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Eurekahedge Hedge Fund Index up 1.46% in November (4.66% YTD)

Wednesday, December 10, 2014
Opalesque Industry Update - · Hedge funds rebounded from the prior two months’ losses with the Eurekahedge Hedge Fund Index up 1.46% in November 2014 while the MSCI World Index up 2.34%. On a year-to-date basis, hedge funds are up 4.66%, falling behind underlying markets as the MSCI World Index returned 7.65% over the same period.

· Hedge funds recorded their fifth consecutive month of redemptions in November, bringing net asset outflows in 2H 2014 at US$26.3 billion - their lowest level on record since 2H 2011 when investors redeemed US$71.9 billion.

· CTA/managed futures continued to shine and are up 3.76% in November and 9.05% year-to-date returns as managers make big gains on energy futures.

· Asian managers posted the best returns in November among all regional mandates with Japan focused managers finishing the month up 1.79% while Asia ex-Japan funds were up 1.28%.

· On a year-to-date basis, Indian hedge funds are the top performers with gains of 40.62% while Eastern Europe and Russia mandated funds delivered the worst results down 17.69% for the year.

· The 'Investible Benchmark Indices' group has been added to Eurekahedge’s Indices page and included in this group are the two new 'Eurekahedge 50' and 'MEBI Maximum Sharpe Ratio Strategy L1' - bringing our total number of online indices to 256.

Global equity markets extended their rally into November after the previous month’s v-shaped recovery. Investors piled back into risky assets as October’s fall was seen as a healthy correction after a lengthy period of rising prices. Investors remained in a buoyant mood about the markets, as evidenced by the CBOE VIX Index falling 4.99% during the month, with strong gains in developed economies as well as emerging Asia. Strengthening fundamentals and falling unemployment within the US have supported equities higher as the US third quarter GDP recently underwent an upwards revision, exceeding market expectations and bolstering confidence in the country’s recovery. Elsewhere, the Bank of Japan (BoJ) and the European Central Bank remained firm in their stance towards combating inflation, with the People’s Bank of China also lowering interest rates in November. As oil prices continue to fall and inflation expectations remain subdued, the much anticipated hike in global interest rates is likely to be pushed further down the road - much to the benefit of equities in the developed world.

Eastern Europe and Russia saw their fifth consecutive month of losses as the Eurekahedge Eastern Europe & Russia Hedge Fund Index fell 1.28%, though managing to outperform the Russian RTS stock index which plummeted 10.74%. Russia’s heavy dependence on oil revenues was a major detractor from performance due to the worldwide slump in oil prices, causing Russian stocks and the rouble to be hit by another major sell-off.

On the other hand, Japan focused hedge funds posted the best returns of 1.79% in November as the benchmark Nikkei 225 index rallied 6.37% during the month, following the BoJ’s determination to keep inflation rising. Japanese Prime Minister Abe postponed a planned increase in consumption tax and called a snap election for December 14, resulting in additional volatility in the markets.

Asia ex-Japan funds also saw strong gains of 1.28%, with managers reporting gains from their exposure to Chinese equity markets as the CSI 300 index rocketed up 11.98% in November after the People’s Bank of China reduced interest rates for the first time since 2012.

Managers investing with a Latin American mandate made a small gain of 0.30% in November, outperforming the MSCI Latin America Index which lost 0.53%.

Strategy Indices
Falling oil prices continued to make headlines during the month, with the OPEC’s decision not to cut oil production catalysing a further fall in energy prices.

CTA/managed futures managers posted the largest return out of all strategic mandates at 3.76%, with performance dominated by the energies sector as short positions in oil’s downtrend generated strong gains. Macro, multi-strategy and long/short equities were also up 1.56%, 1.13% and 0.95% respectively, as risk assets such as stocks appreciated on expectations of further easing from the Bank of Japan and the European Central Bank. Managers also reported gains from their short yen/long dollar and long bond positions.

Government bond yields fell further as the market priced in the possibility of further delays in interest rate hikes, giving German bunds their eleventh straight month of positive returns. Weak inflation in the Eurozone, exacerbated by the deflationary effects from falling commodity prices was seen as the prime reason for the European Central Bank to ease rates further. On the other hand, distressed debt strategies were the only mandate in negative territory, with the Eurekahedge Distressed Debt Hedge Fund Index down 0.90% in November.

Press release


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