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  • 2017 PREQINALTERNATIVE ASSETSPERFORMANCE MONITOR

    alternative assets. intelligent data.

    Private Equity Private Debt Real Estate Infrastructure Natural Resources Hedge Funds

    ISBN: 978-1-912116-03-4$175 / 125 / 150www.preqin.com

    SAMPLE PAGES

  • CONTENTS

    The data behind all of the charts featured in the Report is available to purchase in Excel format. Ready-made charts are included that can be used for presentations, marketing materials and company reports.

    To purchase the data pack, please visit: www.preqin.com/pm

    DATA PACK FOR THE 2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR

    Preqin Ltd. 2017 / www.preqin.com2

    2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

    CEOs Foreword - Mark OHare 3

    SECTION ONE: THE 2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR

    Alternative Assets Performance Monitor: In Numbers 6Data Sources and Methodology 7Reasons to Contribute Data 11Performance Overview of Alternative Assets 12Investor Outlook on Alternatives Performance 13

    SECTION TWO: PRIVATE CAPITALPrivate Capital Assets under Management 16Performance Overview of Private Capital Funds 17PrEQIn - Private Equity Quarterly Index 19Private Capital Horizon IRRs 20The Importance of PME Benchmarking 21Kaplan-Schoar Public Market Equivalent - KS PME by Region

    22

    Kaplan-Schoar Public Market Equivalent - KS PME by Fund Type

    23

    Long-Nickels Public Market Equivalent - LN PME 24PME+ 25Emerging Managers 26

    SECTION THREE: PRIVATE EQUITYPrivate Equity Assets under Management 28Performance Overview of Private Equity Funds 29Private Equity Funds to Watch 36Buyout 37Growth 42Secondaries 45Fund of Funds 48Venture Capital 51

    SECTION FOUR: PRIVATE DEBTPrivate Debt Assets under Management 58Performance Overview of Private Debt Funds 59Direct Lending 61Distressed Debt 62Mezzanine 64

    SECTION FIVE: REAL ESTATEReal Estate Competition: Opportunities and Challenges for Managers - Craig A. Spencer, Arden Group

    68

    Real Estate Assets under Management 69Performance Overview of Real Estate Funds 70Core/Core-Plus 76Value Added 77Opportunistic 79Debt 80Open-Ended Funds 81

    SECTION SIX: INFRASTRUCTUREPerformance Overview of Infrastructure Funds 84

    SECTION SEVEN: NATURAL RESOURCESPerformance Overview of Natural Resources Funds 88Top Performing Natural Resources Funds 89

    SECTION EIGHT: HEDGE FUNDSHedge Fund Assets under Management 92Hedge Fund Asset Flows 94How Fintech Will Transform the Financial Services Industry - Manuel Anguita, Silver 8 Capital

    95

    Overview of Hedge Fund Performance 96Hedge Fund Benchmarks 98Top Performing Hedge Funds 100Top Performing Hedge Funds by Region 102Top Performing Hedge Funds by Size 104Most Consistent Top Performing Hedge Funds 106Equity Strategies Funds 110Macro Strategies Funds 112Event Driven Strategies Funds 114Credit Strategies Funds 116Relative Value Strategies Funds 118Multi-Strategy Funds 120Niche Strategies Funds 122Funds of Hedge Funds 123CTAs 125Liquid Alternatives 127

    SECTION NINE: GLOSSARYGlossary 130

  • Preqin Ltd. 2017 / www.preqin.com6

    ALTERNATIVE ASSETS PERFORMANCE MONITOR:IN NUMBERS

    $4.59tnPrivate capital AUM has increased by 7%

    since December 2015 to reach $4.59tn as at December 2016.

    $3.35tnHedge fund AUM stands at $3.35tn as at

    June 2017.

    581Number of unique fund managers that

    feature in the league tables this year.

    353PrEQIn Private Equity Index reached its highest point (353 index points) in

    December 2016*.

    14.8%Real estate funds achieved average

    positive returns across all vintages, with a net IRR of 14.8% for 2013 vintage funds.

    10.90%12-month net return generated by hedge funds to June 2016.

