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Index Press Release - 08 November 2012

Hedge funds end winning streak and see red during October

Hedge funds finished October in the red amid trend reversals, across a variety of sectors, which made for a difficult trading environment. The Eurekahedge Hedge Fund Index was down 0.51%. In contrast the MSCI World Index dropped by 0.76%1 for the month. On the whole, however, the Eurekahedge Hedge Fund Index is in positive territory for 2012 — its return now sits at 3.81% year-to-date (YTD).

Key takeaways for the month of October 2012:

  • Hedge funds saw their winning streak end with a loss in October — but they remain in the black, having gained 3.81% YTD

  • Asia ex-Japan mangers continued their impressive 2012 performance by gaining 1.75% in October

  • The asset weighted Mizuho-Eurekahedge Asia ex-Japan Long/Short Equity Index gained nearly 2% in October, showing that the larger funds in the region delivered the strongest gains

  • Distressed debt funds were up for the 4th consecutive month in October and gained 1.87% during the month – they are now up 7.31% since end-June and 10.53% October YTD

Main Indices

Main Indices October
2012 Returns 2011 Returns
Eurekahedge Hedge Fund Index -0.51 3.81 -3.30
Eurekahedge Fund of Funds Index -0.84 1.96 -5.37
Eurekahedge (Long-Only) Absolute Return Fund Index 0.77 11.31 -13.77
Eurekahedge Islamic Fund Index -0.10 6.21 -3.49


Regional Indices

Regional Indices October
2012 Returns 2011 Returns
Eurekahedge North American Hedge Fund Index -0.26 5.68 -0.19
Eurekahedge European Hedge Fund Index 0.35 4.80 -6.06
Eurekahedge Eastern Europe & Russia Hedge Fund Index -3.09 -1.53 -20.59
Eurekahedge Japan Hedge Fund Index 0.37 0.73 -1.33
Eurekahedge Emerging Markets Hedge Fund Index 0.83 6.24 -8.16
Eurekahedge Asia ex-Japan Hedge Fund Index 1.75 6.99 -12.48
Eurekahedge Latin American Hedge Fund Index 0.73 8.28 2.12

Results were mixed among the various regional mandates during October. North America and Eastern Europe investing funds reported losses, while managers in other regions posted positive returns. Hedge funds investing with a global mandate delivered the largest negative returns, with average losses of 1.82%. Negative returns were mostly driven by losses in commodities. This was coupled with increased risk aversion amongst investors which caused global markets to close lower for the majority of the month. Global economic outlook dimmed considerably during the month with lower US earnings, another quarterly slowdown in Chinese growth, weak IMF global growth forecast and ongoing issues from the Eurozone debt crisis. A perceived close race leading up to the US election further added to the uncertainty.

Amid the volatility and trend reversals, Asian hedge funds delivered a strong monthly performance and finished ahead of other regions, as well as the underlying markets. The Eurekahedge Asia ex-Japan Hedge Fund Index increased by 1.75% in October as managers delivered substantial alpha despite mixed market returns.The MSCI Asia Pacific Index was up 0.40% in October. A number of managers reported gains from exposure to Chinese and Australian markets — the Han Seng gained 3.85% during October, while the Shanghai Composite Index closed 0.83% lower. Australian shares were also up for the month with the ASX All Ordinaries finishing 3.38% higher, while Indian stocks declined 1.47%.


Strategy Indices

The various strategic mandates also yielded mixed returns with distressed debt managers reporting the strongest gains of 1.87%. This outperformed the BofA Merrill Lynch High Yield Index, which gained 0.99% in October. CTA/managed futures funds posted the largest losses of 2.94% with directional trading and trend following strategies delivering significant losses - as several asset classes posted mid-month trend reversals. Major commodity indices witnessed their largest losses since May 2012. Managers indicated losses due to a strengthening US dollar and falling emerging market currencies. Declining commodity prices also contributed to the negative returns with managers losing out on gold, energy and metal trades - the S&P Goldman Sachs Commodity Index was down 4.07% during the month.

Strategy Indices October
2012 Returns 2011 Returns
Eurekahedge Arbitrage Hedge Fund Index -0.27 4.80 1.55
Eurekahedge CTA/Managed Futures Hedge Fund Index -2.94 -1.69 -0.46
Eurekahedge Distressed Debt Hedge Fund Index 1.87 10.53 -1.16
Eurekahedge Event Driven Hedge Fund Index -0.56 5.20 -4.51
Eurekahedge Fixed Income Hedge Fund Index 0.82 8.26 0.83
Eurekahedge Long/Short Equities Hedge Fund Index 0.57 5.36 -6.83
Eurekahedge Macro Hedge Fund Index -1.03 1.11 -1.17
Eurekahedge Multi-Strategy Hedge Fund Index 0.32 5.66 -2.13
Eurekahedge Relative Value Hedge Fund Index 1.22 9.64 -1.59


Mizuho-Eurekahedge Indices October
2012 Returns 2011 Returns
Mizuho-Eurekahedge Index - USD -0.93 3.33 -2.07
Mizuho-Eurekahedge TOP 100 Index - USD -1.10 3.97 1.87
Mizuho-Eurekahedge TOP 300 Index - USD -1.02 3.37 0.04


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1The MSCI AC World Index All Core — USD



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