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 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% Mizuho Eurekahedge Indices Analysis Report Source
See related September article:
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Industry Updates
Mizuho-Eurekahedge Index USD -3.93% in September, -2.07% YTD
Thursday, November 03, 2011
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