1. ‫3102/11/4‬
‫סקירה מאקרו כלכלית‬
‫בראי קרנות הגידור‬
‫1‬

2. 4/11/2013
HF Indices Fixed Income
/Credit
Rates/GDP/ Budget Equities
Macro
Analysis
General Correlation
Flows
Fixed Income
/Credit
Flows Default Rates (Global, US and Europe)
Corporate Issuance
Sovereign debt/IG/HY Yields and Spreads
Total Investment Grade and Speculative
Grade Debt Maturing By Year
HF Indices Equities
Macro
Analysis
Correlation
Rates/GDP/ Budget
General
2

3. 4/11/2013
US 10 Years Govt. Bond Yield
• 94% of US Investment Grade Bonds returns since 1990 is attributed to the decline in US treasury yields
• 72% of US High Yield Bonds returns since 1990 is attributed to the decline in US treasury yields.
With rates now near zero, there is less income and limited room for underlying rates to rally further
US High Yield Index Par weighted Price
87%
78%
3

4. 4/11/2013
FI/Credit
HF Indices
Equities
US Equities
European Equities
EM Equities
Rates/GDP/ Budget S&P 500 P/E Ratio
Macro S&P 500 Earning Yield
Large, Mid and Small Cap
Analysis Sectors
Style
General Correlation
Flows
S&P 500 P/E Ratio
4

5. 4/11/2013
Flows FI/Credit
HF Indices Equities
Macro
Analysis
Correlation
Rates/GDP/ Budget S&P 500 Member
30 days rolling correlation
S&P 500 Member
65 days rolling correlation
General
S&P 500 Member 65d Rolling Correlation
5

6. 4/11/2013
HF Indices FI/Credit
Equities
Rates/GDP/ Budget
Macro
Analysis
General Correlation
Flows
Money Market Mutual Funds
US Equity Mutual Funds
US Bond Mutual Funds
New Cash Flow to US Equity Mutual Funds (Million USD)
6

7. 4/11/2013
New Cash Flow to Equities Long Only
New Cash Flow to US Bond Mutual Funds (Million USD)
7

8. 4/11/2013
?‫איפה להשקיע‬
1/1994-12/2012 ‫קרנות גידור מול מניות ואג"ח מדורגות‬
400
350
300
Accumulated Returns (%)
250
200
150
100
50
0
12/93 12/95 12/97 12/99 12/01 12/03 12/05 12/07 12/09 12/11
-50
S&P 500 w/ dividends DJCS Hedge Fund Index US Investment Grade Bonds
8

9. 4/11/2013
‫מאפייני קרן הגידור‬
‫קרן השקעה‬ ‫חלק מההון‬ ‫אוסף‬ ‫כלי השקעה‬ ‫הקטנת‬ ‫אלפא‬
‫פרטית‬ ‫המושקע‬ ‫כישרונות‬ ‫מתוחכמים‬ ‫סיכון השוק‬ ‫על השוק‬
‫שייך לבעלים‬
Hedge Fund’s Strategies
Emerging Global Equity Market Dedicated Long /Short
Markets Macro Natural Shorts Equity
Fixed Income Distressed Event Convertibles Merger
Arbitrage Securities Driven Arbitrage Arbitrage
9

10. ‫3102/11/4‬
‫‪Long/Short Equity Strategy‬‬
‫מזהה חברה פוטנציאל‬
‫מזהה חברה בקשיים‬
‫צמיחה גבוה‬
‫‪Short‬‬ ‫‪Long‬‬
‫מכירה בחסר של‬ ‫קניית מניית החברה‬
‫מניית החברה‬
‫מדוע חשובה אלפא גבוהה ובטא נמוכה?‬
‫תשואת תיק‬
‫השקעות‬ ‫‪=α+ β‬‬ ‫‪x‬‬ ‫מדד‬
‫השוק‬
‫01‬

11. 4/11/2013
?‫האם התשואה מגיעה מאלפא או מביטא‬
300
250
270%
Accumulated Returns (%)
200
150
144%
100
50
0
S&P500: 25.50%
-50
-100
12/00 7/01 2/02 9/02 4/03 11/03 6/04 1/05 8/05 3/06 10/06 5/07 12/07
Fund A Fund B S&P 500 w/ dividends
?‫האם התשואה מגיעה מאלפא או מביטא‬
300
250
270%
200
150 Fundamental Value
100
A Concentrated
L/S
144%
Trading
B
50
Oriented
0 L/S
S&P500: 25.50%
-50
-100
C
12/00 7/01 2/02 9/02 4/03 11/03 6/04 1/05 8/05 3/06 10/06 5/07 12/07
Fund A Fund B S&P 500 w/ dividends
11

12. 4/11/2013
36 Rolling Months Beta/Alpha
A
Decreasing Alpha, High Beta
Lehman Brothers collapse
A
B
C
12

13. 4/11/2013
Example: W Investment Limited Fund
Track record since inception
W Investment Limited Fund VS S&P 500 W/D
Accumulated Returns (%)
W Investment S&P 500 W/ Dividends
13

14. 4/11/2013
Thank YoudLtd.
Contact Us:
Tel : +972-9-9614800
Cell : +972-54-2045250 (Maya Sade)
E-Mail : maya@bspfunds.com
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