Fri, Mar 31, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

November was first down month of 2010 for hedge funds, managed futures losses driven by mid month trend reversals - Dow Jones Credit Suisse Hedge Fund Index

Tuesday, December 21, 2010
Opalesque Industry Update - A new Dow Jones Credit Suisse Hedge Fund Index (“the Index”) monthly commentary offers insight into November hedge fund performance. Some key findings from the report include:

November marked the Index’s first negative month of performance since June. Many managers focused on preserving capital in the increasingly volatile market environment by constraining their losses with hedges, curtailing exposures and lowering leverage levels. Five-out-of-ten strategies in the index posted positive performance for the month.

Fixed Income Arbitrage (+0.74%) was the best performing sector in November, and has the best year-to-date performance in the Index at 11.82% as of November 30. The strategy has had only one month of negative performance in 2010 in May, and was positive every month in 2009. Mortgage-focused managers have been among the best performers in the sector in 2010, and continued to find profitable trades in November.

Long/Short Equity was the second best performing sector in the Index, returning 0.46%. Despite the challenging macro issues driving markets, intra-equity index correlations dropped, allowing for greater dispersion at the stock level. As a result, many managers were able to differentiate themselves from the market and stock picking on both the long and short sides was a driver of returns.

In a reversal from their index-leading performance in October, Managed Futures funds finished down -4.11% for November. Losses were generally the result of mid-month trend reversals in currency and fixed income markets which negatively affected many trend-following managers.

(press release)

Full report available: Source

kb

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: FS Investments launches energy fund[more]

    Bailey McCann, Opalesque New York: $19 billion Philadelphia-based FS Investments has launched a new interval fund which will invest in energy. The FS Energy Total Return Fund is the firm's first closed-end interval fund and will invest opportunistically in energy companies and assets. FS

  2. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  3. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  4. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  5. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less