Monthly Hedge Fund Trends (Deutsche Bank)

December 2014

KEYWORDS:

Authors:

Deutsche Bank

Organizations:
  • Deutsche Bank

Summary:

Key findings in the report:

— In our first research piece, the Fixed Income research team discusses the QE program, weaker-than-expected inflation and euro-area composite PMI. Next, the US Credit Strategy team presents a summary of the drivers of the US credit market in 2015 which includes global GDP growth, divergent central bank policies and macro risk from declining oil prices. Finally, the research team focuses on the slowing of GDP growth rates in Germany. While consumption remained the major growth contributor in the third quarter thanks to the robust labor market, investment in machinery and equipment slumped as moderate capacity utilization, concerns over global growth prospects and geopolitical risks are taking their toll.

— The Hedge Fund Capital Group presents highlights from their recent Hedge Fund Manager Asset Raising Survey. The team in the US reports that Chicago investors continue to focus on fundamental equity long/short strategies. The HK-Shanghai connect scheme is showing increased demand from investors and the team in Asia continues to field queries from US investors regarding the mechanics of the scheme and resulting market dynamics.

— All strategies posted positive returns in November bringing year-to-date returns for the median fund to 4.61%. CTA/Managed Futures led globally with the median fund posting a gain of 4.02% in November (8.73% YTD). In Europe, CTA/Managed Futures posted the strongest returns in November of 5.52%, bringing the year-to-date median return to 12.72%. In the US, CTA/Managed Futures posted the highest return for the month at 2.95%, but Credit strategies continue to lead cumulative performance with 6.92% YTD vs CTA/Managed Futures at 6.26% YTD. CTA/Managed Futures also demonstrated the highest dispersion of returns globally and regionally. In Asia, Macro strategies continue to lead gaining 2.55% in November (7.88% YTD).

— Throughout November, oil was a major short theme culminating in the OPEC meeting at the end of the month. The securities lending team discusses short interest in exploration and production firms both in Europe and Asia. In Japan, a refusal to expand an airbag recall requested by the US highway safety regulator may exacerbate the decline in Takata Corporations’ share price. In the US, the solar industry struggled despite a positive month for the S&P 500, but in more positive news, GoPro announced an offering of 10 million shares.

— In Europe, ESMA began gathering evidence on the functioning of the EU passport under the Alternative Investment Fund Managers Directive (AIFMD) in order to issue an opinion on the possibility of passporting non-EU funds and managers. ESMA also published a consultation on asset segregation under AIFMD, submitted technical advice on the role of depositaries under UCITS V and launched a consultation on potential changes to derivatives reporting under EMIR. In the US, the CFTC extended a previously issued no-action relief on packaged transactions executed away from swap execution facilities. Timothy Massad, Chairman of the CFTC, also addressed EU benchmark regulation and the possibility of US benchmark regulation in the future.
Deutsche Bank Global Prime Finance Monthly Hedge Fund Trends – December 2014