Thu, Jul 24, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFN Hedge Fund Aggregate Index up +2.31% in October (-3.61% YTD)

Thursday, November 10, 2011
Opalesque Industry Update - Below are early estimates1 for October hedge fund performance and asset flows. A full report will be available later in the month.

October Highlights:

  • The HFN Hedge Fund Aggregate Index was +2.31% in October 2011 and -3.61% on a year-to-date (YTD) basis. The S&P 500 Total Return Index (S&P) was +10.93% in October and +1.30% YTD.
  • Early reporting funds indicate industry redemptions again outpaced allocation in October. Should the trend hold as more funds report, hedge fund AUM will have decreased for a third consecutive month and redemptions will have outpaced allocations for the third month in the last four. Total industry AUM is estimated at $2.453 trillion at the end of October 2011.
  • Equity strategies, +4.19%, outperformed credit strategies, +0.94%, in October and commodity focused funds were broadly down, -2.00%, for the month. It appears FX focused funds and FX exposures within macro and managed futures strategies weighed down aggregate hedge fund returns in October. With approximately 20% of funds which have reported October performance thus far being commodity focused we expect the HFN HF Aggregate Index to show some upward bias as more funds report.
  • Special situations and long only strategies, along with sector specific equity funds, were the top performers of the month. Early reporting special situations strategies posted +10.80% in October while long only funds are reporting an average of +8.10%. Although all sector specific equity funds outperformed against Q3 2011, technology focused strategies did not exhibit as much upside as its peers averaging +1.05% compared to aggregate equity strategies performance of +4.19%.
  • All regional indices showed positive returns for October with the exception of funds focused on the Middle East/North Africa, -1.64%. Russia and Brazil were the biggest gainers averaging +10.95% and +8.22% for the month, respectively. Notably, Australia focused funds averaged +7.67% moving the group into positive territory, +4.67%, on an YTD basis.
  • EM equity funds outperformed EM fixed income funds, +4.41% vs. -0.22%, in October reversing a five month trend. Europe focused funds gained in October, +2.48%, but still remain underwater on an YTD basis at -5.46%.

It appears that defensive positioning from equity focused funds, muted returns from non-distressed credit and relative value strategies and losses from managed futures funds, likely due to long exposures to the US dollar, resulted in aggregate hedge fund returns significantly lagging the massive equity market rebound. There were pockets of strong performance, but during months like October it is not expected that the industry keep pace with equity markets.

Investor sentiment is still weak, but it is difficult to tell if this is due to a temporary decline in new allocations, or if redemptions are abnormally high. Given market volatility, it is likely the case that new allocations are on hold while redemptions are slightly higher than normal due to performance losses in prior months.

Early estimates are based on funds reporting October returns as of November 9, 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 October report, to be released in the third week of November, will provide details on high water marks and asset flows by strategy and region.Corporate website:Source

(press release)
PD

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. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  3. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend

  4. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  5. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag