Comparing Some Benchmark Allocations Through Q3 2012

Oct 01, 2012 in Hedge Funds

 

Snapshot of some basic allocation returns for the Year To Date period ending Sep 30, 2012.   

 

Hedge funds are having a truly dismal year.   It is actually shocking to see the spread this wide.   For what its worth, the S&P 500 is +16.4% through Sep 30, 2012 --- it is not shown relative to these others because we do not consider the S&P 500 a relevant benchmark for an overall allocation.    It would be appropriate if we were to isolate the performance of just the stock holdings of a given allocation.

 

 

Note how the first 3 allocations shown below are all clustered near +11% for 2012.

 

 

And we include the below chart to show the paths taken for both the Yale and Ivy Portfolios:

 

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Comments (2) -

Oct 02, 2012 04:01 #

So many articles lately about how HFs are lagging the market. So what? Is the S&P 500 a HF benchmark? Is 60/40 or any other such portfolio a HF benchmark?

Of course not. So why compare them? Absolute return strategies WILL lag the market in good years. This is not a bug, it's a feature.

Anon. Greece

Oct 02, 2012 06:29 #

Many allocation strategies are absolute return strategies too.     We don't believe in chasing benchmarks either --- but at the end of the quarter, it is time to review.   It is not the end of time here  -  next year will be a new year and hedge funds may shine.   But in recent years, hedge fund industry has done very poorly.   This is just a reporting of the facts.  

Regards

Chris United States

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