Key Takeaways
- • The Dow Jones Credit Suisse Core Hedge Fund Index gained 0.47% in September 2012, with five of seven component strategies posting positive returns for the month.
- • Long/Short Equity was the strongest performer in September at +2.43%, while Managed Futures suffered the steepest decline at -2.72%, marking its second consecutive negative month.
- • Year-to-date 2012 performance stood at +2.51% for the overall index, with Convertible Arbitrage (+5.90%) and Global Macro (+4.86%) leading gains and Managed Futures (-1.90%) and Emerging Markets (-0.11%) lagging.
- • Event Driven strategies produced the second-best September return at +1.46%, while Emerging Markets declined -0.37%, reflecting continued weakness in developing economy exposures during the period.
- • The index measures liquid hedge fund structures sourced from multiple managed account platforms, providing transparency and liquidity advantages over single-platform indices and addressing post-2008 market focus on fund accessibility.
Summary
The Dow Jones Credit Suisse Core Hedge Fund Index closed September 2012 with a modest gain of 0.47%, demonstrating resilience across the hedge fund industry as five of the seven constituent strategy categories delivered positive monthly performance. This result reflects the continued recovery trajectory of liquid hedge fund structures in the aftermath of the 2008 financial crisis and growing institutional demand for transparent, accessible alternative investment vehicles.
Long/Short Equity emerged as the strongest performer in September, delivering a +2.43% return and extending its August gains of +1.66%. Event Driven strategies produced the second-best result at +1.46%, up from +1.04% in August. Convertible Arbitrage and Fixed Income Arbitrage posted more modest single-digit gains of +0.30% and +0.26% respectively, while Global Macro's performance decelerated sharply to +0.11% from +0.88% in August, signaling reduced volatility opportunities in macro-driven positions.
Performance divergence widened among underperforming strategies. Managed Futures continued its deterioration, declining -2.72% in September following an already-weak -2.01% performance in August, marking sustained weakness in systematic trend-following strategies. Emerging Markets posted a -0.37% loss, extending modest August weakness of -0.15%, suggesting persistent headwinds in developing market exposures amid global economic uncertainty.
Year-to-date 2012 results through September show the overall index up +2.51%. Convertible Arbitrage and Global Macro led cumulative performance at +5.90% and +4.86% respectively, while Managed Futures remained underwater at -1.90% and Emerging Markets essentially flat at -0.11%. This performance composition underscores diverging market conditions favoring relative value and arbitrage strategies while pressuring trend-following and EM-exposed positions.
The Dow Jones Credit Suisse Core Hedge Fund Index distinguishes itself by sourcing funds from multiple managed account platforms, addressing post-2008 investor priorities around liquidity and transparency. This multi-platform approach provides advantages over single-platform indices that may reflect sector concentration or platform-specific biases, making it a comprehensive barometer of the liquid hedge fund industry segment.
Long/Short Equity emerged as the strongest performer in September, delivering a +2.43% return and extending its August gains of +1.66%. Event Driven strategies produced the second-best result at +1.46%, up from +1.04% in August. Convertible Arbitrage and Fixed Income Arbitrage posted more modest single-digit gains of +0.30% and +0.26% respectively, while Global Macro's performance decelerated sharply to +0.11% from +0.88% in August, signaling reduced volatility opportunities in macro-driven positions.
Performance divergence widened among underperforming strategies. Managed Futures continued its deterioration, declining -2.72% in September following an already-weak -2.01% performance in August, marking sustained weakness in systematic trend-following strategies. Emerging Markets posted a -0.37% loss, extending modest August weakness of -0.15%, suggesting persistent headwinds in developing market exposures amid global economic uncertainty.
Year-to-date 2012 results through September show the overall index up +2.51%. Convertible Arbitrage and Global Macro led cumulative performance at +5.90% and +4.86% respectively, while Managed Futures remained underwater at -1.90% and Emerging Markets essentially flat at -0.11%. This performance composition underscores diverging market conditions favoring relative value and arbitrage strategies while pressuring trend-following and EM-exposed positions.
The Dow Jones Credit Suisse Core Hedge Fund Index distinguishes itself by sourcing funds from multiple managed account platforms, addressing post-2008 investor priorities around liquidity and transparency. This multi-platform approach provides advantages over single-platform indices that may reflect sector concentration or platform-specific biases, making it a comprehensive barometer of the liquid hedge fund industry segment.
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