Sat, Oct 10, 2015
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)

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. U.S. hedge funds prepare for worst finish this year since 2008[more]

    Komfie Manalo, Opalesque Asia: U.S.-focused hedge funds are preparing for their worst year since the 2008 global financial crisis, following a series of letdown including the market sell-off in August and the sell-off in healthcare and biotechnology sectors last month, reported

  2. Investing - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  3. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  4. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  5. DoubleLine’s Jeffrey Gundlach warns of another round of market shakedown[more]

    Komfie Manalo, Opalesque Asia: DoubleLine Capital co-founder Jeffrey Gundlach is painting a bleak future as he warned that the U.S. equity market and other risk markets, such as high-yield "junk" bonds, are facing another round of selling pressure. Gundlach said in an interview with