Fri, Oct 24, 2014
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   |   

Banner

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. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t