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Alternative Market Briefing

Hedge funds post negative returns in October - eVestment

Wednesday, November 07, 2012

Bailey McCann, Opalesque New York: Hedge funds fell an average of 0.34% in October 2012, their first losing month following four consecutive months of positive performance, according to new research from eVestment. Credit strategies continued to post positive returns for the ninth straight month, accounting for much of the gains within the industry. The largest losses were posted by managed futures and commodity funds in step with the extensive declines across the commodity price spectrum, and with strength in the EUR vs. USD.

Many funds fell as their equity and commodities exposures went negative. For larger funds though there was one bright spot, large equity focused funds reporting for October outperformed the S&P by an average of more than 150bps during the month. Funds targeting mortgage related securities appear to have posted another positive month in October, meaning they have been up every month this year and back to November 2011. Mortgage strategies have returned an average of nearly 17% in 2012.

In a separate report examining the overall performance of statistical arbitrage strategies from the firm, research authors note that statistical arbitrage has underperformed relative to the rest of the hedge fund industry in 2012. Funds were down 0.2% in Q3 and up only 0.9% YTD through September. The group sustained losses during Q2 when equity markets fell, and again in August and September when equity markets rose. The group has had net outflows in nine of th......................

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