The RBC Hedge 250 Index had a net return of 0.25 per cent in November, bringing the year-to-date return of the index to 4.05 per cent. These returns are estimated and will be finalised by the middle of next month. The return for October 2010 has been finalised at 1.22 per cent. The top performing strategy in November was fixed income arbitrage, which rose by 1.87 per cent. The worst performing strategy was managed futures, down 0.72 per cent. The RBC Hedge 250 Index is a non-investable benchmark of the performance of the hedge fund industry.

Auriel Capital Management, a London-based investment management firm, has launched a dynamic currency hedging programme for institutional investors with the backing of a USD1.1bn mandate from a US corporate pension plan. The strategy is designed to reduce the volatility of institutional investors’ foreign currency exposures while profiting from medium and long-term movements across foreign exchange markets. Implemented as a customised overlay, the programme aims to outperform a passively hedged benchmark of overseas currency exposures. It employs Auriel’s quantitative and qualitative risk controls in addition to a systematic portfolio construction process to reduce currency risk relative to static hedging.    Auriel’s

Final performance for the Dow Jones Credit Suisse Hedge Fund Index is confirmed down 0.18 per cent in November and up 7.82 per cent year-to-date. Six out of ten sectors posted negative performance for the month. Fixed income arbitrage was the best performing sector in November, finishing up 0.74 per cent. This was followed by long/short equity, which rose 0.46 per cent. Managed futures reversed from its index-leading performance in October, finishing down 4.11 per cent. Equity market neutral fell 2.51 per cent and is down 2.54 per cent year-to-date.