Research

Hedge Fund Performance Commentary

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 …

 

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Footnote

1Based on 57.28% of funds which have reported October 2011 returns as at 12 November 2011

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

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