Sun, May 24, 2015
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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  5. Opalesque Exclusive: Ovation Partners targets opportunities where few "natural lenders" participate[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Changes in financial regulations post-2008 (Dodd-Frank and Basel III) are forcing banks to significantly alter their core lending businesses. And as mid-sized

 

banner