19 febrUARY 2015

alternativeedge snapshot

A Review of

Equity Hedge Fund Performance

in 2014

Alex Skorniakov
alex.skorniakov@newedge.com
newedge.com

The Dataset
For individual hedge fund data, we used our wider database that includes both live and dead
funds. We used strategy filters to identify the Equity Long/Short and Market Neutral funds,
and removed all the multiple currency and leverage classes to get a population of over 2500
unique equity strategies. This was then further screened so that only strategies that have had
USD50mio at one point during its life remained. In order to avoid backfill bias, we have endeavoured to exclude any returns data prior to inclusion date in the database.
Exhibit 1
Equity Hedge Fund Performance (Last 5 Years)
70%
60%
Cumulative Returns

Alex Hill
alex.hill@newedge.com

In 2014 Equity Long/Short strategies completed their third consecutive year at an annual
high water mark, having returned +33.1% since the beginning of 2012, although 2014 saw a
plateau in performance. In this paper we look at the recent performance of Long/Short and
Market Neutral equities strategies using hedge fund data from the Newedge Research Database (NERD). We show the performance at overall strategy, sector, and geography levels,
as well as look at the dispersion of individual manager returns. Additionally, we analyse the
performance of six long/short factor indices, and provide an analysis of the stock loan environment for European equities in 2014.

50%
40%

MSCI AC World TR Index

Long / Short
Market Neutral

30%
20%
10%
0%

-10%
-20%
40%
12-Month Rolling Returns

James Skeggs
james.skeggs@newedge.com

30%
20%
10%
0%

-10%
Dec-09

Jun-10

Dec-10

Jun-11

Dec-11

Jun-12

Dec-12

Jun-13

Dec-13

Jun-14

Dec-14

Source: SG CIB, BarclayHedge, Bloomberg

The authors would like to thank our SG colleagues Andrew Lapthorne and Gael Kessler for their invaluable support and advice that helped to improve this paper.

Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

Equity Hedge Fund

Performance

group is extremely low resulting in a very high Sharpe ratio of over

2.6 for the year.

In line with the strong performance of global equity markets in recent

years, Long/Short strategies completed their third consecutive year at
an annual high water mark, returning +33.1% since the beginning of
2012 as shown in the upper panel of Exhibit 1. Market Neutral strategies continued to grind higher and even marginally outperformed
Long/Short strategies, returning +3.02% in 2014, with performance
being split evenly between the first and second halves.

Exhibit 3
Equity Hedge Fund Summary Statistics for 2014
MSCI AC World TR Index
Long / Short
Market Neutral

2014
Return
4.16%
2.80%
3.02%

2014
Volatility
8.79%
5.01%
1.12%

2014 Sharpe
Ratio (T-Bill)
0.47
0.55
2.65

2014 Max.
Drawdown
-4.00%
-2.01%
-0.35%

Source: SG CIB, BarclayHedge, Bloomberg

The lower panel of Exhibit 1 details the 12-month rolling returns for
the two peer groups, and shows the plateau of Long/Short performance during 2014. Gains of +3.97% in the first half of the year were
partially offset by losses of -1.12% in the second as the global equity
rally stumbled.
Exhibit 2
Equity Hedge Fund 12-Month Rolling Volatility
MSCI AC World TR Index
Long / Short
Market Neutral

10%

Exhibit 5
Long/Short Alpha and Beta Contribution by Year

5%

0%

Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14

Source: SG CIB, BarclayHedge, Bloomberg

The volatility of Long/Short equity strategies, as shown in Exhibit 2,

continues to remain at very low levels of between 5%6%; 40% lower
than that of the long-only benchmark. So whilst Long/Short strategies underperformed the benchmark in 2014 in absolute returns,
they actually outperformed on a risk-adjusted basis. This is shown
in Exhibit 3 which details summary statistics for the two peer groups
and the benchmark for 2014. The volatility of the Market Neutral peer

40%

40%

30%

30%

20%

20%

10%

10%

0%

0%

-10%

-10%

-20%

-20%

-30%
-40%
-50%

Beta Contribution
Alpha Contribution
MSCI AC World TR Index

Index Annual Return

15%

As it is not possible to identify specific years in Exhibit 4, we have put

the data for Long/Short strategies into chronological order in Exhibit
5, which plots the alpha and beta contributions per year since 2000.
Also included for reference is the return of the long-only index.

