NHX Performance Review - September 2017 Funds count: 155 Month in Review Nordic hedge funds, as expressed by the Nordic Hedge Index - NHX, gained an estimated 0.7% in September (88% reported), extending their year-to-date aggregate gains to 2.3%. The five NHX sub-categories displayed mixed performance, with CTAs suffering another period of underwhelming performance due to quick reversals in several months-long trends (falling bond yields, weakening U.S. dollar and rising metal prices). Nordic CTAs incurred an average loss of 2.4%, bringing the year-to-date losses to 5.2%. Equity-focused hedge funds gained 2.0% in September (3.2% YTD), putting an end to a four-month downtrend. Fixed-income strategies continue to deliver positive returns for a 19th consecutive month, recording 0.5% last month (6.5% YTD). Multi-strategy funds posted their second-best month of 2017 after gaining 0.8% (3.3% YTD), whereas fund of funds lost an estimated 0.4% (-0.2% YTD). Among individual winners, long-short equity fund AAM Absolute Return Fund was the best-performing fund, returning 10.3% (-2.9% YTD). Atlant Sharp Europe, a fund employing equity-related derivatives on the EuroStoxx50 Index, and Atlant Sharp, the Swedish version of the same strategy, were the second- and third-best performing funds, returning 6.5% and 6.3%, respectively. On the losing side of the index are trend-following strategies, with systematic Estlander Alpha Trend II (-9.0%), RPM’s Galaxy (-7.0%) and Evolving CTA Fund (-4.0%), and Brummer-backed Lynx (-4.5%) being among the worst-performing funds. Nonetheless, the list of bad performers was topped by AIM Insurance Strategies, a fund investing in Insurance Linked Strategies (ILS) that was seriously hit by hurricanes Irma and Harvey. The fund returned -10.6% in September, bringing the year-to-date losses to 11.6%.
Sub-Strategy and Country-by-Country Performance 10%
8% 6%
5% 4% 0%
2% 0%
-5% -2% -10%
-4% NHX Composite
NHX CTA
NHX Equities
MTD
NHX Fixed Income
NHX Multi-Strategy
NHX Fund O f Funds
NHX Denmark
NHX Finland
YTD
NHX Norway
MTD
The NHX Composite gained an estimated 0.17% in July on the back of gains from CTAs (+0.98%). Fixed income continued to do well, adding 0.33%. Other sub-strategies were little changed on the month.
NHX Sweden
YTD
On a country-by-country level, Finland was the best perforrmer. Sweden was talso positive while Denmark and Norway showed slight losses.
NHX Composite Historical Monthly Returns (88% updated NAVs) JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
2017
0.05
1.21
0.27
0.54
-0.21
-0.53
0.13
0.12
0.68
OCT
NOV
DEC
Year
2016
-1.1
0.36
0.31
0.4
0.57
0.1
1.39
0.06
0.21
-0.02
0.19
1.07
3.58
2015
2.27
1.39
0.91
-0.1
0.4
-1.43
1.21
-1.44
-0.49
0.87
1.7
-0.45
4.87
2014
0.3
1.68
-0.08
0.09
1.23
0.27
-0.05
0.74
0.07
-0.04
1.14
0.02
5.49
2013
1.82
0.59
0.52
0.55
0.77
-1.27
0.68
-0.42
1
1.41
0.97
0.98
7.83
2012
1.75
1.45
0.25
-0.04
-0.35
-0.48
1.86
0.35
0.24
-0.57
0.43
0.9
5.9
2011
-0.18
0.46
0.26
1.32
-0.92
-1.49
0.02
-1.82
-1.06
0.72
-0.43
0.56
-2.57
2010
0.3
0.07
1.81
0.76
-1.57
-0.68
0.71
0.36
1.62
1.07
0.3
3.3
8.25
2009
0.44
-0.32
1.12
2.46
2.97
0.04
1.96
1.51
1.73
0.17
0.73
0.6
14.2
2008
-1.13
1.84
-0.73
0.52
1.22
-1.24
-1.43
0.05
-4.28
-3.6
-0.58
-0.47
-9.53
2007
1.11
0.17
0.93
1.44
1.07
0.3
-0.38
-1.45
0.89
1.06
-1.49
0.3
3.96
2006
1.7
0.75
2.22
1.02
-1.26
-0.07
-0.22
0.97
0.67
1.01
1.42
1.99
10.62
2005
0.76
1.45
0.37
-0.57
1.25
1.68
1.52
0.51
1.72
-1.39
1.75
2.01
11.56
2.28
Nordic Business Media AB | Corporate No.: 556838-6170, Stockholm SE-103 89 | Phone: +46 (0) 8 5333 8688 | Email: kamran@hedgenordic.com There is a substantial risk of loss in trading commodity futures, options and off-exchange foreign currency products. Past performance is not indicative of future results.