Macro Tsimmis

intelligently hedged investment

Macro Strategy Hedge Funds Dominate 2011 Top List

Posted by intelledgement on Mon, 30 Jan 12

Business Insider ran profiles of the top-25-performing hedge funds of 2011 (through October) earlier this month. The most numerous of the top dogs were Macro Strategy funds; seven of them made the list. The second most common category among the top 25 was Long/Short Equities, with five funds employing that strategy making the list. Quantitative, Fixed Income, and Multi strategies were each used by three funds on the list. And one fund made the list using each of the following strategies: Managed Futures, Mortgage-backed Arbitrage, Commodities, and Tail Risk.

Here is the complete list:

Fund Strategy AUM     ROI
Tiger Global Long/Short $6.0 45.0%
Renaissance Institutional Equities Quantitative $7.0 33.1%
Pure Alpha II Macro $53.0 23.5%
Discus Managed Futures Program Managed Futures $2.5 20.9%
Providence MBS Mortgage-backed arbitrage $1.3 20.5%
Oculus Multistrategy $7.0 19.0%
All Weather 12% Macro $4.4 17.8%
Dymon Asia Macro Macro $1.6 17.8%
Citadel Multistrategy $11.0 17.7%
Coatue Capital Management Long/Short $4.7 16.9%
Stratus Multi-Strategy Program Multistrategy $3.7 16.6%
OxAM Quant Fund Quantitative $2.0 16.4%
SPM Core Fixed Income $1.0 15.7%
Pure Alpha I Macro $11.0 14.9%
Autonomy Global Macro Macro $2.1 13.9%
BlackRock Fixed Income Global Alpha Fixed Income $1.6 13.5%
SPM Structured Servicing Holdings Fixed Income $1.6 13.5%
GSA Capital International Quantitative $1.0 13.0%
JAT Capital Long/Short $2.5 12.7%
Brevan Howard Master Macro $26.4 10.8%
MKP Opportunity Offshore Macro $1.2 10.7%
Paulson Gold Commodities $1.2 9.8%
Cerberus International Distressed $1.2 8.9%
Capula Tail Risk Tailrisk $2.3 8.6%
Macquarie Asian Alpha A Long/Short $1.6 8.6%
Tiger Asia Long/Short $1.3 8.6%

AUM = Assets under management in billions of US dollars.

ROI = Return-on-investment for the first ten months of 2011

Source = Business Insider

Notably absent from the list were Merger Arbitrage strategy funds—hardly surprising given the lack of action in that arena in 2011—and their close cousins, Event-Driven strategy funds.

The performance of those funds that did make the list is particularly noteworthy in view of the fact that overall, 2011 was a tough year for hedge funds. According to preliminary (full-year) data from Greenwich Alternative Investments, the average hedge fund was down 4% in 2011, significantly underperforming the market, which was flat.

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