Mon, Oct 23, 2017
A A A
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 www.greenwichai.com.


MACRO MANAGERS SEE A MIXED OCTOBER FOR ASSET PRICES

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.


Be

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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad