The Ernst and Young New Zealand Absolute Return index surged in October to its second highest level since launch in July 2007, gaining 2.83 per cent for the month.
The Ernst and Young New Zealand Absolute Return index surged in October to its second highest level since launch in July 2007, gaining 2.83 per cent for the month.
This puts year to date performance at 15.8 per cent, and year on year performance at 18.07 per cent.
Profitable performance from managers with a positive exposure to the serial correlation of market returns (what some call ‘trend following’), and implied volatility contributed to a substantial proportion of the month’s gain.
A long-short commodities component also surprised with a positive performance, even in the face of weaker commodity markets.
Anthony Limbrick, chairman of New Zealand Absolute Return Association and chief investment officer of Pure Capital, one of the contributing managers, says: ‘The Ernst & Young New Zealand Absolute Return Index was developed to do two things. The first was to raise both offshore and domestic awareness of the small but innovative New Zealand industry. This is an ongoing process but we are confident we are making progress.
‘The second, to highlight the competence of New Zealand managers, continues to be reinforced by the strong performance of the index, both in outright terms, and in relative terms against our global peers.’
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 is compiled again as a simple average to create the index.
