RBC Hedge Index: Steady as She Goes |
Date: Friday, December 15, 2006
Author: Jacob Bunge, Financial Correspondent, Hedgeworld.com
NEW YORK (HedgeWorld.com)—November saw the investable RBC Hedge 250 index maintain its October momentum, posting an estimated 1.6% return for the past month while finalizing its October result at 1.57%. Most of the thanks go to the index's tactical strategies, which continued to reap returns from strong equity markets. Equity long/short earned 2.17%, good enough for the second best return across all strategies in the index, after posting a 2.33% increase in October Previous HedgeWorld Story. Year-to-date long/short managers in the index have earned an even 12%. But while long/short reigned in October, managed futures funds pulled ahead in November, returning 2.74%, the highest return in the RBC index for the month. Managed futures in October earned 1.73% and have staged a significant turnaround since September, when the strategy declined 0.44% Previous HedgeWorld Story. Year-to-date managed futures have returned 9.31%. Macro, the other strategy included in the tactical category, returned 0.61% in November, not a huge leap, but good enough to make its year-to-date return positive again at 0.11%. Among relative value strategies, convertible arbitrage and equity market neutral both returned 0.67% in November. The two strategies have had very different years, however—convertible arbitrage enjoys an index-leading 13.75% year-to-date return, whereas equity market neutral resides at 3%. Fixed-income arbitrage was the only category to lose money in November, declining 0.26%, and has returned 5.09% year-to-date. Event-driven funds had a solid month, with the credit strategy earning 1.58% and mergers and special situations earning 1.84%. Year-to-date those funds have returned 10.59% and 10.96%, respectively. Multi-strategy managers pulled in 1.72% in November after gaining 1.39% the previous month, and are up 13.13% year-to-date. The broad index, maintained by RBC Capital Markets, has returned 9.1% for the year so far, and incorporates results from 250 hedge funds. The funds are drawn from a universe of 5,665 hedge funds, excluding funds of funds, which counts total assets under management at $1.14 trillion.
Reproduction in whole or in part without permission is prohibited.
