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Greenwich Investable Hedge Fund Indices; All Strategies Down YTD Except for Arbitrage and Long/Short Credit

Friday, January 27, 2012
Opalesque Industry Update – The Greenwich Investable Hedge Fund Indices produced mixed results in December, another volatile month for equity prices. The monthly and quarterly redemption Composite Indices fell by 0.46% and 0.27%, respectively, for the month.

The Managed Futures Index was the best performer, gaining 2%, followed by the Investable Arbitrage Index, which gained 0.41%. The Greenwich Long-Short Equity Investable Index also fell by 0.38% compared to a decline of 0.12% in the MSCI World Equity Index and a gain of 1.02% on the S&P 500 Total Return Index. For the year, the Long-Short Credit and Arbitrage Investable Indices produced the most favorable results, gaining 6.33% and 2.71%, respectively.

“Lack of market direction and prolonged economic uncertainty were central themes for investors in 2011. Hedge funds as a whole had a lackluster year in large part due to the risk averse nature of most managers. Market Neutral strategies were more insulated from market swings than Directional funds and as a result had better performance. Managers focused on fundamentals frequently found themselves subject to headline risk that complicated their investments. However, despite the relative weakness in 2011, hedge funds still maintain a favorable risk-return comparison to the S&P 500 over the last 4 years,” said Clint Binkley, Senior Vice President.

(press release)

Greenwich Investable Hedge Fund Index Performance at a Glance

 

Total Return

Annualized from Inception

Inception Date

 

Dec11

Nov11

YTD

CAR

S.Dev

 

Greenwich Investable Index -
Monthly Liquidity

-0.46%

-0.52%

-3.93%

3.03%

5.90%

1-Jan-2003

Greenwich Investable Index - Quarterly Liquidity

-0.27%

-0.33%

-3.03%

0.26%

4.32%

1-Jan-2010

Arbitrage

0.41%

0.06%

2.71%

6.67%

2.59%

1-Jan-2010

 

 

 

 

 

 

 

Equity Market Neutral

-0.07%

-0.81%

-1.13%

-0.81%

2.23%

1-Jan-2010

 

 

 

 

 

 

 

Event-Driven

0.13%

-0.15%

-1.61%

3.28%

4.20%

1-Jan-2010

 

 

 

 

 

 

 

Futures

2.00%

1.09%

-2.58%

2.84%

9.91%

1-Jan-2010

 

 

 

 

 

 

 

Long-Short Credit

-0.04%

-0.03%

6.33%

7.24%

4.09%

1-Jan-2010

 

 

 

 

 

 

 

Long-Short Equity 

-0.38%

-1.34%

-5.05%

5.56%

7.64%

1-Jan-2003

 

 

 

 

 

 

 

Macro

-0.58%

0.65%

-4.15%

-1.36%

3.28%

1-Jan-2010

 

 

 

 

 

 

 

Comparative Benchmarks

Statistics Start Date

MSCI WEI

-0.17%

-2.69%

-7.62%

3.92%

16.58%

1-Jan-2003

S&P 500 TR

1.02%

-0.22%

2.12%

5.38%

15.27%

1-Jan-2003

Barclay's Aggregate Bond 

1.10%

-0.09%

7.84%

5.48%

3.71%

1-Jan-2003

www.greenwichai.com

BG

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