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RBC Hedge 250 Index® returned 0.02 per cent in September
2006
Year-to-date performance is 5.69 per cent
NEW YORK, October 16, 2006 — RBC Capital Markets
today reported that for the month of September 2006 the RBC
Hedge 250 Index® had a net return of 0.02 per cent. This
brings the year-to-date return of the Index to 5.69 per cent.
These returns are estimated and will be finalized by the middle
of next month. The return for August 2006 has been finalized
at 0.77 per cent.
The RBC Hedge 250 Index is an investable benchmark of the
performance of the hedge fund industry. The Index operates
in accordance with a unique construction methodology. Comprised
of more than 250 actual hedge funds, the RBC Hedge 250 Index
is positioned as the industry’s most diversified and
representative investable index. The Universe on which the
Index is based currently consists of 5,569 hedge funds (excludes
funds of hedge funds) with aggregate assets under management
of $1.102 trillion.
Since its inception on July 1, 2005 through the end of August
2006, the RBC Hedge 250 Index has had an annualized net return
of 10.16 per cent. In comparison, over the same period, other
investable indices have averaged 6.79 per cent while non-investable
indices have averaged 11.85 per cent, according to information
reported by the sponsors of those indices.
For more information about the RBC Hedge 250 Index, including
historical performance information, please visit www.rbchedge250.com.
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Index Level |
Sep-06 |
Aug-06 |
YTD |
ITD |
|
| RBC Hedge 250 |
111.97 |
0.02% |
0.77% |
5.69% |
11.97% |
|
| Relative Value |
| Convertible Arbitrage |
|
1.06% |
0.99% |
12.57% |
17.59% |
| Equity Market Neutral |
|
-0.05% |
-0.03% |
1.86% |
4.11% |
| Fixed Income Arbitrage |
|
0.29% |
-0.11% |
4.62% |
7.48% |
| Tactical |
| Equity Long/Short |
|
0.12% |
1.41% |
7.12% |
16.21% |
| Macro |
|
-1.06% |
-1.17% |
-1.17% |
6.26% |
| Managed Futures |
|
-0.43% |
0.78% |
4.60% |
11.10% |
| Event Driven |
| Credit |
|
0.35% |
0.89% |
7.09% |
13.00% |
| Mergers & Special Situations |
|
0.18% |
0.78% |
7.08% |
12.03% |
| Multi-Strategy |
| Multi-Strategy |
|
0.47% |
1.22% |
9.66% |
16.65% |
Table contains estimated returns, except
for the August returns, which are final. Inception Date
is July 1, 2005. Index Level at inception was 100.00.
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About RBC's Alternative Asset Group
For the past 10 years, RBC’s Alternative Asset Group
has created structured products referencing portfolios of
hedge funds. It holds investments in over 1,000 hedge funds.
AAG is the oldest dedicated group in the industry and has
developed a significant infrastructure and extensive experience
in the areas of fund due diligence, risk analysis, transaction
execution, and portfolio administration and valuation.
About RBC Capital Markets
RBC Capital Markets is the corporate and investment banking
arm of RBC Financial Group and is active globally in fixed
income, foreign exchange, infrastructure finance, structured
products, metals and mining, and energy. Its North American
equity underwriting, sales, trading and research business
dominates the Canadian market and supports a significant and
growing franchise in the US middle market. The firm’s
international fixed income, structured products and treasury
businesses are managed from London, which is the centre of
a 24-hour trading platform with major hubs in Toronto, New
York and Sydney.
Past performance is not necessarily
indicative of future returns. Performance data for the RBC
Hedge 250 Index® (the “Index”) is net of underlying
manager fees and an Index Fee as set forth in the Index administration
rules (the “Index Rules”), and gross of any product
fees. The Index composition is based on the Index Rules which
are subject to change at any time and from time to time subject
to Index Committee approval .Index funds may be added or removed,
and allocations among funds, sectors and strategies may be
changed, based upon the criteria set forth in the Index Rules.
Implementation of the Index Rules in certain circumstances
may involve the exercise of discretion. Inclusion of a hedge
fund, sector or strategy in the Index does not represent an
endorsement by RBC as to the investment merits of the fund,
sector or strategy. Statements as to diversification and representative
nature reflect RBC Capital Markets’ opinion based on
a comparison of the RBC Hedge 250 Index with other major investable
hedge fund indices across a combination of factors, which
include the number of hedge funds included in the index, the
methodology used to weight strategies and funds, and the performance
of the index versus the non-investable hedge fund indices.
This material is not intended as investment advice, or as
an offer or solicitation for the purchase or sale of any security
or other financial instrument. For further information on
composition, fees and administration of the Index, see the
Index Rules.
Certain statements in this Press Release
constitute “forward looking statements” within the
meaning of the Private Securities Litigation Reform Act of
1995. Such forward looking statements involve known and unknown
risks, uncertainties and other factors, which may cause the
actual results, performance or achievements to be materially
different from any future results, performance or achievements
expressed or implied by such forward-looking statements. RBC
assumes no obligation to update these forward looking statements
to reflect actual results, changes in assumption or changes
in other factors affecting such forward looking statements.
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For further information, please contact:
In the U.S.
Kevin Foster, RBC Capital Markets, (212) 428-6902, kevin.foster@rbccm.com
Stewart Lewack, The Hubbell Group, Inc., (781) 878-8882, slewack@hubbellgroup.com
In the U.K.
Jane D'Amico at 20 7029 7685 or jane.damico@rbccm.com
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