    RETURNS BY ASSET CLASS

    167.6%Median DPI generated by vintage 2004

    infrastructure funds.

    130PrEQIn Natural Resources Index (130)

    surpassed the S&P Global Oil Index TR (88) by 42 index points in December 2016*.

    9 YearsThe typical venture capital fund takes

    nine years to return LP capital.

    INVESTOR PERCEPTIONS

    25%of real estate investors

    interviewed in June 2017 reported that the performance of their portfolios has exceeded expectations over the past year.

    62%of private debt investors plan to increase their allocation to the asset class over the longer

    term.

    50%of natural resources investors believe performance has fallen short of expectations over the

    past three years.

    33%of hedge fund investors expect

    their portfolios to perform better in the next 12 months

    than in the past year.

    *Index rebased to 100 as of 31 December 2007.

    1. INTRODUCTION2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

  • Alternative assets have attracted institutional capital at unprecedented rates in recent years, with private capital assets under management (AUM) growing to an estimated $7.8tn as at December 2016. Among the many catalysts for the boom in alternatives have been the low correlation to traditional markets, attractive risk-adjusted returns and ever-increasing transparency in many areas of the industry. Although the objectives within each alternatives strategy can vary, positive performance that moves towards achieving these goals will define investor sentiment and confidence moving forward.

    In June 2017, Preqin conducted more than 100 interviews with global institutional investors to understand their views of the alternatives industry moving into the second half of 2017 and beyond. Institutional investors increasing allocations to alternatives have been driven by the push for strong returns, which could not be achieved without increased exposure to the space. On such a large scale, diversification away from traditional markets and debt instruments played and continues to play a vital role in investing to meet the liabilities of insurance companies, pension funds, endowment plans and other

    organizations that participate in private markets.

    KEY CONCERNSPerformance ranked among the top two key concerns for investors in two out of seven asset classes tracked by Preqin hedge funds and natural resources compared with investors in five of six asset classes at the same time last year. Concerns centred greatly around pricing, valuations and deal flow in the industry at large, although performance was cited as at least the third most pressing concern in all seven alternative asset classes surveyed in 2017. Performance is the key concern

    INVESTOR OUTLOOK ON ALTERNATIVES PERFORMANCE

    86%

    51%57%

    45%

    72%

    36%

    59%50%

    34% 34%

    69%

    56%

    0%10%20%30%40%50%60%70%80%90%

    100%

    Pric

    ing/

    Valu

    atio

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    Perf

    orm

    ance

    Pric

    ing/

    Valu

    atio

    ns

    Perf

    orm

    ance

    Fees

    Private Equity Private Debt Real Estate Infrastructure Natural Resources Hedge Funds

    Source: Preqin Investor Interviews, June 2017

    Prop

    ortio

    n of

    Res

    pond

    ents

    Fig. 1.5: Top Two Key Issues for Investors in Alternatives by Asset Class (Proportion of Respondents in Each Asset Class)

    1. INTRODUCTION

    alternative assets. intelligent data.

    13

    11% 8% 6% 6%

    30%

    55%

    67% 80%70% 73%

    56%

    37%

    22%12%

    25% 21%15% 8%

    0%

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    30%

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    Priv

    ate

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    Infr

    astr

    uctu

    re

    Nat

    ural

    Reso

    urce

    s

    Hed

    ge F

    unds

    ExceededExpectations

    MetExpectations

    Fallen Short ofExpectations

    Source: Preqin Investor Interviews, June 2017

    Prop

    ortio

    n of

    Res

    pond

    ents

    Fig. 1.6: Investors Perception of the Performance of Alternative Asset Classes over the Past 12 Months

    8% 6% 9% 12%

    50%

    70%55%73%

    56%67%

    42%20%38%

    21%35%

    21%8% 10%

    0%

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    Priv

    ate

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    Infr

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    uctu

    re

    Nat

    ural

    Reso

    urce

    s

    Hed

    ge F

    unds

    ExceededExpectations

    MetExpectations

    Fallen Short ofExpectations

    Source: Preqin Investor Interviews, June 2017

    Prop

    ortio

    n of

    Res

    pond

    ents

    Fig. 1.7: Investors Perception of the Performance of Alternative Asset Classes over the Past Three Years

    2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

  • Preqin Ltd. 2017 / www.preqin.com51

    VENTURE CAPITAL

    KEY FINDINGS Early to mid-1990s vintage funds

    performed significantly well, with notable median net IRRs of 31.7% and 31.9% for 1993 and 1997 vintages respectively (Fig. 3.64). There was a significant drop in performance between vintage 1997 and 1998 funds, which could be attributed to the dot-com bubble.

