6 Hedge Fund ETFs for Average Investors
07/17/2011 0 comments
This weekend's Barron's has an article Hedge-Fund Strategies for the Masses that discussed the following ETFs:
| WisdomTree Managed Futures Strategy | (WDTI) |
| Credit Suisse Merger Arbitrage Liquid Index ETN | (CSMA) |
| Cambria Global Tactical ETF | (GTAA) |
| Credit Suisse Long/Short Liquid ETN | (CSLS) |
Regular readers might be familiar with our report published on SeekingAlpha 5 Hedge Fund ETFs to Watch. These ETFs are monitored weekly on our ETFs in asset classes page.The following shows the performance table:
As of 07/15/2011
| Description | Symbol | 1 Yr | 3 Yr | 5 Yr | Avg. Volume(K) | 1 Yr Sharpe |
|---|---|---|---|---|---|---|
| IQ Hedge Multi-Strategy | QAI | 5.2% | NA | NA | 30 | 130.52% |
| Credit Suisse Merger Arbitrage | CSMA | NA | NA | NA | 28 | NA |
| Mars Hill Global Relative Value | GRV | -13.38% | NA | NA | 10 | -101.0% |
| PowerShares S&P 500 BuyWrite | PBP | 4.27% | -1.32% | NA | 31 | 74.32% |
| ProShares Credit Suisse 130/30 | CSM | 20.51% | NA | NA | 19 | 146.25% |
| Cambria Global Tactical ETF | GTAA | NA | NA | NA | 53 | NA |
Cambria Global Tactical ETF (GTAA) was just recently added to the table. This ETF is managed by Mebane Faber and Eric Richardson, authors of The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets.
Mebane Faber is no stranger to MyPlanIQ's strategies. Our tactical asset allocation strategy bears some similarity with some ideas proposed in his articles. It is thus interesting to undestand more on this ETF.
Based on Barron's, GTAA's neutral allocation is 20% in five categories: real estate, commodities, bonds, U.S. stocks and foreign stocks. These five assets are part of our six core asset classes (other than emerging market stocks). The fund holds about 80 ETFs. Let's compare it with our simplest Six Core Asset ETFs Tactical Asset Allocation Moderate Portfolio.
Portfolio Performance Comparison
| Portfolio/Fund Name | 2010 | 2011 | 2011 Sharpe | 2011 Drawdown |
|---|---|---|---|---|
| GTAA | 1.96% | 2.19% | 0.46 | 6.1% |
| Six Core Asset ETFs Tactical Asset Allocation Moderate | 9.27% | 4.25% | 0.49 |
4.6% |
| S&P 500 (SPY, SPX) | 14.58% | 5.7% | 0.84 | 6.9% |
Since GTAA was started on 10/26/2010, the comparison in 2010 is not meaningful. Furthermore, with the fund's $184 million asset size, it is understandable that it tries to invest in many ETFs for diversification purpose.
Since all of these hedge funds are very new, investors need to monitor these for a while to fully understand how they behave. However, with its simplicity and long history of practice in wealth management, we have confidence on GTAA's future.
Symbols: SPX, DJI, GTAA, QAI, CSMA, CSM, GRV, PBP, Hedge Funds
Exchange Tickers: (GTAA), (QAI), (CSMA), (CSM), (GRV), (PBP), (SPY)
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