Opalesque Industry Update - Q3 2011 hedge fund performance (-5.68%) resulted in the first quarter of net investor redemptions since the financial crisis.|
Below are early estimates (1) for September hedge fund performance and asset flows. A full report will be available later in the month.
• The HFN Hedge Fund Aggregate Index was -2.79% in September 2011, -5.68% in Q3 and -5.28% on a year-to-date (YTD) basis. The S&P 500 Total Return Index (S&P) was -7.03% in September, -13.87% in Q3 and -8.68% YTD.
• Hedge fund assets decreased an estimated 3.06% in September to $2.460 trillion; the largest AUM decline since January 2009. The decrease was primarily performance driven, but net investor flows were negative for the second time in Q3.
• Performance and market volatility has impacted investor sentiment. In September, performance losses decreased AUM an estimated $64.2 billion while investor flows accounted for a net decrease of $13.4 billion.
• Q3 2011 performance and net investor flows were the worst since Q1 2009. Investors redeemed an estimated $18 billion during the quarter and performance losses dropped AUM an additional $83 billion.
• Short biased and FX focused funds were among the top performers, +9.16% and +2.32%, respectively for the month. Emerging markets and energy sector funds posted their second consecutive month of large declines, -8.30% and -9.21%, respectively.
• All regional indices showed negative returns for September with funds investing in the developed markets outperforming those investing in the emerging markets. Japan focused funds performed best (-1.22%) from the group of regional indices.
• Funds investing in the MENA region showed the smallest losses among emerging markets indices, posting -3.78% for the month while Russia funds fell significantly, -13.60%. EM fixed income funds continued to outperform EM equity funds, -2.95% vs. -8.36% in September. EM fixed income is the only regional classification to have a positive YTD return (+0.16%).
• Europe focused funds slid again in September, -1.56%, as the region continues to suffer from the sovereign debt crisis and sluggish regional economies; the group is -7.06% YTD.
• Credit strategies (-0.73%) again outperformed equity strategies (-3.93%) and funds investing in sovereign/municipal credit returned +1.47%. Sector specific equity funds, again, showed the greatest downside in September. The HFN Short Bias Index posted its fifth consecutive positive month of performance, +9.16% in September and +14.27% YTD.
(1) Early estimates are based on funds reporting September returns as of October 12th, 2011. Performance has a tendency to drift lower as more funds report. Asset estimates may drift lower, but have not shown a consistent tendency to do so.
The full eVestment / HFN September report, to be released in the third week of October, will provide details on high water marks and asset flows by strategy and region.