    A decade of poor performance is reflected by the fact that 2003 is the last vintage for which the median venture capital fund has a DPI

    of above 100% there are signs, however, that surpassing this target could be achieved by funds of more recent vintages, with median TVPIs exceeding 100% for funds of vintage 2006-2014 (Fig. 3.65).

    J-curves show the long-term nature of venture capital investments, with median IRRs taking between five and 10 years to emerge out of negative territory (Fig. 3.66).

    As seen in Fig. 3.67, the typical venture capital fund takes nine years to return LP capital, indicative of the

    long-term nature of LP investments in venture capital funds, modelled using Preqins cash flow data.

    Fig. 3.68 illustrates why a GPs track record is an important indicator for LPs, as consistency is seen among strong and poor performers: 67% of top-quartile funds are followed on by a top- or second-quartile fund. The same proportion of bottom-quartile funds are followed by below-average performance. Standard deviation of net IRRs across vintages is generally high for venture capital funds

    -50%

    -40%

    -30%

    -20%

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    0%

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    0 1 2 3 4 5 6 7 8 9 10 11 12 13

    Vintage 2004

    Vintage 2005

    Vintage 2006

    Vintage 2007

    Vintage 2008

    Vintage 2009

    Vintage 2010

    Vintage 2011

    Vintage 2012

    Vintage 2013

    Vintage 2014

    Source: Preqin Venture Capital Online

    Net

    IRR

    sinc

    e In

    cept

    ion

    Investment Year

    Fig. 3.66: Venture Capital - J-Curve: Annual Median Net IRRs by Vintage Year

    -20%

    -10%

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    80%

    1981

    1983

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    1993

    1995

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    1999

    2001

    2003

    2005

    2007

    2009

    2011

    2013

    Top Quartile NetIRR Boundary

    Median Net IRR

    Bottom QuartileNet IRR Boundary

    Source: Preqin Venture Capital Online

    Net

    IRR

    sinc

    e In

    cept

    ion

    Vintage Year

    Fig. 3.64: Venture Capital - Median Net IRRs and Quartile Boundaries by Vintage Year

    -6

    -5

    -4

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    -2

    -1

    0

    1

    2

    3

    4

    1 2 3 4 5 6 7 8 9 10 11 12 13

    AnnualizedContribution

    AnnualizedDistribution

    Net CashFlow

    Source: Preqin Venture Capital Online

    Cont

    ribut

    ions

    /Dis

    trib

    utio

    ns/N

    et C

    ash

    Flow

    ($

    mn)

    Investment Year

    Fig. 3.67: Venture Capital - Annual Contributions and Distributions with Net Cash Flow (LP with a $10mn Commitment)

    0%

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    300%

    1980

    1982

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    1990

    1992

    1994

    1996

    1998

    2000

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    2010

    2012

    2014

    2016

    Residual Valueto Paid-inCapital (%)

    Distributed toPaid-in Capital(%)

    Called-up toCommitedCapital (%)

    Source: Preqin Venture Capital OnlineVintage Year

    Fig. 3.65: Venture Capital - Median Called-up, Distributed and Residual Value Ratios by Vintage Year

    3. PRIVATE EQUITY2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

  • Preqin Ltd. 2017 / www.preqin.com64

    MEZZANINE

    KEY FINDINGS Mezzanine funds have exhibited

    fairly consistent IRRs, with standard deviation below 9% for most vintages displayed (excluding 2009, Fig. 4.21).

    Fig. 4.22 further illustrates the low spread of data, with 70% of funds having deviated fewer than five percentage points either side of the median IRR.

    Median and money-weighted returns show consistent net IRRs fluctuating around the 10% figure (Fig. 4.23).

