Evolution of Hedge Funds
Leadership Forum
Managed Funds Association
Feb. 6,2006
Ginger Szala, Futures Magazine
Darwin and the Dollar

What defines a hedge fund?

1) Leverage
2) Long/short abilities
3) Broader markets
4) Structure provides freedom for
manager to pursue multiple strategies



Estimated Number of Hedge Funds
1990 – 2005
9,000
8,661
8,000
7,436
7,000
6,297
Number of Funds
6,000
5,379
5,000
4,454
3,873
4,000
3,617
3,325
2,990
3,000
2,781
2,383
1,945
2,000
1,514
1,105
1,000
821
610
0
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
Extract from HFR Industry Report –
2000
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Hedge Fund Industry 1990 – 2005
$1,200,000
$1,105,385
$1,100,000
$1,000,000
$972,608
$900,000
$820,009
Assets (In $MM)
$800,000
$700,000
$625,554
$600,000
$539,060
$490,580
$500,000
$456,430
$400,000
$367,560 $374,770
$300,000
$256,720
$185,750
$200,000
$167,790 $167,360
$95,720
$100,000
$38,910
$58,370
$8,463 $27,861
$99,436
$91,431
$57,407
$36,918
$0
$55,340
$14,698
$70,635
$73,585
$46,545
$46,907
$23,336
$4,406
($1,141)
($100,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Fund of Funds 1990 – 2005
$450,000
$394,629
$400,000
$358,646
$350,000
$293,293
$300,000
Assets (In $MM)
$250,000
$206,937
$200,000
$150,000
$102,546
$100,000
$75,413
$74,592
$74,033
$56,347
$50,000
$19,902
$15,394
$36,797
$75,783
$76,094
$103,398
$83,535
$59,430
$52,525
$18,479
$28,453
$33,183
$18,024
$14,812
$1,898
$1,840
$229
$9,512
$7,138
$0
($850)
($3,272)
($16,219)
($50,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
In Comparison

Managed Futures Growth ($billions)
140
120
100
80
60
40
20
0
1980 1984 1988 1992 1996 2000 2004
MUM
Comparison of performance

HFRI fund weighted comp. Index

Barclay CTA Index

1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005

1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005















5/29/2016
5.81
32.19
21.22
30.88
4.10
21.50
21.10
16.79
2.62
31.29
4.98
4.62
(1.45)
19.55
9.03
9.35















21.02
3.73
(0.91)
10.37
(0.65)
13.64
9.12
10.89
7.01
(1.19)
7.86
0.84
12.36
8.69
3.30
1.71
Evolution of hedge fund styles













Makeup in 1990s
Macro
71.1%
Equity Hedge
5.3%
Event Driven
3.8%
Fixed Income (total)
3.3%
Distressed securities
2.4%
Equity market neutral
1.7%
Equity non-hedge
0.6%
Merger arbitrage
0.6%
Convertible arb
0.5%
Emerging markets (total) 0.4%
Sector (total)
0.3%
Short selling
0.1%
















5/29/2016
Make up in 2005
Equity Hedge
Event Driven
Relative value arb
Macro
Fixed Income (total)
Distressed securities
Equity non-hedge
Sector (total)
Convertible arbitrage
Emerging markets
Equity market neutral
Merger arb
Market Timing
Short selling
Regulation D
29.0%
13.5%
12.6%
11.1%
8.1%
4.7%
4.4%
4.3%
4.3%
3.5%
2.4%
1.5%
0.4%
0.3%
0.2%
Estimated Growth of Assets / Net Asset Flow
Macro 1990 – 2005
$200,000
$178,474
$175,000
$150,740
$150,000
$136,874
$123,373
$125,000
$136,880
$128,360
$121,420
$118,078
$115,418
$107,405
$102,457
Assets (In $MM)
$100,000
$71,402
$70,743
$75,000
$58,548
$47,367
$50,000
$33,772
$27,642
$17,023
$25,000
$28,146
$24,571
$18,437
$14,014
$10,521
$4,242
$5,336
$4,001
2004
2005
$0
($8,297)
($13,587)
($25,000)
($50,000)
($17,735)
($47,010)
($60,978)
($75,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
Estimated Growth of Assets / Net Asset Flow
Equity Hedge 1990 – 2005
$350,000
$331,827
$300,000
$285,952
Assets (In $MM)
$250,000
$241,920
$197,840
$200,000
$172,837
$150,000
$133,061
$92,790
$100,000
$47,960
$50,000
$36,611
$18,727
$2,701
$2,054
$2,641
$351
1990
1991
1992
$47
$4,046
$969
$5,683
$1,594
$7,002
$910
$9,175
1993
1994
1995
1996
$20,403
$23,152
$39,617
$33,326
$25,004
$19,113
$13,649
$4,013
$1,283
$0
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Event-Driven 1990 – 2005
$152,247
$150,000
$128,673
$130,000
$110,000
Assets (In $MM)
$100,800
$90,000
$75,604
$70,000
$52,215
$50,000
$33,485
$25,599
$30,000
$21,911
$15,039
$10,000
$1,494
$1,446
$4,928
$2,624
$949
$4,553
$1,385
$353
1992
1993
1994
$7,300
$16,449
$15,566
$11,681
$13,738
$10,793
$10,071
$6,455
$4,801
$1,776
$3,293
$2,645
$518
1995
1996
1997
1998
($35)
($10,000)
1990
1991
Estimated Assets
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Who invests in hedge funds?

Combined U.S and Non-US
1) Fund of hedge funds
2) High net worth
3) Institutions
4) Family Office
5) Private Banks
6) Foundations/Endowments

Source: UBS, Note: Based on percentage share of assets under management world wide






5/29/2016
40%
23%
12%
11%
10%
4%
New Rules

SEC registration

Feb. 1, 2006 deadline

Inside the numbers

Roughly 4000 managers globally, 714 registered with SEC. Another 70
pending.
Are we still evolving?


New worlds in hedge funds
New name?
Insight from insiders




Bruce Cleland, President and CEO of
Campbell & Co.
John Kelly, President and CEO of Man
Investments Inc.
Mark Rosenberg, Chairman and CIO of
SSARIS Advisors
Mark Rzepczynski, CEO of JWH & Co.
Other slides
Global assets
Structured assets
5/29/2016
Global Financial Assets & Derivatives
1993 – 2004
Year
Global Bonds +
Pen Funds +
Global
Total Global
Equities +
Insurance +
OTC + ET
Fin Assets &
Hedge
Managed
Hedge Funds +
Managed
Banks
Mutual Funds
Derivatives
Derivatives
Funds
Futures
Futures
$Tn
$Tn
$Tn
$Tn
$Bn
$Bn
$Bn
1993
59.2
18.5
16.3
93.9
168
26
194
1994
66.0
20.4
20.2
106.6
167
25
192
1995
72.3
23.4
27.0
122.7
186
23
209
1996
76.3
25.8
35.5
137.5
257
24
281
1997
79.1
27.9
41.4
148.4
368
33
401
1998
88.3
31.4
94.3
214.0
375
36
411
1999
101.1
37.4
101.8
240.3
456
41
497
2000
99.2
35.5
109.5
244.2
491
38
529
2001
98.0
35.9
135.0
268.9
539
41
580
2002
103.4
32.9
165.5
301.8
626
51
677
2003
126.1
43.3
234.0
403.4
820
87
907
2004
141.8
45.9
298.4
486.1
930
132
1,062
CAGR
7.55%
7.88%
27.45%
14.68%
15.33%
14.49%
15.22%
Sources:
• Bank for International Settlements
• Compeer
• Investment Company Institute
• OECD
•
•
•
•
Banker Magazine
Hedge Fund Research
J.P. Morgan
Swiss Re
• Bridgewell
• ING
• Merrill Lynch
• Cap Gemini
• International Financial Services London
• NYSE
structures in the US
Vehicles for investing in hedge funds
US legislation: 3(c)(1) (1949)
US legislation: 3(c)(7) (1996)
Maximum investors: 99
Maximum investors: 4992
Typical minimum investment: $1 million Typical minimum investment: $1 million
Investor qualifications: Accredited1
Individual
Investor qualifications: Qualified Purchasers
& Accredited
Development: Registered Hedge Funds
(early 2000)
Maximum investors: Unlimited
Typical minimum investment: $25,000
Investor qualifications: Accredited
Individual
- income in excess of $200,000 in each
of the preceding two years and expect
- natural person to have at least $5 million in
the same or more this year;
investments
Individual
or
or
-net worth (or joint net worth with
spouse) of $1 million
Entity: $5 million net worth
-certain other regulated high-net worth
institutions (insurance companies, employee
benefit plans, banks, etc.)
Entity: $25 million in investments
-a net worth of $1 million at the time of
purchase;
- income in excess of $200,000 in each of the
preceding two year and expect the same
income level in the current year
Entity: $1 million net worth
Source: Investment Company Act of 1940.
Schematic Illustration
1Additional qualification standards may be necessary if futures are traded.
2Although funds with an exemption under Section 3(c)(7) of the Investment Company Act of 1940, as amended, may have an unlimited number of investors, most funds will generally limit the total number of investors to
499 to avoid reporting requirements under the Securities Exchange Act of 1934, as amended. This is provided for informational purposes only and is not meant to be an exhaustive review of legal issues regarding hedge
fund exemptions. Please consult with legal counsel for additional information. There are risks inherent in hedge funds and funds of hedge funds.
5/29/2016
HFR Industry Products & Indic
Comprised of over 5400 funds and fund of funds, HFR Database is the definitive source of hedge fund performance
and information.
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The benchmarks of fund performance. 37 different categories by strategy, including the HFRI Fund Weighted
Composite, which accounts for over 1600 funds listed on the HFR Database. Also: HFR's exclusive HFRI FOF SubStrategy Indices.
HFRI Fund Weighted Composite Index – Historical Monthly
Performance
HFRI Fund Weighted Composite Index
Year
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
Jan
(2.11)
2.59
3.84
2.32
2.50
(0.22)
2.89
3.17
(0.71)
2.24
0.64
3.39
0.45
0.65
1.98
(0.20)
Feb
1.54
4.02
2.14
1.34
(0.55)
1.31
1.23
1.03
3.27
(1.32)
6.16
(2.21)
(0.70)
0.02
1.19
1.83
Mar
3.21
4.95
0.59
3.06
(1.51)
1.65
1.46
(1.64)
3.00
3.14
0.93
(1.59)
1.91
0.14
0.51
(0.87)
Apr
(0.04)
1.34
0.30
1.49
(0.59)
2.10
3.96
(0.11)
0.96
4.50
(2.85)
1.95
0.28
2.64
(1.48)
(1.49)
May
3.05
1.98
1.84
2.60
0.68
1.70
3.05
4.38
(2.08)
0.72
(1.96)
1.19
0.04
3.58
(0.31)
1.04
Jun
2.10
0.41
(0.41)
2.62
0.27
2.48
0.18
2.70
(0.13)
3.63
3.68
0.29
(1.94)
1.35
0.75
1.59
Jul
1.50
2.62
2.08
2.09
1.35
3.20
(2.08)
3.87
(0.79)
0.52
(0.60)
(0.83)
(2.86)
1.30
(0.96)
2.30
Aug
(3.45)
2.06
(0.27)
2.93
2.46
2.20
2.28
0.34
(8.70)
(0.01)
3.81
(0.41)
0.53
1.83
0.12
0.82
Sep
(1.96)
2.32
1.94
1.58
0.89
1.96
2.07
3.72
0.69
0.16
(1.24)
(2.83)
(1.54)
1.16
1.65
1.91
Oct
(0.04)
1.83
2.11
3.18
(0.03)
(0.65)
0.98
(1.53)
1.22
1.60
(1.79)
2.01
0.59
2.45
0.84
(1.42)
Nov
0.75
0.27
2.80
0.15
(1.27)
1.89
2.08
(0.93)
3.71
5.06
(3.49)
2.07
2.12
1.06
2.84
1.68
Dec
1.35
3.95
2.53
3.91
(0.08)
2.08
1.33
0.88
2.79
7.65
2.07
1.71
(0.21)
1.87
1.65
1.89
Annual
5.81
32.19
21.22
30.88
4.10
21.50
21.10
16.79
2.62
31.29
4.98
4.62
(1.45)
19.55
9.03
9.35
Media Reference Guide
Alternative Investment Industry Performance and Trends
Provided courtesy of Hedge Fund Research, Inc.
Date: 01/24/2006
Copyright 2006 – All Rights Reserved
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Our flagship product offering, HFR Database, is
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The Data
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database integrates with multiple
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with Information
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on ourinformation.
hedge fund universe of established and emerging managers is collected directly
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offering memoranda, onsite visits, and due diligence interviews.
HFR Database is the foundation for the HFRI Indices, the industry's most widely utilized benchmark of hedge fund
performance information. The HFRI Fund Weighted Composite alone is comprised of over 1600 funds from our
database universe.
Our staff
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HFRI Monthly
Indices
Index
Jan-05
Feb-05
HFRI Convertible Arbitrage Index
(0.90)
(0.44)
HFRI Distressed Securities Index
0.15
1.37
HFRI Emerging Markets (Total)
1.48
4.02
HFRI Equity Hedge Index
(0.58)
2.13
HFRI Equity Market Neutral Index
0.64
1.16
HFRI Equity Non-Hedge Index
(1.60)
2.91
HFRI Event-Driven Index
(0.15)
1.39
HFRI Fixed Income: Arbitrage Index
0.56
0.73
HFRI Fixed Income: Convertible Bonds Index
(0.90)
0.70
HFRI Fixed Income: Diversified Index
0.25
0.95
HFRI Fixed Income: High Yield Index
0.67
1.17
HFRI Fixed Income: Mortgage-Backed Index
0.98
0.88
HFRI Macro Index
(0.58)
1.81
HFRI Market Timing Index
(0.67)
3.36
HFRI Merger Arbitrage Index
(0.03)
0.72
HFRI Regulation D Index
(1.82)
3.17
HFRI Relative Value Arbitrage Index
0.30
0.78
HFRI Sector (Total)
(1.05)
1.78
HFRI Short Selling Index
2.47
0.11
HFRI Fund Weighted Composite Index
(0.20)
1.83
HFRI Fund of Funds Composite Index
0.00
1.36
Lehman Bros Gov't/Credit Agg Bond Index
S&P 500 w/ dividends
0.75
(2.44)
(0.71)
2.10
– Mar-05
2005 Monthly
Performance
Apr-05 May-05
Jun-05
Jul-05
(1.48)
0.30
(2.00)
(1.05)
0.10
(2.42)
(0.20)
0.19
(1.67)
(0.21)
(0.30)
0.50
(0.60)
(1.34)
0.12
0.84
(0.35)
(1.67)
3.16
(0.87)
(0.55)
(2.64)
(0.86)
(0.31)
(2.23)
(0.38)
(3.33)
(1.71)
(0.01)
(2.94)
(0.30)
(0.18)
0.78
(1.06)
(1.74)
(1.42)
(0.65)
(0.84)
(2.20)
3.70
(1.49)
(1.41)
(1.17)
0.23
0.60
1.55
0.58
3.17
1.20
0.18
(0.66)
0.39
(0.09)
0.57
0.35
1.71
1.62
0.67
(0.10)
2.12
(3.42)
1.04
0.24
1.03
1.38
1.59
1.96
0.84
2.88
1.33
0.52
1.89
0.79
0.78
0.65
1.06
1.51
1.14
3.68
0.96
2.23
1.08
1.59
1.36
1.08
1.65
2.94
2.95
0.82
4.10
2.35
0.97
2.62
0.87
1.17
0.75
0.74
3.23
1.12
3.60
1.34
3.50
(2.78)
2.30
1.74
Aug-05
0.58
1.32
1.99
0.74
0.56
(0.11)
0.89
0.39
0.48
0.35
0.67
0.38
0.73
1.82
0.71
3.43
0.69
0.65
2.73
0.82
0.84
(0.76)
(1.77)
1.62
(1.90)
1.35
3.18
0.70
0.14
(1.21)
3.72
1.61
(0.91)
Sep-05
1.23
1.10
4.81
2.25
0.94
2.08
1.00
0.77
1.12
1.05
0.34
0.72
2.12
2.75
0.62
(0.39)
1.15
1.71
1.44
1.91
1.55
Oct-05
(0.07)
(0.46)
(2.54)
(1.88)
(0.36)
(2.84)
(1.82)
0.34
(1.24)
(0.21)
(0.39)
0.66
(0.67)
(2.33)
(1.57)
(1.15)
(0.33)
(2.08)
1.42
(1.42)
(1.38)
Nov-05
0.03
0.98
3.14
2.14
0.69
3.47
1.26
0.09
1.51
0.46
0.25
0.24
1.67
3.27
1.20
1.60
0.88
1.66
(2.40)
1.68
1.66
Dec-05
0.88
0.99
3.70
2.38
0.82
1.99
1.40
0.61
1.48
0.58
0.89
0.31
1.23
1.87
1.38
(0.96)
1.68
2.55
(0.20)
1.89
1.78
2005
(1.94)
8.44
20.90
10.66
6.56
10.33
7.07
5.46
2.26
5.07
5.07
7.67
6.93
14.05
5.69
12.43
6.29
9.37
7.22
9.35
7.33
(1.41)
0.81
(0.92)
(1.67)
0.55
3.78
1.02
