Thu, May 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. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  2. Investing - Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds, Hedge funds buy Actavis, Valeant. ETFs join the party, The most loved biotechs of big hedge funds, Stocks to buy ... according to hedge funds, Atlantic City bond offering attracts hedge funds as buyers, Okumus Fund Management discloses huge new Ascent Capital Group stake[more]

    Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds From Boingboing.com: When a giant hedge fund is bidding on all the foreclosed houses in a poor neighborhood, living humans don't stand a chance -- but that's OK, because rapacious investors make great landl

  3. Institutions - Institutional investors turn to real estate, planes, Assets at Boston’s five biggest family nonprofits rise to $3.5bn[more]

    Institutional investors turn to real estate, planes From Joins.com: The National Pension Service and domestic emerging market specialists who did not know where to invest in a low interest rate environment are turning to other investments like the blue-chip real estate market abroad.

  4. Opalesque Exclusive: BMO launches multi-strat '40 act fund[more]

    Bailey McCann, Opalesque New York: As we reach new market highs, investors are looking for a way to diversify and protect their portfolios from a potential market correction. Liquid alternatives are rapidly gaining ground as a critical tool for investors to use to mitigate downside risk. The BMO

  5. All hedge fund strategies rebounded last week as market conditions normalize[more]

    Komfie Manalo, Opalesque Asia: After a difficult start this month, all hedge fund strategies ended last week in positive territory, as the Lyxor Hedge Fund Index gained 0.9% (-0.2% MTD, 3.3% YTD). According to Lyxor AM’s latest Weekly Briefing, in t

 

banner