Industry Updates

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

Friday, January 27, 2012

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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