investing in hedge funds

18
SSARIS Advisors, LLC 695 East Main Street, Stamford, CT 06901 Investing in Hedge Funds Effective Alpha Generation and Risk Control Methods

Upload: yardan

Post on 27-Jan-2016

44 views

Category:

Documents


1 download

DESCRIPTION

Investing in Hedge Funds. Effective Alpha Generation and Risk Control Methods. Alpha Generation & Risk Control Methods. Hedging Tail Risk Tactical Allocation Due Diligence Risk Management. Interest in Hedge Funds. Hedge Fund Performance in 2008. Source: Bloomberg, L.P. - PowerPoint PPT Presentation

TRANSCRIPT

Page 1: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Investing in Hedge Funds

Effective Alpha Generation and Risk Control Methods

Page 2: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Alpha Generation &Risk Control Methods

Hedging Tail Risk Tactical Allocation Due Diligence Risk Management

Page 3: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Interest in Hedge Funds

Page 4: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Hedge Fund Performance in 2008

HFRX Global Hedge Fund Index -23.25%

Credit Suisse Blue Chip Index -26.31%

Barclay Fund of Funds Index -21.50%

S&P 500 Total Return -36.99%

Russell 2000 -34.79%

Source: Bloomberg, L.P.

Page 5: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Convergent / Divergent Strategies: Hedging Tail Risk

Page 6: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Arbitrage / Relative Value Strategiesin 2008

CS Blue Chip Convertible Arbitrage

-52.10% HFRX Convertible Arbitrage -58.37%

CS Blue Chip Fixed Income Arb -35.03% HFRX Relative Value -37.60%

CS Blue Chip Multi-Strategy -35.42%

Source: Bloomberg, L.P.

Page 7: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Valuation Driven Strategies in 2008

CS Blue Chip Dedicated Short -9.11% HFRX Distressed -30.69%

CS Blue Chip Emerging Markets -41.97% HFRX Equity Hedge -25.45%

CS Blue Chip Equity Market Neutral*

-39.02% HFRX Equity Market Neutral -1.16%

CS Blue Chip Event Driven -20.05% HFRX Event Driven -22.11%

CS Blue Chip Global Macro -21.28% HFRX Merger Arbitrage 3.69%

CS Blue Chip Long/Short Equity -29.39%

Source: Bloomberg, L.P.

Page 8: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Divergent Strategies in 2008

CS Blue Chip Managed Futures 21.76% Barclay CTA Index 14.11%

HFRX Macro 5.61%Barclay Diversified Traders

Index26.53%

Barclay Systematic Traders Index

18.12%

Source: Bloomberg, L.P.

Page 9: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Tactical Allocation

Page 10: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Tactical Allocation

Page 11: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Tactical Allocation

2006 Q3 Change from “Friendly” to “Neutral” on equity markets

Lowered exposure to long biased and concentrated equity strategies

Established short subprime exposure as a hedge 2007 Q4

Change from “Neutral” to “Negative” on equity markets Significant drop in exposure to long short equity strategies Increased allocation to “opportunistic” strategies Increased allocation to divergent strategies (trend based

strategies in particular)

Page 12: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

2 Source: Bloomberg, L.P.1 Source: SSARIS,please see last page for additional disclosures

2008 Performance by Strategy versus BenchmarksStrategy SSARIS1 Index2 Difference

Long/Short Equity -12.08% -25.45% 13.37% HFRX Equity Hedge Index

Event Driven 4.43% -22.11% 26.55% HFRX Event Driven Index

Global Macro -14.33% -21.34% 7.01% Credit Suisse Blue Chip Global Macro Index

Managed Futures 20.82% 14.09% 6.73% Barclay CTA Index

Convertible Arbitrage -13.59% -58.37% 44.78% HFRX Convertible Arbitrage Index

Equity Market Neutral -7.40% -1.16% -6.24% HFRX Equity Market Neutral Index

Fixed Income Arbitrage 4.74% -37.60% 42.34% HRFX Relative Value Index

Emerging Markets -20.96% -42.12% 21.16% Credit Suisse Blue Chip Emerging Market Index

TOTAL 0.10% -23.25% 23.35% HFRX Global Hedge Fund Index

Page 13: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Due Diligence

Average of over 50 hours of due diligence prior to allocation decision

Organizational audit Document review

PPM AIMA Due Diligence Questionnaire Audit Form ADV

Background investigations Audit checks Regulatory checks

SEC, FINRA, NFA, etc.

