Australian hedge funds flat as equities take a breath
October results for the absolute return and hedge fund sector in Australia were generally flat, but this still represents outperformance of around two per cent when compared with equity markets, according to Australian Fund Monitors.
There was the usual diversification of returns between the best (eight per cent) and worst performing funds (minus seven per cent) as there was between strategies.
Equity market neutral returned +1.69 per cent against managed futures which lost an average of 1.74 per cent.
Over the last 12 months, strategy performances ranged from +30 per cent to -25 per cent, and individual fund performances from +110 per cent to -30 per cent.
By contrast to the strategy performance of the past 12 months, which has been dominated by equity based funds, there was some variety in this month’s strategy performance. Equity market neutral returned to the leaders’ board, where it had held sway in 2008, while equity long was well down the list, albeit still in positive territory for the month.
The top ten locally managed and domiciled equity funds had an annualised return of 14.43 per cent, a standard deviation of just 5.53 per cent, a Sharpe ratio of 1.45 and a maximum drawdown of -5.65 per cent.
Over the same three year period, the ASX200 returned a negative 3.32 per cent, a drawdown of over 50 per cent at one stage, a negative Sharpe ratio, and volatility of over 17 per cent.
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