Analyse/db x-trackers db Hedge Fund Index UCITS ETF

Die Performance-Bilanz zeigt es immer wieder: Hedgefonds können nicht auf Wasser gehen. Dieser Alternatives ETF bietet allerdings einen liquiden Zugang zu einem ansonsten illiquiden Marktsegment.

Ben Johnson 13.06.2014

Rolle im Portfolio

The appeal of hedge fund strategies is that they seek to produce uncorrelated returns, making them a potential portfolio diversifier. To this effect, the db x-trackers Hedge Fund Index has had a solid track record. According to Deutsche Bank data, the index posted annualised returns of 2.38% for the five year period ending 31 May 2014. This significantly lags respective annualised returns of 14.48% and 17.79% for the MSCI World and S&P 500 total return indices over this same period. However, the index achieved these returns while exhibiting a level of volatility similar to treasury securities and representing a fraction of that experienced in commodity and equity markets. Add in low correlations with most broad asset classes and the index (and, by proxy, the ETF) has the potential to be a solid diversifier comprising a small portion of a balanced asset allocation.

Compared to a direct hedge fund investment, this ETF is ultra liquid. Many hedge fund investors who tried to pull their investment during the market malaise in 2007-2008 had invested with managers that had reserved the right to suspend redemptions or had pre-specified lock-up periods. An ETF boasting intraday liquidity is an attractive alternative to those fretting over such barriers to entry and exit.

An investment in this ETF is not for everyone. On the plus side, it offers easy access to a strategy that has proven its worth as a diversifier in a balanced portfolio. On the minus side, it is costly and lacks the level of transparency that is one of the hallmarks of the ETF category. Ultimately, we think that this fund can play a steady role in a balanced portfolio for those willing to accept its cost, risks and limitations.

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Über den Autor

Ben Johnson  Ben Johnson is Morningstar’s Director of European ETF Research.

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