20%

Alpha / Beta Contribution

12-Month Rolling Annualised Volatilty

25%

Exhibit 4 puts 2014 in a historical context by ranking, in descending

order, the returns and alpha/beta contributions over the last 15 years.
The 2014 return has been highlighted in each column. This exhibit
shows that 2014 was a relatively poor year by historical standards for
both the Long/Short and Market Neutral strategies. Furthermore, we
can also show that whilst the return from both alpha and beta were
positive for both strategies, in a historical context, the level of these
components was fairly poor.

-30%
-40%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

-50%

Source: SG CIB, BarclayHedge, Bloomberg

Exhibit 4
Historical Ranking of 2014 Equity Hedge Fund Performance
Historical Year Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

MSCI AC World TR Index

34.6%
34.0%
22.8%
21.0%
16.1%
15.2%
12.7%
11.7%
10.8%
4.2%
-7.3%
-14.2%
-16.2%
-19.3%
-42.2%

Total Return
Long / Short
31.1%
28.6%
18.1%
15.9%
13.9%
13.6%
13.4%
12.9%
12.5%
9.7%
7.4%
2.8%
-2.0%
-7.3%
-24.9%

Market Neutral
15.9%
8.8%
7.4%
7.2%
6.6%
6.5%
5.8%
5.2%
3.7%
3.5%
3.0%
3.0%
2.8%
2.0%
2.0%

Beta Contribution
Long / Short
Market Neutral
16.2%
2.2%
14.8%
1.7%
13.7%
1.3%
11.6%
1.3%
10.1%
1.1%
8.4%
0.7%
7.9%
0.5%
6.6%
0.4%
0.2%
5.5%
2.0%
0.1%
-4.1%
-0.2%
-7.3%
-0.4%
-8.3%
-0.6%
-9.2%
-1.5%
-21.5%
-3.3%

Alpha Contribution
Long / Short
Market Neutral
23.2%
19.2%
17.4%
8.4%
15.7%
6.4%
13.8%
6.1%
7.4%
6.0%
7.0%
5.1%
6.5%
4.4%
5.5%
3.7%
5.3%
3.5%
2.4%
3.5%
1.2%
3.4%
0.8%
3.3%
2.8%
-0.3%
-3.2%
2.5%
-3.4%
1.5%

Source: SG CIB, BarclayHedge, Bloomberg

Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

Whilst the performance of the equity hedge fund peer groups above
may appear to be slightly underwhelming in 2014, it is important to note
that these are the average returns of over 800 funds. The fate of individual managers will have varied significantly from the average returns.
In Exhibit 6 we show these varying fortunes by demonstrating the
dispersion of the returns for the individual constituents of our Long/
Short and Market Neutral peer groups. Specifically we plot the average return (y axis), vs. the average volatility (x axis) for each decile of
managers (grouped by returns) in each peer group. The volatilities of
Long/Short managers were typically greater than those of their Market Neutral counterparts, and exhibited more variation with the decile
average volatilities ranging from 7.1% to 18.7% (vs. 3.5%-6.6% for
Market Neutral).
Exhibit 6
Return Dispersion by Equity Hedge Fund Strategy in 2014
40%

One outcome of this is that the alphas generated within these wider
peer groups tend to be unrelated from one manager to another. This
is shown in Exhibit 9, which details the 12-month rolling average correlation of individual manager alphas.
Exhibit 7
Equity Hedge Fund Return Dispersion by Year
Long / Short
60%
50%
40%
30%
20%
10%
0%

-10%

30%

-20%

20%

-30%

10%

-40%

Market Neutral

0%

-10%
-20%

Long / Short
Market Neutral

-30%
0%

2%

4%

6%

8% 10% 12% 14%

Average Decile Volatility

16%

18%

20%

Source: SG CIB, BarclayHedge, Bloomberg

The return dispersion was also more pronounced for Long/Short

funds with the top 10% returning +32% on average whilst the bottom
10% lost on average -21.7%. Market Neutral funds also saw significant return dispersion with the average returns of the top and bottom
deciles varying by 23.7%. It is worth noting however that once top
and bottom deciles are excluded, the return dispersion is fairly consistent between the two strategy peer groups.
Exhibit 7 is split into two, with the upper panel covering Long/Short
managers and the lower panel Market Neutral strategies. This chart
shows the dispersion of the individual managers by plotting the
12-month rolling upper- and lower-quartile returns, in addition to
the interquartile range for each peer group. Whilst the variations discussed above for 2014 may at first seem large, the interquartile range
for Long/Short strategies ended 2014 at its lowest level since 2007.
Market Neutral strategies continue to demonstrate a smaller dispersion of returns, but this is in part due to the fact that they typically
have lower levels of volatility than Long/Short funds.
The variation in fortunes is, in large part, a result of the fact that there
are hundreds of strategies included in these high level peer groups
with varying areas of focus. The differences in strategy are best
shown in Exhibit 8, which details the 12-month rolling average pairwise correlations for each peer group. The Market Neutral peer group
is comprised of seemingly unrelated strategies, with the average correlation between these strategies being around 0.05 for the last five

Range / 12-Month Rolling Return

60%
Interquartile Range
Lower Quartlie
Upper Quartile

50%
40%
30%
20%
10%
0%

-10%
-20%
-30%
-40%
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: SG CIB, BarclayHedge, Bloomberg

Exhibit 8
12-Month Rolling Intra Peer Group Average Pairwise Correlation
0.50
0.45
12-Month Rolling Correlation

Average Decile Return

years. The average correlations for Long/Short are consistently higher than those in Market Neutral; however they are still low, averaging
just 0.32. The correlation in Long/Short has declined significantly in
the last two years and ends 2014 at 0.20.

Range / 12-Month Rolling Return

Individual Fund Return

Dispersion

0.40

Long / Short
Market Neutral

0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: SG CIB, BarclayHedge, Bloomberg

Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

Exhibit 9
12-Month Rolling Correlation of Equity Hedge Fund Alphas
0.30

Long / Short
Market Neutral

0.20
0.15

The betas of the geographical peer groups to their relevant benchmarks do vary through time as shown in Exhibit 11, averaging
approximately 0.49 over the last 10 years. Notably, the European focused Long/Short funds generally exhibit lower levels of beta to the
relevant benchmark.

0.05
0.00
-0.05
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

Source: SG CIB, BarclayHedge, Bloomberg

Returns by Geographical
Focus
For all of the Equity Long/Short managers we have further identified
the geographical focus of each fund and assigned a relevant long-only
benchmark (please see appendix 1 for further details).
The upper panel of Exhibit 10 shows a significant variation in returns of global equities with the North American benchmark rising by
+12.99%, whilst the European benchmark fell -7.22%. The remainder
of this table, and the lower panel of the chart, allows us to compare
the returns for the long-only benchmarks with the returns of our regional manager peer groups.
Exhibit 10
2014 Equity Long/Short Returns by Geographic Focus
Benchmark Peer Group
2014 Total 2014 Total
2014 2014 Sharpe 2014 Max.
Return
Return
Volatility Ratio (T-Bill) Drawdown
Asia
0.54%
2.72%
3.6%
0.742
-1.63%
Europe
-7.22%
2.48%
4.5%
0.544
-3.74%
Emerging Markets -2.19%
-2.47%
6.8%
-0.368
-6.29%
North America
12.99%
3.76%
6.5%
0.573
-2.87%
Global
4.16%
4.70%
5.2%
0.903
-1.72%
15%
Geographic Peer Group
Benchmark

2014 Return

10%

5%

0%

-5%

In a similar manner to the betas, the alphas also vary substantially

through time as shown in Exhibit 12. Following a period of recovery
during 2012 and 2013, the alpha has steadily declined throughout
2014, falling in most geographies by more than half. From this chart
we can also observe that the correlations of alphas to geographical
benchmarks have been higher over the last five years, rising from 0.42
in 20052010 to 0.76 since January 2010.
Exhibit 11
12-Month Rolling Betas to Geographical Benchmarks
1.0

