US$45 billion in net outflows; hedge fund returns flat in November
Based on 40.47% of the funds reporting their November 2008 returns as at 10 December 2008.
Hedge funds lost 0.4% on average, in November. Over half the reporting funds posted gains for the month, while 40% were in the black for 2008 YTD.
Industry assets fell by an estimated US$64 billion, US$18 billion of which was on account of net losses while net investor redemptions accounted for the other US$46 billion.
Fixed income managers posted impressive gains; directional macro and CTA funds continued to perform well.
Allocations to emerging markets outperformed those to developed markets, on the back of month-end equity rallies and a stronger rebound in the former.
Hedge funds continued to take losses for the sixth straight month in November, as major economies in Europe and Asia announced recessions and trading was characterised by distressed selling, deleveraging and an increasing disconnect between asset prices and underlying fundamentals. Early reporting funds put this month’s round of losses for the Eurekahedge Hedge Fund Index at -0.4%1We expect final numbers to be closer to -2%. On the upside, month-to-month losses have been the least negative in the last five, while net redemptions are also slightly down from previous monthly highs.
Main Indices
Index
Nov 08
Est¹
2008
Return
2007
Return
Eurekahedge Hedge Fund Index
-0.38
-12.58
13.35
Eurekahedge Fund of Funds Index
-1.30
-18.08
10.31
Eurekahedge (Long-only) Absolute Return Fund Index
-5.00
-44.51
16.29
Eurekahedge Islamic Fund Index
-2.58
-28.48
19.60
Regional Indices
Returns across regional mandates were mixed; preliminary results (0.1% in Asia, 0.7% in Latin America) suggest a flat month for emerging market allocations, while European and North American allocations saw bigger losses (-0.6% and -2.1% respectively). This is somewhat in step with underlying equity market performance – European and North American equities lost between 6 and 8% on average, while Asian equities finished the month down 3% (MSCI All Country indices). Losses were stemmed/offset by a month-end rally in global equities amid expectations of additional bailout/stimulus packages.
Index
Nov 08
Est¹
2008
Return
2007
Return
Eurekahedge North American Hedge Fund Index
-2.05
-11.27
10.76
Eurekahedge European Hedge Fund Index
-0.57
-20.05
8.18
Eurekahedge Eastern Europe & Russia Hedge Fund Index
-3.74
-47.34
26.39
Eurekahedge Japan Hedge Fund Index
0.82
-13.33
-0.88
Eurekahedge Emerging Markets Hedge Fund Index
0.10
-23.10
24.68
Eurekahedge Asian Hedge Fund Index
0.07
-22.22
18.56
Eurekahedge Latin American Hedge Fund Index
0.72
-4.52
16.32
Strategy Indices
Returns among strategies followed patterns seen in previous months, with directional plays in the commodity and currency markets proving profitable for CTA and macro managers, while opportunistic, equity directional and arbitrage trades ended the month negative. The one exception was fixed income managers (2.4%); trend-following drove the month’s gains as prices rallied in an environment of low inflation and rising demand for safe-haven assets, and as treasury yields touched record lows.
Index
Nov 08
Est¹
2008
Return
2007
Return
Eurekahedge Arbitrage Hedge Fund Index
-1.06
-9.33
8.46
Eurekahedge CTA/Managed Futures Hedge Fund Index
2.01
17.14
13.62
Eurekahedge Distressed Debt Hedge Fund Index
-3.26
-22.84
6.51
Eurekahedge Event Driven Hedge Fund Index
-1.86
-18.28
11.22
Eurekahedge Fixed Income Hedge Fund Index
2.35
-10.75
5.78
Eurekahedge Long/Short Equities Hedge Fund Index
-1.42
-21.35
14.46
Eurekahedge Macro Hedge Fund Index
1.07
-0.74
12.49
Eurekahedge Multi-Strategy Hedge Fund Index
-0.77
-13.56
16.44
Eurekahedge Relative Value Hedge Fund Index
-0.93
-8.40
13.61
Eurekahedge indices are available for download from www.eurekahedge.com/indices/hedgefundindices.asp and are updated with the latest fund returns at 23:30 GMT every day. Index values and data can be downloaded for free and subscribers can download the full list of index constituents. Please contact indices@eurekahedge.com for more information.
