The Ernst & Young New Zealand Absolute Return Index, launched just over a year ago by New Zealand Absolute Return Association, the organisation representing the country’s hedge fund, C
The Ernst & Young New Zealand Absolute Return Index, launched just over a year ago by New Zealand Absolute Return Association, the organisation representing the country’s hedge fund, CTA and absolute return equity industry, has returned 3.86 per cent in September, while hedge funds worldwide were losing more than 6 per cent on average.
NZARA chairman Anthony Limbrick acknowledges that the index is narrow, reflecting a small but innovative industry, with initially just seven constituent managers. However, he says, it represents a cross-section of the global industry, with global equities, trend-following, long volatility and commodities all represented.
Since the launch of the index – data collection started in July 2007 – it has returned more than 25 per cent, and its performance over the first nine months of this year is 12.4 per cent.
‘Considering most indices are struggling to post gains on a year-to-date basis, or are now substantially lower than where they were on December 31, we are quite satisfied with the performance of the index,’ Limbrick says. ‘We believe the performance is confirmation of the innovation and competence of the index manager group.’
The Ernst & Young New Zealand Absolute Return Index is based on the principle of simple averages. Each of the seven constituent managers submits an NZARA Average of the performances of all their funds or programmes open to new money.
This collection of simple averages is compiled again as a simple average to create the index. Ernst & Young compiles the index but is not a verification agent and does not guarantee the veracity of the performance numbers submitted by the constituent managers.