12-Month Rolling Beta to Geographical Benchmark

0.10

0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
2005

Asia

Europe

Emerging
Markets

Source: SG CIB, BarclayHedge, Bloomberg

North America

Global

2006

2007

2008

2009

2010

2011

2012

2013

2014

Source: SG CIB, BarclayHedge, Bloomberg

Exhibit 12
12-Month Rolling Alphas to Geographical Benchmarks
20%
15%
10%
5%
0%
-5%

-10%

-10%

Asia
Europe
Emerging Markets
North America
Global

0.9

12-Month Rolling Alpha to Geographical Benchmark

12-Month Rolling Correlation

0.25

In our Asia, Emerging Markets, and Global peer groups, Long/Short

funds performed in line with the long-only benchmarks, though at
much lower volatilities. There is however a significant difference in
Europe and North America. Long/Short funds focused on Europe
significantly outperformed the European indices, producing positive
returns whilst the benchmark fell. US Long/Short managers on the
other hand also produced positive returns, but they trailed the benchmark, only capturing 30% of the market returns.

Asia
Europe
Emerging Markets
North America
Global

-15%
2005 2006 2007 2008 2009 2010
Source: SG CIB, BarclayHedge, Bloomberg

2011 2012 2013 2014

Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

We have also identified, where one exists, a sector focus for the Long/
Short managers in our NERD database, and assigned the relevant
MSCI Sector benchmark. There were sufficient funds in the following
sectors to make an analysis possible: Energy, Natural Resources, Financials, Healthcare, and Technology.
Exhibit 13 details the average performance of the funds in each sector,
as well as the alpha and beta components for each sector. Healthcare
funds posted particularly strong returns with the average fund gaining
+24%, and the Financials sector also saw gains of almost 9%. The
Energy and Natural Resource sectors struggled as stocks fell following
the large decline in crude oil prices in 2014. Technology was a sector
of note, with hedge funds posting small losses whilst the benchmark
produced positive returns. The MarchApril returns in this sector were
particularly challenging as active managers and hedge funds rotated
out of both growth and momentum names.
Exhibit 13
2014 Equity Long/Short Sector Return & Alpha/Beta Contribution
30%
25%
Alpha / Beta Contribution

20%

30%

Alpha Contribution
Beta Contribution
Total Return

25%
20%
15%

10%

10%

5%

5%

0%

0%

-5%

-5%

-10%

-10%

-15%

Energy

Natural
Resources

Financials

Healthcare

Technology

Total Return

15%

-15%

ance sheet strength, low price volatility, and low betas, was the best
performing during the year followed by the Value style. Yield and Profitability also produced positive returns, whilst Growth and Momentum
styles struggled.
In fact one of the most significant changes during the year was the
shift in the correlations between the Growth, Value, and Momentum
styles, as is shown in Exhibit 15. The correlation between the Growth
and Momentum styles began the year strongly negative (-0.76), but
this shifted to strongly positive over the course of four months between March and June, reaching a peak of 0.8 in October (which was
higher than was reached in 2008 and 2009) and ending the year at
0.74. The exact opposite has occurred in the correlation between the
Growth and Value styles, which has fallen from approximately +0.5 to
-0.5 throughout the year.
As above for the Long/Short managers, we can also look at the factor performance across regions, as is shown in Exhibit 16. The Quality
style produced significant returns in all regions, led by the US and
Japan. The exception to this was Emerging Markets, which posted
negative returns in Quality but saw good returns in Profitability and
Growth. For the second year in a row, every factor combination was
positive when applied to UK stocks, particularly Growth and Value.
The other individual combination of note was Yield in Europe.
Exhibit 14
2014 Global Long/short Factor Performance
20%
2014
Since 2000
15%
Annualised Return

Returns by Sector Focus

10%

5%

Source: SG CIB, BarclayHedge, Bloomberg

0%

Equity Factor Performance

A short summary of the construction methodology follows, and full

details can be provided on request. There are 39 underlying factors
calculated on the constituents of the FTSE All World Indices, which
are then grouped into 8 styles. Factor Combinations are then constructed using a number of the factors within each style group. In this
paper we use six of the long/short Factor Combinations to represent
various investment styles. These are built using an equally weighted
long/short portfolio, which is long the top quintile and short the bottom quintile stocks based on the underlying factors. All portfolios are
updated on a monthly basis and equal dollar weights given to each
of the longs and shorts.
Exhibit 14 shows the performance of the six investment styles for
2014 and the annualised return for each since 2000. The Quality
style, which encapsulates stocks that have high financial quality, bal-

