23/09/2019 - Working Paper
Hedge Fund Returns Characterized by Correlation Regimes
The author (P. Schwendner) presents a characterisation of hedge fund returns according to correlation regimes. He computes monthly correlation matrices of 25 global futures markets in four asset classes: fixed income, commodities, equities, fx. Comparing and grouping those correlation matrices leads to distinct «regimes» in time. These regimes can be characterised by futures market returns, finding patterns between risk-on and risk-off assets. One of those regimes is especially «risk-off». The regimes can also be described by CS hedge fund index returns. In the «risk-off» regime, the CS hedge fund indices also underperform. The Eurekahedge EHF funds show a similar performance behaviour according to strategies across regimes as the CS hedge fund indices. The dispersion across the Eurekahedge EHF funds for each month is largest in the «risk-off» regime.
Access to the full online version of the presentation here.
22/11/2016 - Journal of Quantitative Finance
Tail-risk protecting trading strategies
The authors (N. Packham, J. Papenbrock, P. Schwendner & F. Woebbeking) develop a dynamic trading strategy that aims at protecting against large market downturns by taking into account the time-variation and dynamics of distributional parameters of financial time series. First, accounting for the time-dependent dynamics of distributional parameters via a GARCH process allows incorporating volatility clustering and autoregressive behaviour in volatility. Second, by fitting the GARCH residuals (innovations) to flexible distribution families incorporating both normal and extreme behaviour allows one to determine whether, in a given time period, extreme events are more likely to occur than suggested by e.g. normal innovations.
Access to the full online version of the paper here.
01/12/2015 - European Stability Mechanism
European Government Bond Dynamics and Stability Policies: Taming Contagion Risks
The authors (M. Hillebrand, T. Ott, M. Schuele & P. Schwendner) analysed bond yields of euro area sovereig bonds. From 2004 to 2015, the market perception of the sovereign risks of the euro area government bonds experienced several different phases. After analysis, their results supported the view that market-implied spillover risks have decreased since the European rescue and stability mechanisms came into force in 2011.
Access to the full version of the paper here.
01/05/2015 - SpringerProfessional
Handling risk-on/risk-off dynamics with correlation regimes and correlation networks
The authors (J. Papenbrock & P. Schwendner) present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were previously; cluster tracking shows that asset classes are now less separated. They identified distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing, they quantified these observations using suitable metrics for the clusters and correlation networks. The framework will be useful for financial risk management, portfolio construction, and asset allocation.
Access to the paper here.
Die ZHAW Zürcher Hochschule für Angewandte Wissenschaften analysiert die Bedeutung und Perspektiven der Schweizer Hedge Fund Industrie. Die Analyse wird durch eine unabhängige Umfrage bei ausgewählten Hedge Fund Manager in der Schweiz ergänzt. Die vorliegende Studie repräsentiert den fünften Update zur Schweizer Hedge Fund Industrie seit 2008 und soll den Transformationsprozess in den letzten zehn Jahren reflektieren.
HFM Allocator Network: Summit - Zurich, Dr. Peter Meier (September 2016)
The presentation gives a brief introduction to Hedge Funds and analyses why they have currently fallen out of favour.
Zielsetzung der Studie war die Untersuchung von Entscheidungsprozessen, Auswahl-kriterien für externe Asset Manager und Anlagegrundsätzen. Die Untersuchung hat bestätigt, dass die Asset Allocation auf Ebene Stiftungsrat entschieden wird und für die Umsetzung, insbesondere die taktischen Entscheide und die Wahl der Asset Manager, Geschäftsführung und Anlagekomitee zuständig sind. Rund 29% der Befragten arbeiten mit mehr als 20 externen Asset Manager zu-sammen. Ziel ist es, eine gute Diversifikation der Anlagestile zu erreichen. Über 60% der untersuchten Anlage-vermögen werden extern verwaltet, was die Bedeutung der externen Asset Manager für die Schweizer Vorsorge-einrichtungen unterstreicht.
Back in June 2008, the ZHAW Centre Alternative Investments & Risk Management launched its first survey on single hedge funds in Switzerland, which was then updated in September 2010. With the present report, by way of a major innovation, the authors have tried to assess the structure and development of the Swiss hedge fund industry not so much from the perspective of an investor, but in terms of market content and outlook. In order to provide comprehensive insight into the overall world of hedge funds in Switzerland, the managers of funds of hedge funds and the managers of single hedge funds operating out of Switzerland were asked to complete a detailed questionnaire. The ZHAW Centre Alternative Investments & Risk Management has ensured that the survey is independent and that the results of the individual questionnaires have been kept strictly confidential. This comprehensive report was made possible through a dedicated financial contribution from Banque Privée Edmond de Rothschild S.A., Geneva. Our thanks are addressed to the representatives of this bank as well as to the members of the TCF (The Swiss Council of Hedge Funds) and the TCQ (Transparency Club FoHF for Qualified Investors), who have made it possible to maintain a high and persistent level of public transparency for hedge funds since 2002.
This report takes a look at the landscape of Swiss funds of hedge funds (FoHF). Since April/May 2007, when the Centre Alternative Investments & Risk Management from the Zurich University of Applied Sciences compiled the first comprehensive study about the Swiss funds of hedge funds market, the industry has changed dramatically. Nevertheless, we estimate that Swiss FoHF industry, including off shore and qualified investor funds, still represents at least 30% of the global market. The basis of the report is the web portal Hedgegate (www.Hedgegate.com) which has established itself as THE information platform for Swiss funds of hedge funds. Hedgegate has been authorized by the Swiss regulator, FINMA, as an official publication organ for NAVs. More recently, the coverage of funds of hedge funds for qualified investors has intensified and is growing rapidly. Although only a limited part of the universe is represented and although the statistical analysis refers to those FoHF for qualified investors which are listed on Hedgegate, it is possible to draw valuable conclusions on the overall universe. Hedgegate is supported by the Transparency Council Funds of Hedge Funds (TCF) and the Transparency Club Funds of Hedge Funds for Qualified Investors (TCQ) which allows to keep it open and free of cost for public users. This comprehensive report was made possible with a dedicated financial contribution from Banque Privée Edmond de Rothschild S.A., Geneva. Our special thanks are addressed to the representatives of this bank as well as to the Council members making possible this high and persistent level of public transparency for funds of hedge funds since the year 2002.
This report takes a look at the landscape of Swiss funds of hedge funds (FoHF) in the aftermath of the financial crisis. Since April/May 2007, when the Centre Alternative Investments & Risk Management compiled the first comprehensive study about the Swiss funds of hedge funds market, the industry has changed substantially. Nevertheless, we estimate that Swiss FoHFs still represent 25% to 30% of the global market. The basis of this report is the web portal hedgegate (www.hedgegate.com) which has established itself as THE information platform for Swiss funds of hedge funds. hedgegate has been authorized by Finma as an official publication organ for NAVs. hedgegate covers nearly all Swiss registered FoHFs. Thus in this report we concentrate on this segment. Over the last two years the coverage of offshore funds has intensified, but is not yet broad enough to be included. This comprehensive report was made possible with a dedicated financial contribution from ABS Investment Management, and also by the persistent support from the 15 leading Swiss FoHF providers and the members of the Transparency Council FoHF (TCF). Our special thanks are addressed to these institutions and their generousness to support our efforts to do research and to improve the transparency in the FoHF area in the interest of the public and the end investors.
The following survey is an independent research project carried out by ZHAW Centre Alternative Investments & Risk Management, with GAM, a leading global fund of hedge fund provider, as financial sponsor. The core objective of this survey is to identify and profile the current SMHF players in Switzerland, as outlined in sections 1 and 2. Swiss SMHF are defined as managers or advisors operating out of Switzerland regardless of the domicile of the funds they run. Each of the SMHF managers identified was contacted and asked to complete an in-depth questionnaire on their business. Please see Appendix A for a copy.) 42% of management companies/managers of funds, representing over 60% of Swiss SMHF assets under management, participated in the survey. This is an excellent result given the comprehensive input required at a time of significant market turmoil. Furthermore, as outlined in sections 3 and 4, the report provides many insights into the structure of Swiss-managed SMHF. Another purpose of the study is, as outlined in sections 5 and 6, to seek the views of SMHF players with regard to regulatory and tax implications and the prerequisites for Switzerland becoming a more competitive location in future.