RBC Hedge 250 Index lost 5.40 per cent in October

Date: Monday, November 17, 2008
Author: RBC Capital Markets

RBC Capital Markets has reported that the RBC Hedge 250 Index declined by an estimated 5.40 per cent in October, bringing the index's fall over the first 10 months of the year to 18.20 per cent, following confirmation of its 8.05 per cent loss in September.

The RBC Hedge 250 Index is designed as an investible benchmark of the performance of the hedge fund industry and comprises more than 250 actual hedge funds. The universe on which the index is based currently consists of 5,973 hedge funds (excluding funds of hedge funds) with aggregate assets under management of USD1.56trn.

Between its launch on July 1, 2005 up to the end of September this year, the RBC Hedge 250 Index has had an annualised net return of 2.88 per cent.

According to RBC Capital Markets, losses in October were led by fixed-income arbitrage (down 15.44 per cent), convertible arbitrage (13.60 per cent) and credit (11.73 per cent), while multistrategy funds were down an average of 9.38 per cent. By contrast, equity market neutral gained 0.72 per cent, macro 0.98 per cent and managed futures 3.32 per cent.

Managed futures is also the top performer so far in 2008 with a gain of 11.91 per cent and is the only hedge fund strategy among the nine reported by RBC to be in positive territory for the first 10 months of the year.

Equity long/short is down 13.72 per cent, mergers and special situations by 21.29 per cent, fixed-income arbitrage by 21.81 per cent, credit by 27.43 per cent and convertible arbitrage by 234.05 per cent, while multistrategy funds have lost an average of 29.87 per cent.

RBC's alternative assets group creates structured products referencing portfolios of hedge funds and holds investments in more than 1,200 hedge funds. The corporate and investment banking arm of Royal Bank of Canada, RBC Capital Markets is active in debt origination, sales and trading, foreign exchange, infrastructure finance, structured products, metals and mining, and energy.