Wed, Jul 1, 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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  3. Hedge funds panic over Greece[more]

    Komfie Manalo, Opalesque Asia: Some investors are in panic mode as Greek Prime Minister Alexis Tsipras announced Sunday night that the banks and the stock market would be closed Monday, said

  4. Alternative investment industry could grow to $13.6tln in five years[more]

    Komfie Manalo, Opalesque Asia: Leading auditing and advisory group PwC said that the global alternative investment industry, which includes hedge funds, private equity and real assets, is set to increase to $13.6tln within the next five years. "Be

  5. Qbasis gets $200m-plus investment in 'black swan' hedge fund[more]

    From Reuters.com: A hedge fund that more than doubled clients' money during the 2008 financial crisis has attracted more than $200 million from an investor aiming to cash in on fresh ructions in global markets. Qbasis Invest has secured the investment from Britain's Omada Capital, Florian Wagner, wh

 

banner