Introduction
Hedge funds bounced back with strong positive performances in October after two months of negative returns in August and September. The Eurekahedge Hedge Fund Index rose 2.04%1 on the back of renewed optimism in the market and resurgent risk appetite. The MSCI World Index gained 8.65%2 amid moves to resolve the European debt crisis and better than expected economic data from the US. October YTD; the markets are down 7.60%3 while the Eurekahedge Hedge Fund Index is down 2.90% and the Mizuho-Eurekahedge Top 100 Index4 (asset weighted) remains in the black with a 2.61% return.
Most managers were able to deliver significant downturn protection through the short side, while high cash volumes and positions in safety assets also proved useful in such volatile market conditions. Even these assets were not fully protected, however, as early gains in bonds and precious metals were reversed later on in the month. Short term systematic trading was the best performing strategy in September, capturing gains through declining equities and increased volatility in the FX markets.
September 2011 and August 2011 returns across geographical mandates
All regional mandates finished the month with positive returns. Asia ex-Japan managers witnessed the largest gains up 3.93%. Risk appetite was given a boost early in the month as European economies moved to recapitalise their banks, which also benefited hedge funds investing in Asia as sentiment turned positive. The MSCI Asia Pacific Ex Japan Index5 surged 8.63% in October.
Among other regions, European managers posted impressive returns of …
The full article is available in The Eurekahedge Report accessible to paying subscribers only.
Subscribers may continue to login as usual to download the full report and non-subscribers may email database@eurekahedge.com to enquire on how to obtain the full research report.
Footnote
2MSCI AC World Index All Core – Local
3As represented by the MSCI World Index
4The Mizuho-Eurekahedge Top 100 index is a new asset weighted index that tracks the performance of the largest 100 hedge funds in the Eurekahedge database
5MSCI AC Asia Pacific Ex Japan Index All Core