    As seen in Fig. 4.24, the average mezzanine fund takes between eight and nine years for the net cash flow to LP to become positive (all capital paid into the fund has been distributed back to investors).

    According to Preqins latest investor survey, the largest proportion (48%) of investors see mezzanine funds presenting the best risk/return profile for all private debt fund strategies currently.

    0%

    2%

    4%

    6%

    8%

    10%

    12%

    14%

    16%

    18%

    2000

    2001

    2002

    2003

    2004

    2005

    2006

    2007

    2008

    2009

    2010

    2011

    2012

    2013

    Median NetIRR

    Money-WeightedNet IRR

    Source: Preqin Private Debt Online

    Net

    IRR

    sinc

    e In

    cept

    ion

    Vintage Year

    Fig. 4.23: Mezzanine - Median and Money-Weighted Net IRRs by Vintage Year

    -6

    -5

    -4

    -3

    -2

    -1

    0

    1

    2

    3

    4

    1 2 3 4 5 6 7 8 9 10 11 12 13

    AnnualizedContribution

    AnnualizedDistribution

    Net Cash Flow

    Source: Preqin Private Debt Online

    Cont

    ribut

    ion/

    Dis

    trib

    utio

    n/N

    et C

    ash

    Flow

    ($

    mn)

    Investment Year

    Fig. 4.24: Mezzanine - Annual Contributions and Distributions with Net Cash Flow (LP with $10mn Commitment)

    0%

    2%

    4%

    6%

    8%

    10%

    12%

    14%

    2000

    2001

    2002

    2003

    2004

    2005

    2006

    2007

    2008

    2009

    2010

    2011

    2012

    2013

    StandardDeviation ofNet IRR

    Median NetIRR

    Source: Preqin Private Debt OnlineVintage Year

    Fig. 4.21: Mezzanine - Risk/Return by Vintage Year

    0.4% 2%3% 2%

    8%

    35% 35%

    8%

    3%1% 1% 1%

    0%

    5%

    10%

    15%

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    25%

    30%

    35%

    40%

    Les

    s tha

    n -2

    5

    -25

    to -2

    0.1

    -20

    to -1

    5.1

    -15

    to -1

    0.1

    -10

    to -5

    .1

    -5 to

    -0.1

    0 to

    4.9

    5 to

    9.9

    10

    to 1

    4.9

    15

    to 1

    9.9

    20

    to 2

    4.9

    25

    or G

    reat

    er

    Source: Preqin Private Debt Online

    Prop

    ortio

    n of

    Fun

    ds

    Net IRR Percentage Point Difference from Median Benchmark

    Fig. 4.22: Mezzanine - Net IRR Deviation from Median Benchmark

    4. PRIVATE DEBT2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

  • 5. REAL ESTATE

    alternative assets. intelligent data.

    69

    REAL ESTATE ASSETS UNDER MANAGEMENT

    132 166 170 179 152 167 138206 196 229 239

    146

    245 232 219 303403 464

    511 561579 545

    0

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    UnrealizedValue ($bn)

    Dry Powder($bn)

    Source: Preqin Real Estate Online

    Ass

    ets

    unde

    r Man

    agem

    ent (

    $bn)

    Fig. 5.1: Closed-End Private Real Estate - Assets under Management, 2006 - 2016

    0

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    Annual Called-up Annual Distributed Unrealized Value

    Source: Preqin Real Estate Online

    Capi

    tal C

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    d-up

    /Dis

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    ($bn

    )

    Unrealized Value ($bn)

    Fig. 5.2: Closed-End Private Real Estate - Annual Capital Called-up, Distributed and Unrealized Value

    0

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    Core

    Core-Plus

    Distressed

    Debt

    Opportunistic

    Value Added

    Source: Preqin Real Estate Online

    Dry

    Pow

    der (

    $bn)

    Fig. 5.4: Closed-End Private Real Estate - Dry Powder by Strategy, 2004 - 2017

    Fig. 5.3: 10 Largest Closed-End Private Real Estate Fund Managers by Estimated Dry Powder (As at July 2017)

    Firm Location Dry Powder ($bn)

    Blackstone Group US 22.3

    Lone Star Funds US 12.2

    Brookfield Property Group Canada 6.6

    Starwood Capital Group US 4.9

    Global Logistic Properties Singapore 4.1

    Carlyle Group US 3.9

    Rockpoint Group US 3.8

    Oaktree Capital Management US 3.5

    AXA Investment Managers Real Assets France 3.3

    Angelo, Gordon & Co US 2.7

    Source: Preqin Real Estate Online

    DATA SOURCE:

    Preqins Real Estate Online contains individual performance information for over 1,700 funds of all strategies.

