In the three years to the end of December 2011, more than 80% of the 214 absolute return funds in the Lipper database analysed by the Frankfurt-based firm Lupus alpha have posted gains, and the average returns are 2.63%. 60% of funds have a positive Sharpe ratio, but with a rather wide range, from +1.76 to -2.36, a sign of rising divergences between the quality of the various absolute return strategies, according to Ralf Lochmüller, CEO of Lupus alpha.However, 2011 was a difficult year for absolute return funds, which lost an average of 3.02%, with a maximal dispersion ranging from +20.07% to -49.06%. About 30% of products have managed to generate positive results.Lupus alpha emphasizes that absolute return funds have performed better than equity markets in Germany and Europe, as the Dax and Euro Stoxx 50 lost 14.69% and 14.54%, respectively, last year. Hedge funds have lost nearly 9%, according to the HFRX index.In addition, 99.42% of absolute return funds have seen a maximum draw down of an average of 7.35%, compared with 33.26% for European equities, 33.62% for German equities, and 10.59% for hedge funds.Lupus alpha says that there are now 375 absolute return funds in Germany, with assets of EUR63.8bn.

Reyl Asset Management in December launched two long/short funds complying with UCITS IV standards: the Reyl Long/Short European Equities fund of European equities, and the Reyl Long/Short Emerging Markets equities fund of emerging markets equities. The two products, co-managed by Thomas de Saint-Seine, Maxime Botti and Emmanuel Hauptmann, have recently been licensed for sale in France. They aim for returns of 8% to 12% per year, with long-term volatility of 6% to 8%. The Reyl Long/Short European Equities fund replicates the Reyl Absolute Return fund based in the Cayman Islands.

Rising equity markets in the United States and the rest of the world in January contributed 1.7 percentage points to rising coverage rates for US pension funds, BNY Mellon Asset Management reports. Coverage rates now stand at 74.1% as of January, compared with a corrected level of only 70.1% in September 2011.

According to the New York court-appointed trustee James Giddens, the total amount of missing funds that need to be refunded to clients of MF Global is now estimated at USD1.6bn, the Wall Street Journal reports. A total of USD700m located in the United Kingdom have been added to the USD900m in commodities trading in the United States. These USD700m may be at the centre of legal battles with KPMG, which is in charge of overseeing the unwinding of MF Global’s division in the United Kingdom.

Doug Whitman, a hedge fund manager at the Californian asset management firm Whitman Capital, was accused by the FBI on Friday, as part of the Galleon investigation, of making USD900,000 in illegal gains on shares in Google and Polycom between 2006 and 2007 through the use of insider information obtained from Roomy Khan and Karl Motey, who both pled guilty of insider trading in the Galleon case. The Wall Street Journal reports that Whitman was released on bail of USD1.5m, and that the SEC is also filing a civil suit against him.

The enforcement division of the SEC at the beginning of December wrote to several private equity firms as part of an informal investigation, asking them, among other things, how they value their investments, the Wall Street Journal reports. The message did state that the regulator does not necessarily suspect that the recipients are guilty of any infractions of securities regulations.

From 31 January, French asset management firms are required to disclose information about the way in which they integrate environmental, social and governance criteria into their investment policies, L’Essentiel de l’ISR publication from Novethic explains. Whether or not they are involved in SRI, asset management firms must describe their general policies for the integration of ESG criteria on their website by 31 Juy at the latest, and in their 2013 annual reports. This information requirement does not carry sanctions, the monthly periodical states.

The Cantonal bank of Zurich has finished the 2011 fiscal year with net profits of CHF769m, up 5.6% compared with 2010. Net inflows totalled CHF12.3bn, compared with CHF12bn the previous year. The proportion of institutional clients as a part of inflows was CHF9.5bn, while retail accounted for CHF2.8bn, Assets under management rose by CHF11.5bn, to CHF176.6bn.

For the fiscal year ending on 31 December 2011, the listed company AllianceBernstein Holding LP on 10 February announced losses of USD93.26m, comapred with net profits of USD134.16m in 2010. The operating partnership AllianceBernstein LP has posted a net loss of UUSD174.14m, compared with net profits of USD442.42m the previous year.As of 31 December, capital in AllianceBernstein was 37.9% controlled by AllianceBernstein Holding, while Axa held a economic interest representing about 64.4% of the firm.As of the end of last year, AUM totalled USD405.9bn, and were up 1% in one quarter, and down 15.1% on one year.

Overall, assets under management by Franklin Templeton Investments, Invesco, AllianceBernstein and Legg Mason as of the end of January were up by USD76.3bn compared with their levels on 31 December 2011. This increase is not due to equity funds, although that asset class was the one whose assets increased the most at the four asset management firms.At Franklin Templeton Investments, the increase totalled USD34bn in one month, to USD704.3bn. Invesco had USD648.3bn as of the end of January, USD23bn more than at the end of December, while Alliance Bernstein posted an increase of USD15bn to USD421bn. Legg Mason had USD631.3bn as of the end of January, which represents an increase of USD4.3bn compared with their level one month previously.

Philippe Zaouati, deputy CEO of Natixis AM, was appointed on 1 December as head of the working group for socially responsible investment at Efama, the European association of management professionals, the Essentiel de l’ISR periodical from Novethic reports.

In 2011, socially responsible investment mutual funds on sale in France have seen an increase in their assets of nearly 35% or EUR16.6bn, to EUR64.245bn, according to the most recent statistics from Novethic. This growth is due solely to fund conversions, which totalled EUR20bn, of which EUR18bn are for Amundi alone. The French asset management giant is planning to reach EUR50bn in assets under management in SRI eventually. It now has over EUR25bn in this area, making it the leader, far ahead of Natixis AM in second place, with less than EUR10bn. Fund conversions were largely in money markets, totalling nearly EUR15bn. Once again, Amundi led the way with its Amundi Tréso Eonia ISR fund weighing in at EUR13.4bn. Equity funds also benefited from conversions totalling EUR5.3bn. Investors, however, were not as convinced by SRI in 2011, as the sector saw net outflows of EUR1.3bn. Those were largely from equity and money market funds, with net outflows of EUR885m and EUR722m, respectively. However, bond and balanced funds continued to see inflows, with net subscriptions of EUR209m and EUR125m, respectively. Though it is artificial, this growth in SRI in rough markets has allowed the sector to exceed 5% of total assets in French-registered funds for the first time ever. Money market funds, once again, have the most spectacular weight in SRI, with over 10% of assets.

The estimated total volume of requests for proposals to select managers initiated by French institutional investors last year totalled EUR13.5bn, down 55% compared with 2010, according to an annual bfinance survey of 20 asset management firms representing about 80% of institutional delegated assets under management.As of the end of December 2011, long-term assets outsourced by French institutionals to asset management firms, excluding money markets, totalled EUR383bn, This is 4% less than assets which were reassigned last year in the form of requests for proposals, compared with nearly 7% in 2010.The study of requests for proposals also identifies a net change in the distribution of operation volumes by asset class, as 2011 has marked a return of diversified management. One of the most representative investors in this trend is Novalis-Taitbout with a total of EUR3bn. Overall, diversified management represents 33% of total volumes in requests for propsals in 2011, compared with 5% in 2010 and 3% in 2009. However, the percentage of fixed income products in requests issued in 2011 fell to 20%, compared with 76% in 2010.In parallel with this diversified management, equities have made a strong return as a part of requests for proposals (24% by volume, compared with 6% last year), largely thanks to the FRR, which handed out a large part of its European equity portfolio, for a total of EUR3bn overall.Interest in real estate has also increased. The Caisse des dépôts initiated a request for proposals on behalf of Ircantec for an OPCI manager (EUR300m). ERAFP made its first real estate investment with AEW Europe (EUR40m).

In 2011, BlackRock has been the firm to post the largest net inflows in Europe, with EUR14.3bn in assets excluding money market funds, Lipper reports. But excluding ETFs, Frankling Templeton takes the top spot, with EUR12.6bn, most of it in bond funds. The two groups stand out at a time when the European fund sector has seen net redemptions of EUR69.3bn last year. This is the second negative result in 10 years, as the last negative bottom line was in 2008, when outflows totalled EUR298bn. Only 12 markets of the 33 monitored by Lipper posted net inflows. Among them are the United Kingdom (+EUR13.1bn) and Switzerland (+EUR9.8bn). Norway and Sweden are also among the countries that stood out in 2011. However, France is deep in the red, as is Italy. In terms of investment universes, global funds were the most popular in 2011, both for global bond funds (+EUR16.4bn) and global equity funds (+EUR6.3bn). This theme also extended to balanced funds, as flexible funds able to invest in the full spectrum took on EUR12bn.

As on 30 September, Threadneedle has made a clean sweep of the rankings of managers with the largest proportion of funds rated A and B (the top ratings) as of 31 December 2011 from Feri EuroRatings Services (see attached). The British asset management firm places top in five of the seven countries covered by the German ratings agency, and finished third in Switzerland and 4th among “small” asset management firms (with 8 to 24 funds) in Sweden.Among the larger firms, BlackRock takes two second and two third places, while Fidelity finishes second in Italy, and third in France and Austria. The rankings are far more widely dispersed as of the end of December than at the end of September (see Newsmanagers of 8 November 2011). Among the smaller firms, Carmignac ranks second in Italy (75%), third in France (70%), and tenth in Switzerland (50%).

Net subscriptions to ETPs (1,244 ETFs, 544 ETC and ETN products) in Europe totalled USD3.3bn in January, according to BlackRock.This total is exactly equivalent to the inflows to the top three players, as iShares (BlackRock) attracted USD1.7bn, db x-trackers/db ETC (Deutsche Bank) took on USD1.1bn, and Lyxor Asset Mangement (Société Générale) posted inflows of USD0.5bn.Assets at these three major actors were USD113.4bn, USD47.2bn and USD40.7bn, respectively, at the end of last month.

