eurekahedge 50 Index
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0
50
100
150
200
250
300
Dec
-04
Oct
-05
Sep
-06
Aug-0
7
Jul-08
Jun-0
9
May
-10
Mar
-11
Feb
-12
Jan-1
3
Dec
-13
Nov-1
4
Sep
-15
CBOE Eurekahedge Relative Value Volatility Index
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
2008 2011 2013 3-monthsendingAugust
CBOE Eurekahedge Relative Value Volatility Index
Eurekahedge 50 Index
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0
20
40
60
80
100
120
140
Dec
-07
Jul-08
Mar
-09
Nov-0
9
Jul-10
Mar
-11
Oct
-11
Jun-1
2
Feb
-13
Oct
-13
Jun-1
4
Feb
-15
Sep
-15
CBOE Eurekahedge Tail Risk Index
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
2008 2011 2013 3-monthsendingAugust
CBOE Eurekahedge Tail Risk Index
Eurekahedge 50 Index
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Eurekahedge 50 Index
CBOE Eurekahedge Long Volatility
Index
CBOE Eurekahedge Relative Value Volatility Index
CBOE Eurekahedge Short Volatility
Index
CBOE Eurekahedge Tail Risk Index
Eurekahedge 50 Index 1.00 -0.38 0.11 0.56 -0.47
CBOE Eurekahedge Long Volatility Index 1.00 0.20 -0.27 0.39
CBOE Eurekahedge Relative Value Volatility Index
1.00 0.35 -0.22
CBOE Eurekahedge Short Volatility Index 1.00 -0.55
CBOE Eurekahedge Tail Risk Index 1.00
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