Sat, Oct 22, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Greenwich Global Hedge Fund Index up 2.9% in September, 16.8% YTD, macro managers see mixed October for asset prices

Monday, October 12, 2009
Opalesque Industry Updates - Hedge funds as measured by the Greenwich Global Hedge Fund Index (“GGHFI”) improved during the month of September to their highest levels on the year.

The GGHFI returned +2.89% while the Greenwich Composite Investable Index (“GI2”) gained +2.26% during the month, compared to global equity returns in the S&P 500 Total Return +3.73%, MSCI World Equity +3.81%, and FTSE 100 +4.58% equity indices.

Year-to-date, the GGHFI and the GI2 have returned +16.78% and +3.90%, respectively, while the S&P 500 Total Return, MSCI World Equity, and FTSE 100 Indices have returned +19.25%, +22.47%, and +15.78%, correspondingly. 82% of constituent funds in the GGHFI ended the month with gains.

“Nearly all hedge fund strategy groups continue to move higher with the market, despite the cautious stance of many managers. Net exposures continue to fluctuate greatly among funds as managers are careful not to lose their gains on the year,” writes Clint Binkley, Senior Vice President.

Market Neutral funds turned in another excellent month, pushed higher once again by Event Driven strategies. Managers investing in distressed companies averaged the highest return on the month, gaining 4% as strong economic numbers gave support to struggling firms.

Arbitrage funds also moved higher, led by Convertible Arbitrage managers, whose 42% gain on the year easily tops the list of YTD hedge fund returns. Fixed Income and Statistical Arbitrage also gained on the month, with returns of 2.00% and 1.19%, respectively. Finally, Equity Market Neutral funds advanced modestly with a gain of 0.98%.

Directional Trading strategies improved during September as Futures managers turned positive on the year once again. On average, CTA funds gained 1.75% in their second best month of the year. Many trend-following models have struggled in what has been a disappointing year following impressive returns for the sector in 2008. Macro and Market Timing funds also gained in September, advancing by 1.63% and 1.62%, respectively.

Long/Short Equity funds advanced for their seventh straight month, and were the second best performing strategy group during the month of September. Growth managers capitalized on market momentum by outperforming their Value-based counterparts, as each gained 4.15% and 3.69%, respectively. Opportunistic funds trailed other long/short funds but still advanced by 1.87%.

Finally, Short-Selling funds continued to face difficult conditions as the selloff in equities that many expected failed to materialize. These funds fell by 2.18% on average.

Emerging Market managers led the Specialty Strategies group in the month of September, posting the highest returns of any hedge fund sector. Positive economic news from Brazil and China drove equity markets in these sectors which had a positive impact on managers. Multistrategy funds paced gains in the GGHFI, gaining 2.82%, while Fixed-Income funds advanced 2.13%, extending their 2009 gains to 19.44%.

Full performance table and report: Source.

Past performance and indices construction rules for all Greenwich Hedge Fund Indices may be viewed at


Greenwich Alternative Investments, LLC released today its market sentiment indicators for U.S. equities, the U.S. Dollar and the U.S. Treasury 10-year Note.

Macro Managers were less bearish on the outlook for U.S. Equities for October. For the month, 43% of managers reported a bearish sentiment versus 66% in September; 29% of managers reported a bullish outlook for the month, up 16%.

Macro Managers were also somewhat divided on their outlook for the U.S. Dollar. For October, 57% reported a bullish sentiment, 14% reported a neutral sentiment, and 29% maintained a bearish view.

With respect to 10-year U.S. Treasury prices, Macro Managers grew more bearish on their outlook for the third consecutive month. For the month, 57% of managers reported a bullish outlook, 0% of managers reported a neutral outlook, and 43% reported a bearish outlook.

The Greenwich Alternative Investments Macro Sentiment Indicators are based on the outlook of hedge fund managers employing a macro view and who manage, in aggregate, in excess of $30 billion in assets. The purpose of the indicators is to reveal how these managers believe the S&P 500, the U.S. Dollar and the U.S. Treasury 10-year Note will perform over the current month. Source.


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p