Hedge Funds, Financial Stability and Market Integrity List of tables

Submission to the House of Representatives Standing Committee on Economics, Finance and Public Administration

Table 1: Flows Into and Out of Hedge Funds

Table 2: Hedge Fund Returns

Table C1: Calculating Potential Future Exposure

Table C2: Calculating Total Exposures (‘Rule-of-thumb’ Approach)

Table 1: Flows Into and Out of Hedge Funds(a)
October US$ m November US$ m December US$ m January US$ m February US$ m March US$ m
Event driven −227 −11 −77 −1,461 36 −20
Global emerging – −63 −44 −41 −3 −20
Global established 392 81 64 −2,254 124 244
Global international −386 −203 −635 3,785 483 −7
Global macro 998 −3,625 −690 217 −163 −50
Market neutral −81 −420 −407 −718 64 405
Short sellers 70 −31 −30 −12 34 24
Fund of funds −437 −353 −322 −1,975 542 21
330 −4,625 −2,141 −2,459 1,116 735

Source: Mar/Hedge Monthly reports.
(a) According to Mar/Hedge's terminology, event driven funds focus on opportunities arising from one-off situations; global emerging funds focus on less mature financial markets; global established funds focus on established markets in the US, Europe and Japan; global international funds focus on non-US stocks: global macro funds invest opportunistically in all markets; market neutral funds attempt to neutralise market risk through the use of long and short positions; short sellers attempt to sell overvalued securities, then buy them back at a lower level; and funds of funds allocate capital among different funds.

Table 2: Hedge Fund Returns
1998
Annual		 1998 1999 March
Oct Nov Dec Jan Feb Mar 5th
%ile		 95th
%ile
Event driven 3.1 0.8 1.7 1.7 1.3 −0.2 0.5 9.9 −2.4
Global emerging −31.1 0.9 4.9 −0.7 −1.2 0.1 4.3 23.4 −3.4
Global established 7.3 2.3 4.5 4.0 2.7 −2.6 1.4 13.1 −6.9
Global international 4.3 0.2 3.4 2.3 2.0 −0.1 1.8 9.1 −8.4
Global macro 3.7 −2.1 2.8 2.6 1.2 −0.7 −0.2 8.3 −9.4
Market neutral 5.1 0.0 1.3 1.2 1.2 0.7 0.2 6.0 −5.9
Short sellers 4.3 −9.6 −6.0 −4.0 −5.3 9.8 −0.4 4.0 −21.1
Fund of funds 0.4 −0.4 1.5 1.3 1.4 −0.2 0.8 6.2 −2.6
S&P500 26.7 8.0 5.9 5.6 4.1 −3.2 3.9    

Source: Mar/Hedge reports. See Table 1 for a definition of categories.

Table C1: Calculating Potential Future Exposure
(percentage of notional principal)
Residual Maturity Interest
Rate		 Exchange Rate
and Gold		 Equity Precious
Metals (except gold)		 Other
Commodities
One year or less 0.0 1.0 6.0 7.0 10.0
Over one year to five years 0.5 5.0 8.0 7.0 12.0
Over five years 1.5 7.5 10.0 8.0 15.0
Table C2: Calculating Total Exposures (‘Rule-of-thumb’ Approach)
(percentage of notional principal)
Original Maturity Interest Rate Contracts Other Contracts
One year or less 0.35 1.5
Over one year to two years 0.75 3.75
For each additional year 0.75 2.25