Sat, Dec 10, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Greenwich Global Hedge Fund Index declines -2.25% in May as Markets Tumble, 1.39% YTD

Wednesday, June 09, 2010
Opalesque Industry Update - Hedge funds as measured by the Greenwich Global Hedge Fund Index (“GGHFI”) fell by a fraction of the losses experienced by global markets in May. The GGHFI shed 2.25% compared to global equity returns in the S&P 500 Total Return -7.99%, MSCI World Equity -9.91%, and FTSE 100 -6.57% equity indices. 28% of constituent funds in the GGHFI ended the month with gains.

“While the majority of hedge fund strategies declined in May, the magnitude of the loss is substantially less than that of global equity returns,” notes Clint Binkley, Senior Vice President.

“Historically, the bulk of hedge fund alpha has been generated in bear market moves. Investors have come to expect that hedge funds will emphasize capital preservation over outsized returns. The results that we see in May confirm this expectation and demonstrate the value proposition for investing in this asset class.”

Market Neutral funds declined marginally in May, losing 1.04% on average as Event-Driven funds slightly outperformed Arbitrage strategies. The Event-Driven sector fell by 0.94%, as Distressed and Special Situations managers declined by 65 and 53 bps, respectively. Merger Arbitrage funds also experienced a tough month, losing 1.73%. Arbitrage strategies shed 1.61% as managers posted mixed results. Convertible Arbitrage funds saw their winning streak come to an end as funds dropped 2.90% on average. Fixed Income Arbitrage funds also lost 1.60%. Although a small portion of the overall index, Other Arbitrage strategies gained 1.29%. Equity Market Neutral funds were the best performing group of Market Neutral managers in February, only declining by 58 bps.

Directional Trading funds turned in excellent results in May, posting the smallest loss of all hedge fund strategy groups. Nearly 60% of Macro managers posted positive results, gaining 0.70% on average. Short positions in the Euro and profitable fixed income positions helped propel these funds in May. Managed Futures funds lost a respectable 1.22% as commodities declined with equity markets during the month. Discretionary traders performed slightly better than systematic models.

Long/Short Equity managers were the hardest hit among hedge funds in May as the Greenwich Long/Short Hedge Fund Index lost 4.31% during the month. Most funds had begun to reduce net exposures as equity markets fell near the end of April, which mitigated losses to an extent. Value investors fared slightly better than Growth funds, with each index losing 4.07% and 5.44%, respectively. Opportunistic managers lost 3.72% while Short-Biased funds capitalized on the drop in equities, gaining 2.47%. Long/Short Equity funds on average still maintain a small gain on year-to-date basis.

The Greenwich Long/Short Credit Index was one of the most successful smaller strategy groups in May, gaining 0.42%. Multi-Strategy funds paced the losses in the GGFHI, as the Greenwich Multi-Strategy Index fell by 2.31%.

On a regional level, hedge funds investing exclusively in developed markets performed markedly better than emerging market funds in May. The Greenwich Developed Market Composite Index dropped by 1.79% as compared to a loss of 6.12% for the Emerging Market Composite Index.

In developed markets, funds investing in Asia suffered the most, falling 3.11%, followed by European, North American, and Globally-focused funds, which lost 1.88%, 1.76%, and 1.62%, respectively.

Emerging market hedge funds fell in every region, but European managers posted the most disappointing results, losing 10% on average as the European sovereign debt crisis continued to take its toll on debt and equity markets. Global emerging market funds were the best performers, falling by 4.13%, followed by Asian and Latin American funds, losing 5.25% and 5.68%, respectively. Corporate website:Source
KM

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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest