Deutsche Bank's asset wealth management (AWM) group has provided their model portfolio for 2015. It generates an interesting look into one group's view of where hedge fund performance will be going. From these weights, there is implied view of the markets. You may not agree with their portfolio logic but it gives a baseline for discussion.
Equity long/short and equity market neutral strategies are net long relative to their equilibrium allocations. This tells me that the AWM group believes equity markets are not going to be great performers, but you want to have a good exposure to this core strategy. Discretionary macro is showing a positive excess allocation yet managed futures (CTA's) is neutral with just a slight upward bias. This is odd given the strong relative performance of CTA's versus their discretionary counterparts over the last year. Allocators still seem to have issues with following trends even when performance is good. There is still a bias toward the discretionary managers. The big loser is distressed which gets a zero allocation. Credit and event driven are both slightly lower than the equilibrium level.
Avoid credit, distressed, and event strategies and hold more market neutral and discretionary macro styles. This sounds like a defensive strategy which will assumes slower growth, full pricing of credit, and the chance of a lower returns relative to equity and bond benchmarks over the last three years. If there is macro risk, it seems like there should be more managed futures in the portfolio. You want low or negative correlation to equities given their implied view.
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