0.04
2.55
4.91
Extracts from HFR INDUSTRY REPORTS
HFR Industry Report – Year End 2005:
Industry insiders utilize HFR Industry Reports to gain a detailed picture of current trends
as well as a historical perspective of the hedge fund industry.
The Report includes:
•Over 140 pages of charts and graphs provided in PowerPoint format
•Year End 2005 estimated total assets and net asset flows for entire industry and by
strategy
•Detailed breakout of Quarterly HFRI performance
•HFRI Annual Performance Matrix 1993-2005
•Onshore and Offshore asset analysis breakouts
•Risk/Return analysis by strategy: 1, 3 and 5-year summaries of Standard Deviation,
Sharpe Ratio, Sortino Ratio, Up/Down Capture, Returns Distribution and Market
Correlations
HFRI Index Risk Return Comparison
2005
25%
Emerging Markets (T otal)
20%
15%
Market T iming
Return (%)
Reg. D
Equity Hedge
10%
Fund Weighted Comp. Index
FI: Mortgage-Backed
Equity Market Neutral
FI: Arbitrage
FI: Diversified
5%
Sector (T otal)
Fund of Funds Comp
Distressed Securities
Event Driven
Macro
Relative Value Arb
Equity Non-Hedge
Short Selling
Merger Arbitrage
S&P 500
FI: High Yield
Lehman Gov/Credit
FI: Convertible Bonds
0%
Convertible Arbitrage
-5%
0%
1%
2%
STD (%)
Extract from HFR Industry Report –
3%
Estimated Growth of Assets / Net Asset Flow
Convertible Arbitrage 1990 – 2005
$50,000
$44,713
$45,000
$44,773
$40,000
$36,718
$35,000
$32,833
Assets (In $MM)
$30,000
$25,000
$20,132
$20,000
$15,000
$12,806
$10,887
$8,391
$10,000
$6,383
$5,000
$187
$0
$47
$91
$36
$388
$252
$499
$115
$679
$144
$1,290
$522
$2,256
$843
$3,013
$5,492
$6,346
$3,295
$2,883
$699
($115)
($5,000)
($7,665)
($10,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Distressed Securities 1990 – 2005
$55,000
$51,922
$50,000
$46,256
$45,000
$40,000
$35,556
Assets (In $MM)
$35,000
$29,279
$30,000
$25,000
$20,000
$14,426
$15,000
$10,000
$7,104
$5,000
$934
$364
$564
$149
$1,033
$317
$0
$1,008
$1,751
$596
$3,323
$1,246
$3,578
$215
$14,115
$7,886
$6,637
$5,671
$4,732
$1,203
$1,970
$1,714
$761
($24)
($366)
($1,945)
($5,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Merger Arbitrage 1990 – 2005
$16,000
$15,468
$14,572
$14,000
$14,472
$13,702
$12,614
$12,000
$9,862
Assets (In $MM)
$10,000
$8,000
$6,000
$4,588
$4,266
$3,734
$4,000
$2,375
$2,000
$637
$233
$56
$0
$58
$2
$78
$16
$138
$55
$410
$1,416
$1,619
$1,388
$1,021
$916
$649
$193
($23)
($146)
($520)
($971)
($2,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005
Estimated Growth of Assets / Net Asset Flow
Relative Value Arbitrage 1990 – 2005
$140,000
$130,454
$125,000
$121,541
$110,000
$98,591
$95,000
Assets (In $MM)
$80,000
$74,295
$65,000
$49,946
$50,000
$35,000
$23,082
$16,898
$20,000
$5,000
$3,922
$421
$596
$136
$873
$202
$840
$1,363
$441
$3,729
$2,023
$3,837
$10,472
$6,449
$13,302
$7,340
$91
$11,262
$8,908
$5,162
$1,434
($32)
($2,671)
($3,009)
($10,000)
1990
1991
1992
1993
1994
1995
1996
1997
Estimated Assets
1998
1999
2000
Net Asset Flow
Extract from HFR Industry Report –
2001
2002
2003
2004
2005