Fri, Aug 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Commodities - Commodity hedge funds lose most in three years as rout deepens, Funds bet on Shell deal as oil prices plunge[more]

    Commodity hedge funds lose most in three years as rout deepens From Bloomberg.com: Hedge funds betting on commodities lost the most in almost three years in July as the price-rout deepened. Funds lost money for a third month, according to the Newedge Commodity Trading Index, which was re

  2. Investing - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  3. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  4. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  5. JTC acquires Kleinwort Benson’s fund administration business[more]

    Bailey McCann, Opalesque New York: JTC has completed the acquisition of Kleinwort Benson’s fund administration business, boosting assets under administration (AuA) to $56 billion. Kleinwort Benson is based in the Channel Islands, South Africa. The transaction, which relates to the whole of K

 

banner