Sat, Aug 23, 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 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

kb

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 Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Private equity follows hedge funds into reinsurance for long-term capital[more]

    From Artemis.bm: It’s not just hedge funds that are entering the insurance and reinsurance market in search of so-called long-term capital to put to work in their strategies, private equity firms targeting the space are also seeking opportunities to add assets under management. The entry of large pr

  3. North America – New York City’s next hot neighborhoods targeted with property funds[more]

    From Bloomberg.com: New York’s real estate world is filled with tales of ordinary people who bought property decades ago and saw values skyrocket to the millions. Seth Weissman is seeking investors to get in early on the next hot neighborhoods. The veteran of Goldman Sachs Group Inc. and hedge

  4. Investing – George Soros bets $2bn on stock market collapse, Warren Buffett's Berkshire reveals Charter stake, cuts DirecTV, Hedge funds lusting to cash out of MGM, Top hedge fund managers are buying Ally Financial, Hedge funds dumped 5m Herbalife shares in Q2, Paulson & Co hedge fund ups Puerto Rico real estate bet, Netflix Inc., Citigroup Inc, Google Inc are top new picks in Tiger Management’s 13F[more]

    George Soros bets $2bn on stock market collapse From Newsmax.com: Billionaire investor George Soros has increased his financial bet that U.S. stocks will collapse to more than $2 billion. The legendary hedge fund manager has been raising his negative bet on the Standard & Poor's 500 Inde

  5. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added