A fin décembre, les fonds classés «développement durable» en Allemagne par Ecoreporter affichaient des actifs de 28,1 milliards d’euros, ce qui représente une contraction de 12 % par rapport à fin 2010, rapporte la Börsen-Zeitung. Le nombre de ces fonds a d’ailleurs diminué à 289 contre 306 douze mois plus tôt.

Depuis la fin du mois de janvier, Robusta, la structure de gestion irlandaise du Fonds de Pensions Nestlé en Suisse, peut investir dans les fonds de Schroders. Pour rappel, 50% des actifs du fonds de pension sont gérés par Nestlé Capital Management (obligations, actions des marchés développés, matières premières, et devises). Alliance Bernstein est le gérant délégataire sur les actions émergentes monde. Allocation stratégique: Liquidités et engagements futurs sur titres: 3,3% Obligations: 13,2% Actions Europe: 13,0% Actions reste du monde: 29,9% Placements privés (private equity): 5,7% Hedge funds et autres placements alternatifs: 20,2% Matières premières (commodities): 8,0% Immobilier (fonds de placement): 6,7% Les investissements en hedge funds du Fonds sont actuellement réalisés à travers trois fonds de fonds, gérés par trois gérants. Un quatrième gérant, Nestlé Capital Management a été engagé en 2011 et reprendra progressivement la gestion de la moitié des placements en hedge funds. De plus la liquidité des fonds de hedge funds de même que leur transparence seront améliorées. L’allocation dynamique entre les différents styles de stratégies (fonds de hedge funds) s’en trouvera ainsi facilitée.

Marcel Kahn, directeur général de la MACSF, dans un entretien paru dans Option Finance numéro 1159: Deux directeurs de gestion, qui ont chacun une vingtaine d’années d’expérience en finance, supervisent en direct la poche obligataire, qui compose la plus importante partie de l’actif, ainsi que les obligations convertibles et les actions. La perte du triple A français n’a pas eu d’effet aujourd’hui sur notre allocation d’actifs. Historiquement, la MACSF s’est toujours focalisée en priorité sur les dettes corporate, essentiellement françaises, qui représentent actuellement 50% des encours (sur un total de 21 milliards d’actifs), sans compter les obligations convertibles (15%). Les emprunts d’Etats représentent moins de 15% du total des encours, dont 4% seulement sur les pays périphériques. Pour la Grèce, nous avons déjà provisionné à hauteur de 60% dans nos comptes. Aujourd’hui, notre démarche reste très opportuniste. Quand nous pouvons réduire le risque sans que cela nous coûte trop cher, nous le faisons. Nous avons pu vendre, par exemple, une partie de nos emprunts irlandais depuis le début de l’année car la situation du pays s’est améliorée. Même si nous avons plutôt envie de nous alléger en dette périphérique, car nous privilégions la sécurité, nous ne bradons pas nos titres qui restent par ailleurs extrêmement rémunérateurs. Depuis la crise, nous investissons peu dans les emprunts souverains, en particulier français car la rémunération est trop faible. De plus, nous ne pouvons pas exclure à l’avenir une remontée des taux: la question est de savoir à quelle vitesse et quand. Les actifs du groupe comportent également une part importante d’obligations indexées sur l’inflation afin de profiter d’une éventuelle reprise à terme de l’inflation, ainsi qu’une part significative d’obligations à taux variable qui offriront un rendement plus important en cas de remontée des taux.

Erick Muller, directeur produits du pôle global fixed income chez JPMorgan AM

Les importations ont affiché une chute record de 15,3% en janvier par rapport à 2011 et l'excédent courant pourrait reculer à 3% du PIB cette année

Christophe Besson, directeur des gestions chez CM-CIC Asset Management

Nicolas Forest, responsable de la stratégie taux de Dexia AM

Le gain pour Athènes serait limité. Mais le retrait de la banque centrale rendrait crédible la menace de clauses d'action collective

Gaëlle Malléjac, responsable de la gestion taux chez Groupama AM

Cette baisse des volumes, à 13,5 milliards d’euros en 2011, s’explique par un recul des mandats obligataires, par nature de taille importante

Les gérants institutionnels ont assisté à une nette contraction du volume des appels d’offres lancés en France en 2011. Après un niveau record enregistré en 2010, le volume des mandats de gestion remis en concurrence a chuté de 55% à 13,5 milliards d’euros, selon une étude bfinance.

Le rapporteur du texte veut rétablir l’interdiction des «notations non sollicitées» sur les titres souverains européens, abandonnée par Bruxelles

Le normalisateur comptable international souhaite que les normes soient appliquées de la façon la plus cohérente possible

Jean-Marie Mercadal, directeur des gestions d’OFI AM