Hedgerahastot menestyivät osakkeita paremmin syyskuussa
Syyskuu oli haastavaa aikaa sijoitusmarkkinoilla, mutta hedgerahastot onnistuivat jälleen osakemarkkinoita paremmin.
Kuukausi oli myös hedgerahastoille keskimäärin niukasti tappiollinen, mutta kun osakemarkkinoiden MSCI World Index päätyi syyskuussa -8,6 % tappiolle, oli hedgerahastoja seuraavan HFRI Fund of Funds Composite Indexin vastaava lukema -2,8 %.
Eri hedgerahastostrategioista säädellyt futuurit (managed futures) ja globaalit makrot (global macro) menestyivät yleisesti ottaen hyvin. Suojattaville osakkeille (equity hedged) syyskuu oli edelleen haasteellinen, mutta nekin onnistuivat suojaamaan pääomaa hyvin suhteessa globaalien osakemarkkinoiden liikkeisiin.
Markkinat seurasivat edelleen hermostuneena globaalin talouden tilannetta. Indikaattorit povasivat hidasta toipumista Yhdysvalloissa ja hidastuvaa kasvua kehittyville markkinoille, erityisesti Kiinaan. Epävarmuutta lisäsi myös se, etteivät poliitikot pystyneet vakuuttamaan markkinoita Euroalueen velkakriisin taltuttamisesta.
Alkuperäinen englanninkielinen tiedote luettavissa alla.
Man on the Month - September
18 October 2011
There was no quiet part of the investment landscape in September with wild inter-month swings posing severe challenges for investment managers, but again hedge funds outperformed equity markets, albeit still making a loss on average. With the MSCI World Index ending the month down -8.6%, by comparison the HFRI Fund of Funds Composite Index was off -2.8%.
Managed futures and global macro styles generally held up well, while equity hedged managers continued to struggle, but protected capital well compared to movements in global equity markets. For equity hedged, those that outperformed generally ran reduced grows exposures or tactically managed their net short exposure.
Market sentiment remained fragile as investors grew increasingly nervous against the deteriorating global economic backdrop. Disappointing economic indicators pointed to a sluggish recovery in the US and the growing possibility of a hard-landing for emerging markets, especially China. The failure of politicians to reassure the markets about the on-going sovereign debt crisis in the Eurozone further dampened confidence.
Bonds benefitted from uncertainty as investors flew to safety and the Fed’s ‘Operation Twist’ also contributed here, particularly to the rally in longer dated Treasuries. But not all ‘safe haven’ assets performed were. Most notable were precious metals; gold prices pulled back -11% as investors moved to cash to cover losses elsewhere and silver was down -28%.
Managed futures and global macro
Managed futures made small gains with the Newedge CTA Index up 0.9%, but like August, this masked wide dispersion between individual manager returns. Short term traders outperformed while long term trend followers with larger fixed income weightings tend to perform better than those with larger currency and commodity sector biases. Importantly, during the crisis period, managed futures have produced two ‘up’ months (August and September) reinforcing their value as uncorrelated to risk assets (equities).
Global macro manager escaped September relatively unscathed. The HFRI Macro Index was down only -0.7% as managers generally came into the month with reduced levels of both gross and net exposure, reflecting the uncertainty. Again, there were large dispersions between individual managers with those holding bearish views on commodities and emerging markets performing better (MSCI Emerging Markets Index -14.6%, JP Morgan EM Currency Index down 8.8%).
Relative value and event driven
The HFRI Relative Value Index fell -1.4% over the month as the weak macro environment made things challenging across all sub-strategies. Credit markets entered deep recessionary territory and losses in high yield were pronounced as investors shunned risk (Credit Suisse High Yield Index -2.5%). Loans, however, posted a positive index return for the month thanks to high repayments needing to be reinvested in CLOs.
Meanwhile, in event driven, falling equity markets and widening credit spreads created a difficult trading environment (HFRI Event Driven index -3.6%). Distressed managers struggled with declining equity markets (HFRX Distressed Index -4.2%) and special situations managers also posted losses as merger spreads widened and M&A activity remained subdued – down -31% year on year. Among the most notable deals completed during the month were Sumitomo Mitsui Financial’s cash buy-out of Promise Co (in which the company already held a 22% stake), United Technologies $18bn acquisition of Goodrich and Broadcom’s cash deal for Netlogic.
Equity hedged strategies
Falling equities across all sectors continued to hurt returns for equity hedged managers. The MSCI Europe Index and MSCI North America index fell -11% and -8% respectively. Those who fared best held tactically managed net short exposure, short mid-caps and hedge positions in index products and options, but long managers were particularly hit my Materials and Industrials. Asian indices also finished down (MSCI Asia ex-Japan Index -15%), but Japan outperformed (MSCI Japan Index -1.6%) as Consumer Staples and Healthcare protected returns.
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