-5%

Growth

Momentum Profitability

Quality

Value

Yield

Source: SG Cross Asset Research/Equity Quant, Factset, FTSE, I/B/E/S

Exhibit 15
12-Month Rolling Factor Correlations
1.00
0.80
12-Month Rolling Correlation

In addition to analysing the performance of equity Long/Short hedge

funds, we can also look at the returns of a series of long/short factor models to better understand the opportunities available to equity
managers. Our colleagues in the Equity Quant Research team at SG
have devoted a lot of time in developing a series of factor indices for
global equity markets, and this section will analyse the performance
of those factor/style returns.

0.60

Growth vs. Value

Growth vs. Momentum

0.40
0.20
0.00

-0.20
-0.40
-0.60
-0.80
-1.00

2005 2006

2007 2008 2009 2010

2011 2012 2013 2014

Source: SG CIB, SG Cross Asset Research/Equity Quant, Factset, FTSE,

I/B/E/S

Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

Japan
-1.22%
4.00%
1.90%
16.30%
1.81%
-0.86%

UK
8.59%
1.27%
2.24%
11.96%
6.65%
4.82%

Emerging
US
Markets
-5.42% 6.15%
-1.89% -0.76%
-2.37% 10.33%
19.15% -1.88%
0.55% 1.14%
5.76% 0.00%

Source: SG Cross Asset Research/Equity Quant, Factset, FTSE, I/B/E/S

European Borrow
Environment
In Exhibit 10 earlier we showed that Europe-focused Long/Short
managers had been able to produce positive returns despite a falling
market. With the short side clearly being important, we felt it would
be interesting to look at how the borrow environment has evolved for
European stocks.
Exhibit 17 details the average stock loan fee for the STOXX Europe
600 index constituents, broken down by market capitalisation. Average borrow rates for Large and Mid-cap stocks remained fairly
constant throughout the year, averaging 26bps and 47bps respectively, and both of these are at the lowest rates seen over the last five
years. Small cap stocks also ended the year with borrow rates at fiveyear lows of 71bps due to the very low levels of corporate activity at
the end of the year. This chart does show that this wasnt a steady
decline however, increasing by 30% from 90bps to 116bps during
March to May as a number of Italian, Spanish, and Portuguese banks
launched rights issues ahead of the ECB Asset Quality Review. The
large spike up to 248bps in June was caused by a significant rights
issue of just one stock, Banca Monte dei Paschi di Siena S.p.A.
Exhibit 17
STOXX Europe 600 Stock Loan Fee per Market Capitalisation
3.0%

Average Stock Loan Fee

2.5%

Small Cap
Mid Cap
Large Cap

2.0%
1.5%
1.0%
0.5%
0.0%
Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14

Source: SG CIB Equity Finance, Bloomberg, Dataexplorers

Exhibit 18 is a very rich picture that provides detailed information on

distribution of stock loan fees broken down by sector. The stacked
columns in this chart show how much of each sector falls into each
of the five stock loan fee categories. The Utilities and Basic Resource
sectors have more than 80% of their constituent with stock loan fees
of less than 50bps. On the other hand, Tech, Healthcare, and Financial
services all have over 35% of the sector with higher rates. The dots on
the chart show the average stock loan fee in each sector. The lowest
average borrow costs were to be found in Telecoms, a sector that has
been under heavy consolidation in Europe. The sector with the highest
average stock loan fee is Financial Services, followed closely by Basic
Resources. The latter may be surprising given that 84% of those stocks
have less than 50bps borrow costs, but there is 5% of the sector that

Exhibit 18
2014 STOXX Europe 600 Distribution of Stock Loan Fees By
Sector
100%

100

80%

60%
50
40%

20%

0%

Weighted Average Stock Loan Fee (bps)

Europe
-0.64%
-4.39%
4.06%
12.19%
1.23%
9.72%

0
Autos
Banks
Basic Res
Chems
Con&Mat
Fin.Svces
Food&Bev
H.Care
Ind.G&S
Insur
Media
Oil & Gas
P&HhGds
Real Est
Retail
Tech
Telecom
Travel
Utils

Growth
Momentum
Profitability
Quality
Value
Yield

World
-2.33%
-1.64%
1.52%
17.30%
5.46%
2.34%

have borrow costs greater than 300bps, a number of which have been
among the top specials in Europe in recent years.

