Wed, Oct 7, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Eurekahedge Hedge Fund index -0.14% in March (4.11% YTD), best quarter for long/short equity, multi-strat, relative value funds since Q3-09

Monday, April 09, 2012
Opalesque Industry Update - After experiencing the best start to a year since 2000, hedge funds paused for a breather during March 2012, delivering a marginally negative performance. With the exception of the US, most markets across the globe registered declines and the Eurekahedge Hedge Fund Index dipped 0.14% (est.) in March with the MSCI World Index up by 0.39% for the month.

Key highlights for March 2012:

• Long/short equity, multi-strategy and relative value funds witnessed their best quarter since 3Q 2009 with gains of 6.1%, 4.93% and 4.29% respectively.

• Assets in hedge funds crossed US$1.76 trillion, gaining over US$50 billion during the first three months of 2012.

• Long-only absolute return funds saw gains of 11.4% in the first quarter of this year.

• Hedge fund managers employing non-conventional strategies have grown their assets to US$63.2 billion, their highest level since August 2008.

• Relative value managers reached US$50 billion of capital for the first time on record.

• Islamic funds outperformed other alternative vehicles, gaining 0.63% during March 2012.

• More than 100 hedge funds have been launched globally as at the end of March this year.

Regional Indices
March was a month filled with mixed returns across the various regional investment mandates. Early results showed that Latin American hedge funds delivered the best performance this month and the Eurekahedge Latin American Hedge Fund Index gained a notable 0.80% despite most emerging markets witnessing sell-offs during this period – evident in the 3.50% decline in the MSCI Emerging Markets Index. Managers invested in the region had taken cautious positions in the Brazilian market-based risks of overvaluation and currency. Short positions in Brazil were helpful to portfolios and some managers also reported positive returns from long holdings in the broader region.

North American managers witnessed their fourth consecutive month of positive returns with the Eurekahedge North American Hedge Fund Index gaining 0.46%, bringing its year to date return to 4.63%. Overhang from the high risk aversion and volatility seen in 2H 2011 resulted in some careful positioning by North American hedge funds, effectively preventing most managers from capitalising on the strong positive trend in 1Q 2012. The S&P500 gained 12% in the first quarter of 2012, reflecting the best quarterly performance since 1998.

Strategy Indices
Most strategic mandates delivered marginally positive results in March with hedge fund managers investing in fixed income products performing better than the rest. The Eurekahedge Relative Value Hedge Fund Index gained 0.48% while the Eurekahedge Fixed Income Hedge Fund Index was up 0.46% during the month. A number of managers reported gains from long positions in the high yield loans sector as declining fears about the European debt situation led to a strong performance in lower rated bonds.

CTA/managed futures and macro funds delivered the worst performance for March with a decrease of 0.72% and 0.70% respectively. The weak performance of commodities during the month contributed to the declines in these strategies. The DJ UBS Commodity Index dropped 4.14% and the S&P Goldman Sachs Commodity Index lost 2.36% with natural gas prices declining 22% during the month. Oil prices also saw a decline in March amid speculation of the release of strategic reserves and concerns of a lowering demand due to slowdown in China. Some managers also reported losing out due to long positions in gold.

Main Indices

March 2012*

2012 Returns

2011 Returns

Eurekahedge Hedge
Fund Index




Eurekahedge Fund of
Funds Index




Eurekahedge (Long-Only) Absolute Return Fund Index




Eurekahedge Islamic
Fund Index





Strategy Indices

March 2012*

2012 Returns

2011 Returns

Eurekahedge Arbitrage
Hedge Fund Index




Eurekahedge CTA/Managed
Futures Hedge Fund Index




Eurekahedge Distressed Debt Hedge Fund Index




Eurekahedge Event Driven Hedge Fund Index




Eurekahedge Fixed Income Hedge Fund Index




Eurekahedge Long/Short Equities Hedge Fund Index




Eurekahedge Macro Hedge Fund Index




Eurekahedge Multi-Strategy Hedge Fund Index




Eurekahedge Relative Value Hedge Fund Index





Regional Indices

March 2012*

2012 Returns

2011 Returns

Eurekahedge North American Hedge Fund Index




Eurekahedge European Hedge Fund Index




Eurekahedge Eastern Europe & Russia Hedge Fund Index




Eurekahedge Japan Hedge Fund Index




Eurekahedge Emerging Markets Hedge Fund Index




Eurekahedge Asia ex-Japan Hedge Fund Index




Eurekahedge Latin American Hedge Fund Index





Mizuho-Eurekahedge Indices

March 2012*

2012 Returns

2011 Returns

Mizuho-Eurekahedge Index - USD




Mizuho-Eurekahedge TOP 100 Index - USD




Mizuho-Eurekahedge TOP 300 Index - USD




* Based on 26.94% of funds which have reported March 2012 returns as at 9 April 2012.

Eurekahedge indices are available for download from and are updated with the latest fund returns at 23:30 GMT every day.


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. 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

  4. A hedge fund strategy that seems to have fizzled[more]

    From The hedge fund strategy that has attracted the most money this year is on course to cause some of the biggest losses for investors, in the latest example of the dangers of going with the crowd. Institutions and individuals have piled an estimated $20 billion (Dh73 billion) into ma

  5. Hedge fund Barnegat survives September’s market selloff[more]

    Komfie Manalo, Opalesque Asia: Bob Treue’s $679 million Barnegat Fund proved resilient after another month of market letdown as the hedge fund gained 2.2% last month, bringing its year-to-date gains to 2.8%. Treue said in his monthly report to i