Hedge funds invested in Europe have outperformed those invested in the North American market over th...
Hedge funds invested in Europe have outperformed those invested in the North American market over the 12 months to 30 September and over three years to that date.
According to the MSCI hedge fund indices, the European market sub-index posted positive returns of 5.22% compared with the -4.65% achieved by the MSCI Hedge Fund North American Index this calendar year to the end of September.
Over one year, the Hedge Fund Europe Index posted positive returns of 5.76%, compared with the North American index loss of 0.44%.
Over three years, the European market gained 14.77% compared with the 8.63% returns achieved by hedge funds invested in North America.
While Europe may have been a more lucrative play for hedge funds than the US over the past three years, Japan was the best geographic area in which to be invested over the year to the end of September, achieving average returns of 7.04%.
During September alone, the Japan sub-index of MSCI's hedge fund indices was the only geographic market to post positive returns, at 0.14%.
The three-year Sharpe ratio was also higher for funds invested in Europe than the North American market, at 0.84% compared with 0.54%.
The highest Sharpe ratio posted by MSCI's sub indices by market was the MSCI Hedge Fund Global Markets index, at 1.15%.
By strategy, the highest Sharpe ratio was achieved by relative value strategies, posting 2.12% compared with the lowest three-year Sharpe ratio of 0.48%, achieved by the MSCI Security Selection index.
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