In de “white paper” “A new era for hedge funds” beargumenteert Lyxor dat er weer betere tijden aanbreken voor de Hedge Fund industrie, met rendementen die 5-6% hoger liggen dan de traditionele asset categorieën.
“We evaluate the drivers of hedge fund returns and conclude that the normalisation of US monetary policy and US equities’ loss of momentum will lead to HF outperformance versus traditional asset classes. We expect annual excess returns in the 5-6% range.
- Hedge funds have underperformed traditional asset classes over recent years. Despite its outstanding track record over recent decades, the industry has come under mounting pressure. Inflows remain robust, but hedge funds have significantly lowered both management and performance fees to adapt to the new environment.
- We evaluate the causes of the underperformance and find that the fall in bond yields in the wake of the Fed’s QE programme has negatively impacted hedge funds. Additionally, the equity beta has fallen while stocks rallied and alpha generation has shrunk as a result of the low volatility / low dispersion environment. However, alpha generation has started to rise since mid-2014 and the environment is now improving, with valuations stretched across the board, the economic cycle maturing and the Fed beginning to normalise monetary policy.
- Going forward and based on conservative assumptions, we estimate that hedge funds could deliver annual excess returns in the 5-6% range with low volatility. We believe that diversifying portfolios with an increased allocation to alternatives is particularly attractive at this point in the cycle. Hedge funds have demonstrated their ability to protect portfolios against wide market fluctuations, a scenario that we cannot exclude as the Fed turns the screw”