Page 14: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Risk Management

Page 15: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Transparency Platform

Page 16: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

Transparency Platform

Daily transparency at the position level Minimize fraud risk Maintain ultimate control over the account More effective risk management

Page 17: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

For Further Information

Rob Covino SSARIS Advisors, LLC Senior Vice President – Product Development [email protected]

Page 18: Investing in Hedge Funds

SSARIS Advisors, LLC695 East Main Street, Stamford, CT 06901

DisclosuresPAST PERFORMANCE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

This document is being provided per your request.

Performance returns, un-audited and reported in USD, reflect a composite of accounts managed using the SSARIS fund of funds strategies described herein.

The performance information does not include the deduction of SSARIS’ advisory fees, as applicable, but does include the deduction of the advisory fees, commissions and expenses charged by each underlying manager and includes interest income. Actual client results may vary depending upon different fee arrangements and timing of investments. This document is intended for qualified eligible persons as defined in U.S. Commodity Futures Trading Regulation 4.7. This summary is intended solely to describe certain important elements of the various SSARIS fund of fund strategies described herein (“Strategies”). This summary does not constitute an offer to sell to any person, or a solicitation of an offer to purchase the securities of any pooled investment vehicle. Any such offer may only be made by private placement memorandum or other offering documents issued by such pooled investment vehicles, and the information provided herein is qualified in its entirety by the information contained in such disclosure documents. Any decision to invest should be made solely in reliance upon such documents.

No offer of any interest in any product will be made in any jurisdiction in which offer, solicitation or sale is not authorized, or to any person to whom it is unlawful to make such offer, solicitation or sale.

This document expresses the views of SSARIS Advisors, LLC only through the last reporting period shown regarding the various Strategies and the views are subject to change based on market or other conditions. The opinions expressed are for general information only and are not intended to provide specific advice or recommendations but rather, a basis from which strategies can be built, taking into account the specific objectives of each portfolio, in terms of return, time horizon, and risk constraints, as well as diverging investment perspectives and assumptions. All material has been obtained from sources believed to be reliable, but its accuracy and completeness are not guaranteed.

No assurance can be given that the Strategies’ investment objective will be achieved. An investment in any of the Strategies is subject to significant risks and is suitable only for qualified investors of substantial financial means that have no need for immediate liquidity in these investments. References to investment objectives, target returns or other goals sought in employing a particular investment strategy are aspirational only and should not be considered a guarantee that such results will be achieved.

Potential investors should clearly understand the significant degree of risk involved with investing in any alternative investment strategies. The Strategies are available only to qualified investors who have reviewed detailed information concerning investment terms and risks. These risks may include the following: The Strategies may use leverage, are speculative, involve a high degree of risk and may not provide diversification; performance can be volatile, and an investor could lose a substantial amount or all of the investor’s investment; the investor does not retain any trading authority over assets placed with us; an investor’s account may not be liquid or transferable; fees and expenses may offset trading profits; SSARIS may be subject to certain conflicts of interest; and the Strategies may involve executing a substantial portion of the trades on foreign exchanges.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

No current or prospective client should assume that future performance will be profitable, or equal to the performance results reflected in any of the following benchmarks or indices.

All the historical benchmark and index performance results shown are provided exclusively for comparison purposes only, so as to provide general comparative information to assist an individual client or prospective client in determining whether the performance of a SSARIS Strategy meets, or continues to meet their investment objective(s). It should not be assumed that the SSARIS Strategy holdings will correspond directly, or indirectly, to the comparative benchmarks or indices shown.