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Index Press Release - 09 October 2012


Hedge funds see third consecutive month of positive returns

September was another winning month for hedge funds as the sector posted its third consecutive month of positive returns. The Eurekahedge Hedge Fund Index was up 1.02%1 in September and 2.63% dr 3Q 2012 while September year-to-date the index is up 4.23%. Global markets rallied strongly during the month on the back of monetary easing steps taken by governments - the MSCI World Index was up by 2.29%2 during the month.

Key takeaways for the month of September 2012:

  • Hedge funds witnessed three consecutive months of positive returns — up 2.63% in 3Q 2012.

  • The Eurekahedge Hedge Fund Index is up 4.23% year-to-date with over 1000 funds up more than 10% and 500 funds up more than 15%.

  • Asia ex-Japan managers gained 4.11% in September with Indian hedge funds delivering the best returns of 8.02%.

  • The Mizuho-Eurekahedge Asia ex-Japan Index rose 5.70%3 in September.

  • Launch activity picked up with nearly 200 funds launched in 3Q 2012.

  • All regions posted positive asset flows for August while early results indicated strong allocation activity in September.
 

Main Indices

Main Indices September
2012*
2012 Returns 2011 Returns
Eurekahedge Hedge Fund Index 1.02 4.23 -3.32
Eurekahedge Fund of Funds Index 0.47 2.64 -5.42
Eurekahedge (Long-Only) Absolute Return Fund Index 3.07 10.75 -13.96
Eurekahedge Islamic Fund Index 0.42 5.91 -3.50

 

Regional Indices

Regional Indices September
2012*
2012 Returns 2011 Returns
Eurekahedge North American Hedge Fund Index 1.37 6.19 -0.11
Eurekahedge European Hedge Fund Index 1.12 4.23 -6.06
Eurekahedge Eastern Europe & Russia Hedge Fund Index 2.29 1.10 -20.59
Eurekahedge Japan Hedge Fund Index 0.49 0.01 -1.34
Eurekahedge Emerging Markets Hedge Fund Index 1.81 4.94 -8.12
Eurekahedge Asia ex-Japan Hedge Fund Index 4.11 5.94 -12.49
Eurekahedge Latin American Hedge Fund Index 0.71 7.41 2.12

All regional mandates posted positive returns for the month on the back of rallies in the underlying markets. The month started off on a bullish note with signs of stabilising global economic growth and prospects of additional quantitative easing dominating the market sentiment. The rallies were driven by the opinion that the ECB's bond buying program and QE3 announcement by the US Federal Reserve reduced the risk of a prolonged economic slowdown.

Asia ex-Japan managers posted the best returns for September, gaining 4.11% as regional market indices witnessed sustained and steady gains during the month. Managers made good on their long calls in emerging markets with exposure to South East Asia being especially profitable to portfolios - as the managers benefitted from gains in equity markets as well as strengthening regional currencies.

European and North American hedge funds also posted healthy gains for the month with returns of 1.12% and 1.37% respectively. The MSCI Europe Index was up 1.30% with equity markets holding on to their post-ECB announcement gains through the month. Some managers posted losses from long positions in European debt and short Euro holdings.

 

Strategy Indices

With the exception of CTA/managed futures, all strategic indices delivered positive returns in September with long/short equity managers posting the strongest returns of 1.99%. As many equity investing managers had expected some sort of policy action over the last two months, they had built their bullish positions into portfolios and were therefore able to capture most of the upside from equity markets. Among CTA/managed futures funds, trend-following strategies were mostly loss-making for the month, while short-term quantitative traders also witnessed a lacklustre month - the Eurekahedge CTA/Managed Futures Hedge Fund Index was down 0.74% during the month.

Strategy Indices September
2012*
2012 Returns 2011 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.53 5.00 1.55
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.74 1.06 -0.53
Eurekahedge Distressed Debt Hedge Fund Index 1.05 6.86 -1.18
Eurekahedge Event Driven Hedge Fund Index 1.51 5.81 -4.50
Eurekahedge Fixed Income Hedge Fund Index 1.51 7.40 0.78
Eurekahedge Long/Short Equities Hedge Fund Index 1.99 4.82 -6.78
Eurekahedge Macro Hedge Fund Index 0.60 2.35 -1.25
Eurekahedge Multi-Strategy Hedge Fund Index 1.23 5.16 -2.25
Eurekahedge Relative Value Hedge Fund Index 0.73 7.84 -1.26

 

Mizuho-Eurekahedge Indices September
2012*
2012 Returns 2011 Returns
Mizuho-Eurekahedge Index - USD 0.90 3.95 -2.07
Mizuho-Eurekahedge TOP 100 Index - USD 0.75 4.57 1.87
Mizuho-Eurekahedge TOP 300 Index - USD 0.84 4.04 0.04

 


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Footnotes

1 Based on 31.24% of funds which have reported September 2012 returns as at 9 October 2012
2 The MSCI AC World Index All Core - Local Currency
3Based on 25.93% of funds which have reported September 2012 returns as at 9 October 2012

 

 


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