Tue, Dec 1, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Greenwich Global Hedge Fund Index down 0.84% in June (+0.11% YTD) as managers limit losses while markets continue to fall

Tuesday, July 13, 2010
Opalesque Industry Updates - Hedge funds as measured by the Greenwich Global Hedge Fund Index (“GGHFI”) cut net exposures and limited the losses experienced by markets in June. The GGHFI shed 0.84% compared to global equity returns in the S&P 500 Total Return -5.23%, MSCI World Equity -3.56%, and FTSE 100 -5.23% equity indices. 42% of constituent funds in the GGHFI ended the month with gains.

“Although June was less painful than May for global equity markets, it confirmed the risk of a lackluster economic recovery,” notes Clint Binkley, Senior Vice President. “The fraction of the losses in hedge funds as compared to global equity returns indicates the decline in net exposure among managers over the past two months. Sentiment among sophisticated investors is clearly becoming more bearish. Fund managers are doing their best to mitigate market risk and wait for more positive economic indicators.”

Market Neutral funds posted a modest loss in June, falling 0.33% on average as funds showed mixed results among strategies. The Event Driven sector lost 0.38%, as Distressed and Special Situations managers declined by 0.26% and 1.29%, respectively. Merger Arbitrage funds by contrast, gained 70 bps. Equity Market Neutral funds suffered as a result of the market volatility, declining 0.96%. Arbitrage strategies also experienced mixed results, with managers on average losing 23 bps. Convertible Arbitrage funds treaded water in June, losing 0.01% while Fixed Income Arbitrage funds gained 1.06%. Finally, Other Arbitrage strategies lost 91 bps on average.

Long/Short Equity managers suffered the greatest losses among hedge funds for the second month in a row as global equity markets weakened in June. The Greenwich Global Long/Short Equity Index fell by 1.57%, almost one-third the decline of the S&P 500 during the month. Growth-based funds performed slightly better than Value funds, losing 1.54% and 1.69%, respectively. Opportunistic managers lost 3.72% while Short-Biased funds capitalized on the drop in equities, gaining 4.40%.

Directional Trading funds posted some of the better results in June, relatively speaking. CTA and Futures managers lost 15 basis points on the month as trend-following models fared better than last month. Macro funds exhibited mixed results but lost 0.30% on average.

One particular bright spot in the month of June was the Greenwich Long-Short Credit Index which rose by 88 basis points. Year-to-date, it remains the best performing strategy group among hedge funds with a return of +5.28%. Multi-Strategy funds moved lower by 76 basis points, slightly outperforming the GGHFI for the month.

On a regional basis, emerging market hedge funds performed slightly better than developed market funds on average, with managers losing 72 and 88 basis points, respectively. In developed markets, funds investing in North America fell the most (-1.40%) as a result of weak U.S. equities. Developed market Asian funds followed behind, dropping nearly 1% during the month. European funds and managers investing in global developed markets fared slightly better, declining 0.60% and 0.49%, respectively.

Emerging Market hedge funds showed mixed results with most managers moving marginally lower during the month. Asian emerging market funds were the best performing group, gaining 0.14% on average. European emerging market managers were not as fortunate as they bore the brunt of the global flight to quality, declining 3.34%. Latin American funds experienced a modest loss of 13 basis points.

Full performance table: 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. David Einhorn's hedge fund plunged 5.2% in November, set for 2015 loss[more]

    From Bloomberg.com: David Einhorn’s main hedge fund at Greenlight Capital fell 5.2 percent in November and is poised for only its second losing year in almost two decades. The losses bring the fund’s yearly drop to almost 21 percent, according to an e-mail sent to clients that was obtained by Bloomb

  2. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  3. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From PIonline.com: Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  4. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From Bloomberg.com: It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  5. Regulatory - Major changes in partnership audit procedures contained in 2015 Budget Act[more]

    Contained in the Bipartisan Budget Act of 2015, signed by President Obama on November 2, is a rather complex provision that materially changes how partnerships are audited. Generally effective for tax years beginning after December 31, 2017, the so-called “TEFRA” and “Electing Large Partnership” rul