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Mizuho-Eurekahedge Index USD -3.93% in September, -2.07% YTD

Thursday, November 03, 2011
Opalesque Industry Update - Eurekahedge is pleased to announce that the new Mizuho-Eurekahedge Index is now live and available on the Eurekahedge website. The Mizuho-Eurekahedge Index is the banner name for a new suite of asset weighted, global indices.

Performance highlights
- The Mizuho-Eurekahedge Index has outperformed DJ World Index by 33.3% since the inception (Jan 05)

- The largest funds, with more than US$1 billion in assets, form 6% of the population but their AuM account for 49% of total industry assets

- Since December 2004, the maximum drawdown of the Mizuho-Eurekahedge Index is 17.38%, while that of the DJ World Index stands at 54.38%

- A passively managed, quarterly rebalanced, portfolio of the largest 25 funds in the in the Mizuho-Eurekahedge Index has outperformed 92% of all funds of funds in the Eurekahedge database over their corresponding track record

- The MEI Emerging Markets Multi-Strategy is the best performing sub index with an annualized return of 14.70%

- The least volatile sub index is the MEI Asia Pacific Arbitrage with a standard deviation of 4.31%

- The MEI Asia Pacific Arbitrage also has the best non risk-free-rate adjusted Sharpe ratio of 1.3

- The MEI 100 Index is a close approximation to the main MEI index however has a better annualized return of 7.1%, lower volatility and a smaller drawdown of only -11.6% in 2008

- Over the last 6½ years the top 25 funds in the index (rebalanced quarterly) have produced returns of 8.5% with a low volatility of only 5.5%

Performance table: Source

Mizuho Eurekahedge Indices Analysis Report Source

See related September article:
New asset-weighted Mizuho-Eurekahedge suite to be one of the largest collections of hedge fund indices Source


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