Key HF Data
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Nov 2011
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Ytd 2011 |
| HFRI Composite index Euro |
-1,10% |
-4,61% |
| HFRI Equity Hedge |
-1,84% |
-7,39% |
| HFRI Quantitative Dir |
-0,08% |
-5,99% |
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UCITS Alternative Index Dec
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0,35% |
-3,64% |
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A lot of dispersion in 2011 best performers had a lot of exposure to STIR (back month Reds, Greens) , bonds and low exposure to commodities and equities. Slow models (low margin to equity) or very short term outperformed more medium term strategies. With no more upside in STIR contracts and long bonds (Bund, Gilt, JGB and US Bonds futures) trading at historical lows, 2012 should be a challenging trading year for models strongly exposed (weighted) to financial.
Average Managed Futures are negative on the year (-10%/-5%) and the best performers are between +5 and +10%. (Source Newedge research).
Today, 5th of January, France has received less demand on its monthly 10 years auction and has to pay up to 3,29%, against 2,72% in October and 3,22% in November. The 30Y auction has apparently been better received by investors.
In average France has paid 2,80% on its debt in 2011. 2012’s objectives are to raise a total of 178 bn euros.
I wish you an excellent new year for you and your family!
I take this opportunity to thank all of you for visiting the blog and your great support!
Best Wishes!
Sophie
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Feedback from NYC 20 April
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