Mon, Oct 24, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Eurekahedge Hedge Fund Index down 1.95% (est.) in August (-1.31% YTD) but outperformed MSCI World Index by 5.30%

Thursday, September 08, 2011
The Eurekahedge Hedge Fund Index was down 1.95% (1) in August. Even so, this loss marked a month where managers delivered significant outperformance and downturn protection in a highly volatile environment, as witnessed by the MSCI World Index falling 7.25% (2) as market sentiment turned bearish across the globe. These sentiments were the result of the debt situation in Europe, a bleak outlook on global economic growth and the downgrade of US government debt by Standard and Poors.

While global markets changed directions frequently during the month, hedge funds were able to deliver the 5.30% outperformance (compared to the MSCI World Index) as gains on the short side offset losses. Protective positions in safe haven assets also helped to prevent heavy losses.

Key highlights for August:

• Hedge funds outperformed global markets (3) by 5.30% in August

• Macro hedge funds gained 1.12% during the month

• Early reporting funds suggest positive net asset flows in August, despite market turbulence

• Arbitrage, distressed debt, event driven, long/short equity and relative funds witnessed their fourth consecutive month of negative returns

Regional Indicese
Latin American hedge funds delivered the best performance in terms of regional mandates, ending the month with positive, albeit marginal, returns of 0.09%. The MSCI Latin America was down 3.56% for the month of August. Latin American managers have delivered excellent downside protection throughout 2011, with the August year-to-date return standing at 2.48%. Comparatively the MSCI Latin American Index is down 15.26% so far in 2011. Multi-strategy managers, who make up nearly 50% of the Latin American hedge funds space, were cumulatively up 0.72% in August, as exposure across different asset classes proved profitable.

All other regional mandates finished the month with negative returns - though it should be noted that overall managers were able to outperform underlying markets across the board. Japanese hedge funds were down 1.38%, beating the Nikkei 225 by nearly 8% during August. Asia ex-Japan, European and North American managers outperformed their respective underlying markets3 by 3.17%, 5.82% and 3.46% respectively.

Strategy Indices
Most strategies were loss-making in August with the exception of global macro and CTA hedge funds. The Eurekahedge Macro Hedge Fund Index was up 1.12% (4) during the month, as diversified portfolios provided both downside protection and profit-making opportunities to the managers.

Exposures to precious metals and agricultural commodities were very profitable in August. Heighted risk aversion drove gold prices to new record highs, while the S&P GSCI Agriculture Total Return Index was up 9.40% for the month. Black-box quantitative and systematic traders also delivered healthy returns while discretionary macro managers with secondary mandates of market timing finished the month with positive returns of 2.27%. Among other strategies CTA/managed futures funds delivered marginal gains of 0.05%, with high frequency traders capitalizing on the high volatility and high liquidity environment.

(1). Based on 31.68% of funds which have reported August 2011 returns as at 8 September 2011.
(2). MSCI AC World Index Local Currency
(3). As represented by MSCI World Index
(4). Based on 37.16% of funds which have reported August 2011 returns as at 8 September 2011. Index returns positively skewed by 77% return by one fund

(press release)

Table 1: Main Indices


Aug 2011



Eurekahedge Hedge Fund Index




Eurekahedge Fund of Funds Index




Eurekahedge Long-Only Absolute Return Fund Index




Eurekahedge Islamic Fund Index





Table 2: Regional Indices


Aug 2011



Eurekahedge North American Hedge Fund Index




Eurekahedge European Hedge Fund Index




Eurekahedge Eastern Europe & Russia Hedge Fund Index




Eurekahedge Japan Hedge Fund Index




Eurekahedge Emerging Markets Hedge Fund Index




Eurekahedge Asia ex-Japan Hedge Fund Index




Eurekahedge Latin American Hedge Fund Index





Table 3: Strategy Indices


Aug 2011



Eurekahedge Arbitrage Hedge Fund Index




Eurekahedge CTA/Managed Futures Hedge Fund Index




Eurekahedge Distressed Debt Hedge Fund Index




Eurekahedge Event Driven Hedge Fund Index




Eurekahedge Fixed Income Hedge Fund Index




Eurekahedge Long/Short Equities Hedge Fund Index




Eurekahedge Macro Hedge Fund Index




Eurekahedge Multi-Strategy Hedge Fund Index




Eurekahedge Relative Value Hedge Fund Index





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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa