Hedge funds outperformed global markets by 7.29% in September as the Eurekahedge Hedge Fund Index ended the month with a loss of 2.69%1. Market movements were dominated by daily swings while the broad direction remained downwards sloping through the month, creating difficult trading conditions for managers. The MSCI World Index2 declined 9.98%, exhibiting the worst performance since October 2008 while the S&P GSCI Total Return Index declined by 12.17%.
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 in negative territory as the heightened volatility, negative sentiment surrounding Greece’s sovereign debt problem and prevailing fears of another global recession, made it …