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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

Index

Aug 2011
Est1

2011
Returns

2010
Returns

Eurekahedge Hedge Fund Index

-1.95

-1.31

10.77

Eurekahedge Fund of Funds Index

-3.44

-3.86

4.58

Eurekahedge Long-Only Absolute Return Fund Index

-6.61

-7.82

15.91

Eurekahedge Islamic Fund Index

-5.27

-4.69

9.43

 

Table 2: Regional Indices

Index

Aug 2011
Est1

2011
Returns

2010
Returns

Eurekahedge North American Hedge Fund Index

-2.33

-0.09

13.62

Eurekahedge European Hedge Fund Index

-4.06

-4.38

9.13

Eurekahedge Eastern Europe & Russia Hedge Fund Index

-8.90

-6.89

16.56

Eurekahedge Japan Hedge Fund Index

-1.38

0.09

8.21

Eurekahedge Emerging Markets Hedge Fund Index

-2.90

-1.56

10.49

Eurekahedge Asia ex-Japan Hedge Fund Index

-4.94

-4.74

10.11

Eurekahedge Latin American Hedge Fund Index

0.09

2.48

9.63

 

Table 3: Strategy Indices

Index

Aug 2011
Est1

2011
Returns

2010
Returns

Eurekahedge Arbitrage Hedge Fund Index

-2.25

0.20

9.47

Eurekahedge CTA/Managed Futures Hedge Fund Index

0.05

-1.33

11.98

Eurekahedge Distressed Debt Hedge Fund Index

-4.42

-0.06

22.69

Eurekahedge Event Driven Hedge Fund Index

-2.89

-2.28

15.17

Eurekahedge Fixed Income Hedge Fund Index

-0.57

2.82

10.31

Eurekahedge Long/Short Equities Hedge Fund Index

-4.06

-3.51

10.23

Eurekahedge Macro Hedge Fund Index

1.12

0.93

7.56

Eurekahedge Multi-Strategy Hedge Fund Index

-0.97

0.29

9.60

Eurekahedge Relative Value Hedge Fund Index

-0.86

0.41

10.72


www.eurekahedge.com

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