Wed, Dec 17, 2014
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. Investing - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Opalesque Exclusive: U.S. legal receivables fund launched in August[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Investing in asset-backed receivables is a strategy that has been an integral part of the alternative investment space within the overall fixed income asset c

  4. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und

  5. Performance - Lansdowne, Man Group, other hedge funds profit from shorts in oil, Turmoil boosts hedge funds that bet against Russia, oil, CTAs post strongest returns since December 2010[more]

    Lansdowne, Man Group, other hedge funds profit from shorts in oil From Valuewalk.com: The rising short interest in oil companies implies that the worst for oil is yet to come. Data from Markit shows that short exposure in energy sector of S&P 500 is still looming close to the highest mar