Stone Mountain Capital Alternatives Market Update Vol. 53

May, 2017

Global Hedge funds maintained their performance momentum and finished in "greens" in May, reaching the fifth consecutive positive month in 2017 and the 14th positive out of the last 15 months. The theme remains the same so far for hedge funds with event-driven and credit/fixed income strategies performing well for their investors, whereas macro and CTA strategies continue to disappoint despite big asset inflows. Equity hedge strategies had their first down month after a strong start in 2017. According to Preqin, the hedge fund industry attracted nearly $20bn in Q1 and active management is still alluring institutional attention, with "big" pension, insurance and endowment players looking for alternatives exposure across both liquid and illiquid asset classes. The landscape for private debt and equity remains the same as last year, with direct lending not being an emerging asset class anymore, but rather an established market ready to compete with other private debt and equity strategies, especially in the middle-market area. The recent yield compression favoured direct lending and distressed debt opportunities, and further bank consolidation may boost their fundraising activities. The same forces led to record fundraising for private equity firms in Europe as investors are looking for high returns amid a low-yielding environment. The recent crowding in alternative strategies makes the manager selection an important task for every investor that is looking to navigate the alternatives space. Finally, Bitcoin reached all-time high levels over $2750 in the last week of May with a market capitalisation of over $40bn before consolidating to $2000. 

Credit/Fixed Income Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Credit Strategy Index

2.71%

8.66%

3.94%

4.87

1.04

Credit Suisse Fixed Income Index

2.67%

5.19%

5.16%

0.62

-0.27

HFRX Credit/Fixed Income Index

1.57%

5.79%

5.29%

0.71

-0.26

UAIX Fixed Income-Global (UCITS)

0.81%

5.78%

4.57%

1.26

1.94

BofA ML US Corporate Master Index

2.84%

7.53%

6.39%

0.86

-0.15

Equity Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Equity Strategy Index

5.56%

11.02%

11.66%

0.82

0.26

Credit Suisse L/S Equity Hedge Index

4.90%

8.70%

9.10%

0.74

-0.05

HFRX Equity Hedge Index

3.35%

5.31%

7.95%

0.41

-0.20

UAIX L/S Equity (UCITS)

1.35%

6.62%

5.38%

1.23

1.88

S&P 500

6.49%

7.36%

14.36%

0.37

-0.09

Tactical Trading Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Tactical Trading Strategy Index

4.21%

22.16%

19.91%

1.40

0.97

Credit Suisse Global Macro Index

-0.35%

9.90%

8.86%

0.89

0

HFRX CTA Index

-1.33%

3.68%

9.44%

0.17

-0.24

HFRX RV Volatility Index

2.18%

4.67%

4.61%

0.57

-0.42

CBOE Eurekahedge RV Volatility Index

2.09%

9.22%

3.72%

1.93

-0.36

UAIX CTA (UCITS)

-3.31%

7.41%

11.10%

0.67

1.05

Fund of Hedge Funds Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC FoHF Strategy Index

4.18%

6.40%

7.16%

0.63

-0.08

HFRI FoHF Index

3.09%

6.68%

5.51%

0.84

-0.34

UAIX Multi-Strategy (UCITS)

4.03%

5.32%

4.78%

1.11

1.56

SMC Single Manager Cross-Asset Index

3.89%

13.88%

11.25%

2.73

0.84

SMC Cross-Asset Index

3.91%

13.35%

10.95%

2.58

0.77

Stone Mountain Capital In-House Indices vs. Major Benchmark Indices Hedge Funds and Long Only  

As Per YTD April 2017,  Stone Mountain Capital Research

SMC strategy indices are not investable products but are used as indication of our managers' performance and are calculated with the equally-weighted method.  
 

Stone Mountain Capital's credit/fixed income strategy performed better in April than its peers in the hedge fund space, losing out only to BofA US corporate index, but is still performing better overall so far in 2017. Our equity hedge managers are enjoying a strong year and they occupy three out of the five positions in the top-5 table. The best performing strategy comes from the tactical trading bucket and is a cryptocurrency manager who is looking to exploit the movements in bitcoin price, with its performance in 2017 being +25.66%. Our tactical trading strategies outperformed their hedge fund peers, and are enjoying a really good year while the industry is struggling so far. Finally, fund of hedge funds overcame last year's struggles and they are cruising towards a really profitable year for them, with the equity and global macro strategy being the third best performing strategy year to date.

Subscribers can login to read the full report here https://www.thehedgefundjournal.com/stonemountaincapital.