Industry Updates

Scotia Capital Canadian Hedge Fund Performance Index finishes May down -0.86% (asset weighted) (+3.47% YTD)

Thursday, June 17, 2010

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Opalesque Industry Updates - The Scotia Capital Canadian Hedge Fund Performance Index finished May 2010 down 0.86% on an asset weighted basis and down 2.02% on an equal weighted basis. Despite the monthly decline, the Index’s YTD performance remained in solidly positive territory: 3.47% and 1.77%, respectively.

The Index strongly outperformed broader equities in May, and also outperformed broader hedge fund indices on both an asset weighted and equal weighted basis. Global capital markets experienced sharp volatility during the month of May. Ongoing concerns over European sovereign debt and nervousness over the potential for further contagion were felt across markets. Equity markets dropped in all regions, with some indices posting double-digit monthly declines, notably the MSCI Europe and Nikkei. In the US, all ten sectors of the S&P 500 contributed to its monthly drop of -8.20%, despite some positive macroeconomic announcements.

In Canada, the S&P/TSX’s -3.67% was driven primarily by declines in the info tech, financials and energy sectors. In FX, the USD appreciated versus the EUR by more than 7%, as investors sold off the EUR. The USD also appreciated versus the GBP and CAD, though depreciated moderately against the JPY. Investor concern about global economic recovery and the potential for a double dip recession was further expressed through a deep sell off of oil (-14.14%), and a flight to quality into the relative safety of government bonds.

Canadian hedge fund managers outperformed global peers in aggregate in May. There was wide dispersion in performance among managers, as well as within strategies, with some managers managing to capture strong monthly results despite a challenging trading environment. Hedge fund managers remain defensively positioned and cautious, maintaining low net exposures in an environment of ongoing uncertainty.

Full performance Chart available: Source

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