domenica 6 gennaio 2013

Un altro anno mediocre per i fondi hedge

L'Economist analizza il declino dei rendimenti offerti dai fondi   hedge dopo un altro anno deludente:

The past year has been another mediocre one for hedge funds. The HFRX, a widely used measure of industry returns, is up by just 3%, compared with an 18% rise in the S&P 500 share index. Although it might be possible to shrug off one year’s underperformance, the hedgies’ problems run much deeper.
The S&P 500 has now outperformed its hedge-fund rival for ten straight years, with the exception of 2008 when both fell sharply. A simple-minded investment portfolio—60% of it in shares and the rest in sovereign bonds—has delivered returns of more than 90% over the past decade, compared with a meagre 17% after fees for hedge funds (see chart). As a group, the supposed sorcerers of the financial world have returned less than inflation. Gallingly, the profits passed on to their investors are almost certainly lower than the fees creamed off by the managers themselves.
There are, of course, market-beating superstars, as you would expect in an industry with nearly 8,000 participants (and rising). The top decile of managers has served up returns of over 30% in the past year, according to Hedge Fund Research, a data provider. But a third have lost money, including some of the stars of yesteryear: John Paulson, celebrated as an investment wizard in 2007 for having foreseen America’s housing bubble, reportedly saw his flagship fund lose 17% in the first ten months of 2012, after a 51% fall in 2011.

I mercati sembrano essere diventati più efficienti, probabilmente proprio la dimensione ragguardevole dell'industria stessa dei fondi hedge ha ridotto le opportunità di arbitraggio:

Hedge funds now manage $2.2 trillion in assets, up fourfold since 2000. Because individual trades can absorb only so much cash, the effect of all that new money is to push funds to take second-rate bets that would have been considered marginal in the past. “At $1 trillion of assets under management hedge funds delivered acceptable returns,” says Mr Lack. “Less so at $2 trillion.”

Certamente con questo tipo di risultati è molto difficile giustificare i costi molto alti di questo tipo di investimenti,che tipicamente impongono commissioni annue pari al 2% dell'investimento (in aggiunta a un 20% dei profitti ottenuti in eccesso di un qualche livello stabilito in congruità con lo stile del fondo).
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