Ω
eVestment|HFN Hedge Fund Industry Research Release
Defensive positioning and currency exposures weighed on aggregate performance in October and early indications show that redemptions again outpaced allocations in the month.
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.
1Early 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.
October 2011 and YTD Benchmark Performance
Emerging Market Benchmarks
HFN Brazil Index: +8.22% in October, -3.65% YTD
HFN China Index: +4.07% in October, -10.64% YTD
HFN India Index: +2.32% in October, -22.00% YTD
HFN Russia Index: +10.95% in October, -13.06% YTD
HFN Latin America Index: +7.45% in October, -4.47% YTD
HFN Middle East/North Africa Index: -1.64% in October, -17.30% YTD
Emerging Markets Debt: -0.22% in October, +0.39% YTD
Emerging Markets Equity: +4.41% in October, -12.40% YTD
HFN Emerging Markets Index: +3.40% in October, -12.09% YTD
Broad and Developed Market Benchmarks
HFN Asia Index: +2.55% in October, -8.26% YTD
HFN Europe Index: +2.48% in October, -5.46% YTD
HFN North America Index: +4.96% in October, -0.22% YTD
HFN Australia Index: +7.67% in October, +4.67% YTD
HFN Japan Index: +1.23% in October, -4.22% YTD
HFN U.S. Index: +4.86% in October, +0.16% YTD
Fixed Income (FI) Strategies
All Fixed Income Strategies: +0.94% in October, +3.03% YTD
Corporate Bond Strategies: +2.33% in October, +3.63% YTD
Government Bond Strategies: +0.68% in October, +2.61% YTD
HFN Distressed Index: +4.09% in October, -0.22% YTD
HFN Mortgages Index: +0.47% in October, +9.78% YTD
HFN Fixed Income Arbitrage Index: +0.01% in October, +2.72% YTD
Equity (EQ) Strategies
All Equity Strategies: +4.16% in October, -5.02% YTD
HFN Long/Short Equity Index: +4.70% in October, -4.18% YTD
HFN Market Neutral Equity Index: +2.01% in October, +0.80% YTD
HFN Short Bias Index: -9.69% in October, +2.54% YTD
Energy Equity Strategies: +7.27% in October, -6.47% YTD
Financials Equity Strategies: +3.26% in October, -6.19% YTD
Healthcare Equity Strategies: +4.55% in October, +2.57% YTD
Natural Resource Equity Strategies: +12.71% in October, -3.50% YTD
Real Estate Equity Strategies: +7.24% in October, -2.41% YTD
Technology Equity Strategies: +1.05% in October, -6.52% YTD
Commodity and Foreign Exchange (FX) Strategies
Foreign Exchange Strategies: -2.59% in October, -4.39% YTD
Financial Futures Strategies: -1.62% in October, -1.52% YTD
Commodity (Non-FX) Strategies: -2.00% in October, -2.05% YTD
HFN CTA/Managed Futures Index: -2.25% in October, -3.89% YTD
No comments:
Post a Comment