    Assess fund performance by size, vintage, type, called-up, distributed, unrealized value, multiple and IRR.

    Get in touch today to arrange a demo of Real Estate Online:

    : [email protected] | : www.preqin.com/reo

    2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

  • 7. NATURAL RESOURCES

    alternative assets. intelligent data.

    89

    TOP PERFORMING NATURAL RESOURCES FUNDS

    2017 PREQIN ALTERNATIVE ASSETS PERFORMANCE MONITOR - SAMPLE PAGES

    Fig. 7.5: Top 10 Performing Natural Resources Funds (Vintage 2001-2006)

    Rank Fund Firm Vintage Fund Size (mn)Geographic

    FocusNet IRR

    (%)Date

    Reported

    1 WLR Recovery Fund II WL Ross & Co 2002 400 USD N. America 78.8 30-Sep-162 HitecVision Private Equity III HitecVision 2002 690 NOK Europe 72.0 30-Jun-173 Enervest Energy Institutional Fund IX EnerVest 2001 239 USD N. America 69.0 31-Mar-164 EnCap Energy Capital Fund IV EnCap Investments 2002 525 USD N. America 67.1 30-Jun-175 Lime Rock Partners II Lime Rock Partners 2002 320 USD N. America 55.0 30-Jun-17

    6 Kayne Anderson Energy Fund II Kayne Anderson Capital Advisors 2003 240 USD N. America 53.0 30-Jun-17

    7 Carlyle/Riverstone Global Energy and Power Fund II Riverstone Holdings 2003 1,100 USD N. America 52.7 30-Sep-16

    8 First Reserve Fund IX First Reserve Corporation 2001 1,375 USD N. America 48.1 30-Jun-179 Overlord 2001 Investment 32 Degrees Capital 2001 2 CAD N. America 44.3 30-Jun-17

    10 Energy Trust Partners Energy Trust Capital 2002 112 USD N. America 38.0 30-Jun-17

    Source: Preqin Natural Resources Online

    Fig. 7.6: Top 10 Performing Natural Resources Funds (Vintage 2007-2009)

    Rank Fund Firm Vintage Fund Size (mn)Geographic

    FocusNet IRR

    (%)Date

    Reported

    1 Aravis Energy I Aravis 2009 47 EUR Europe 448.0 30-Jun-172 EIV Capital Fund I EIV Capital 2009 50 USD N. America 61.7 31-Dec-163 EnCap Flatrock Midstream Fund I EnCap Investments 2009 792 USD N. America 45.0 31-Dec-164 Energy Spectrum Partners V Energy Spectrum Capital 2007 612 USD N. America 32.9 31-Dec-165 CIM Infrastructure Fund CIM Group 2007 200 USD N. America 19.2 31-Mar-176 Intervale Capital Fund I Intervale Capital 2008 250 USD N. America 19.1 30-Jun-167 Avista Capital Partners II Avista Capital Partners 2008 1,800 USD N. America 19.0 31-Dec-168 Quantum Energy Partners V Quantum Energy Partners 2008 2,506 USD N. America 18.4 31-Dec-16

    9 Fondo Hidrocarburos de Colombia II Latin America Enterprise Fund Managers 2008 67 USD Latin America 18.0 30-Jun-17

    10 Inspired Evolution Fund I Inspired Evolution Investment Management 2008 800 ZAR Africa 16.9 31-Mar-16

    Source: Preqin Natural Resources Online

    DID YOU KNOW?

    If your firm has featured in any of our league tables throughout the 2017 Preqin Alternative Assets Performance Monitor, you can request award images and marketing materials from Preqin. Such materials can be used in your marketing campaigns or email signatures.