% of Stocks per Stock Loan Fee Level

Exhibit 16
2014 Factor Returns by Geographical Focus

> 300 bps

150 - 300

75 - 150

50 - 75

< 50 bps

12M Avg SL Fee (rhs)

Source: SG CIB Equity Finance, Bloomberg, Dataexplorers

Conclusions
In this paper we analysed recent equity Long/Short and Market
Neutral performance, and showed that they have completed a third
consecutive year at a new annual high water mark. Despite outperforming the long-only benchmark in risk-adjusted returns, low
volatilities resulted in 2014 being a year that may be recognised as
slightly underwhelming for Long/Short funds.
We showed that the fate of individual managers however varied significantly from the average returns but highlighted that the dispersion
of returns, which may at first have seemed large, was actually at its
lowest level since 2007. We also showed the average correlation
within the Market Neutral peer group to be almost indistinguishable
from zero, and that correlation between Long/Short managers has
declined significantly in the last two years.
We identified the various geographical focuses of the managers in our
database, and showed European-focused managers significantly outperformed the European indices, producing positive returns whilst the
benchmark fell. US Long/Short managers, on the other, hand trailed
the benchmark, only capturing 30% of the market returns.
We also looked at the various sector specialists in our database and
showed that Healthcare funds led the way, gaining +24% on average. Technology was also a sector of note, with hedge funds posting
small losses whilst the benchmark produced positive returns. The
MarchApril returns in this sector were particularly challenging as
active managers and hedge funds rotated out of both growth and
momentum names.
In fact one of the most significant changes during the year was the
shift in the correlations between the Growth, Value, and Momentum
Societe Generale Prime Services

A Review of Equity Hedge Fund Performance in 2014

styles, as we demonstrated using a series of long/short factor models. The correlation between the Growth and Momentum styles began
the year strongly negative but shifted to strongly positive over the
course of four months between March and June. The exact opposite
has occurred in the correlation between the Growth and Value styles,
which has fallen from approximately +0.5 to -0.5 throughout the year.
We highlighted the strength of returns of the Quality factor in almost
all regions, and showed that for the second year in a row, every factor combination was positive when applied to UK stocks, particularly
the Growth and Value factors. European Yield and Emerging Markets
Profitability posted significant positive returns.
Finally we looked at how the European stock loan environment
evolved and showed that the borrow rates for Large and Mid-cap
companies remained fairly constant throughout the year. The increase
in borrow rates for small-cap companies observed during the first half
of the year was led by various rights issues by some European Banks,
and then this subsequently declined to very low levels towards the
end of the year.

Appendix 1
Benchmarks Used
Geographical
Peer groups
Asia
Europe
Emerging Markets
North America
Global

Index
MSCI Daily TR Net AC Asia USD Index
MSCI AC Daily TR Net Europe USD Index
MSCI Daily TR Net Emerging Markets USD Index
S&P 500 Net TR Index
MSCI AC World Daily TR Net USD Index

Sector
Peer groups
Energy
Natural Resources
Financials
Healthcare
Technology

Index
MSCI World Energy Sector Net TR USD Index
S&P Global Natural Resources Net TR Index
MSCI AC World Daily TR Net Diversified Financials
USD Index
MSCI AC World Daily TR Net Health Care USD Index
MSCI AC World Daily TR Net Information Technology
USD Index

The lowest average stock loan fees were to be found in Telecoms; a

sector that has been under heavy consolidation in Europe, and the
highest average stock loan fees were in Basic Resources where a
number of stocks have been among the top specials in Europe for a
number of years in a row.

Societe Generale Prime Services

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