02/04/2013
Maximum draw-down for absolute return funds declines with age
P { margin-bottom: 0.08in; }A:link { } Over five years of crisis, the 498 UCITS-compliant absolute return funds on sale in Germany (including 210 hedge funds) as of the end of December have posted average gains of 0.78% per year, compared with losses of 2.89% for the HFR Global Hedge Funds Index, and of 9.74% for Euro Stoxx 50 return funds, the Frankfurt-based asset management firm Lupus alpha reports.Only 64.9% of these funds, with assets as of the end of December representing EUR95.9bn, show positive returns, compared with 58.8% as of 30 June 2012. Lupus alpha has extended its analysis this year to include all absolute return funds, including hedge funds, as soon as they come into compliance with UCITS III (see Newsmanagers of 13 February 2012).Of 168 absolute return funds analysed over five years, only 34% show a positive Sharpe ratio over five years, and they range from 1.48 to -1.61.The average maximum draw-down (MDD) for the period under review (2008-2012) comes out to 14.22% also with a wide range form -0.31% to -87.6%. The study also finds that the verage MDD for funds whose track record is 0 to 3 years long stands at 5.65%, while it is 4.59% for those with 3-5 years in existence. For funds over 5 years old, the average MDD is only 3.19%.