    If you would like to take advantage of this, please email: [email protected]

  • Preqin Ltd. 2017 / www.preqin.com112

    KEY FINDINGS Prolonged periods of market

    uncertainty have taken their toll on macro strategies over the past 12 months. As illustrated in Fig. 8.51, the Preqin All-Macro Strategies Hedge Fund benchmark has underperformed against the Preqin All-Strategies Hedge Fund benchmark in every quarter over the past 12 months. Ending Q2 2017 with a loss, the strategy has generated 3.87% in the 12 months to June 2017, just over seven percentage points less than that achieved by the wider industry over the same period.

    Commodity-focused vehicles continued to struggle during the first half of the year; following a particularly difficult second quarter, the strategy benchmark ended H1 2017 down 4.41% year-to-date (Fig. 8.52) as the only loss-making, macro-focused sub-strategy tracked by Preqin.

    This theme continues when comparing each sub-strategys three-year cumulative return. While macro and foreign exchange vehicles have generated returns of 20.46% and 10.09% respectively, commodity-focused vehicles continued to

    perform poorly, generating losses in 34 out of the past 36 months.

    Despite posting only modest returns over the past four quarters, Fig. 8.55 shows that pure macro strategies vehicles offer a stronger risk/return profile compared with not only both other macro sub-strategies tracked by Preqin, but also the wider hedge fund industry. Conversely, commodity-focused vehicles have provided the greatest level of volatility in exchange for negative returns.

    MACRO STRATEGIES FUNDS

    -0.10%

    1.55% 1.63% 1.63% 1.45%

    4.63%

    6.35% 6.70%

    -4.20%

    -0.22% -0.53%

    3.80%

    -4.41%-3.30%

    -1.74% -1.21%

    1.50%0.56%

    2.57%1.50%

    4.99%

    2.94%1.82%

    -6%

    -4%

    -2%

    0%

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    8%

    Q2

    2017

    Q1

    2017

    Q4

    2016

    Q3

    2016

    H1

    2017

    12 M

    onth

    s

    3-Ye

    arA

    nnua

    lized

    5-Ye

    arA

    nnua

    lized

    Macro Commodities Foreign Exchange

    Source: Preqin Hedge Fund Online

    Net

    Ret

    urn

    Fig. 8.52: Performance of Macro Strategies Funds by Sub-Strategy (As at June 2017)*

    5.97%

    3.97%

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    Jun-

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    Discretionary SystematicSource: Preqin Hedge Fund Online

    Thre

    e-Ye

    ar A

    nnua

    lized

    Ret

    urn

    Fig. 8.54: Rolling Returns of Macro Strategies Funds by Trading Style, July 2014 - June 2017*

    -0.37%

    1.28% 0.90%2.02%

    0.77%

    3.63%4.86% 5.28%

    1.56%

    3.25%

    1.71%

    3.99%4.87%

    10.90%

    5.12%

    7.76%

    -2%

    0%

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    12%

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    lized

    Macro Strategies Funds All Hedge Funds

    Source: Preqin Hedge Fund Online

    Net

    Ret

    urn

    Fig. 8.51: Performance of Macro Strategies Funds vs. All Hedge Funds (As at June 2017)*

    15.59%

    20.29%

    -5.13%

    9.09%

    -20%

    -15%

    -10%

    -5%

    0%

    5%

    10%

    15%

    20%

    25%

    Aug

    -14

    Oct

    -14

    Dec

    -14

    Feb-

    15A

    pr-1

    5Ju

    n-15

    Aug

    -15

    Oct

    -15

    Dec

    -15

    Feb-

    16A

    pr-1

    6Ju

    n-16

    Aug

    -16

    Oct

    -16

    Dec

    -16

    Feb-

    17A

    pr-1

    7Ju

    n-17

    Macro Strategies Macro Commodities Foreign Exchange

    Source: Preqin Hedge Fund Online

    Cum

    ulat

    ive

    Net

    Ret

    urn

    Fig. 8.53: Cumulative Returns of Macro Strategies Funds by Sub-Strategy, July 2014 - June 2017*

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