Thu, Nov 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 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. Outlook - Gundlach's stock market warning comes true[more]

    From Bloomberg.com: Jeffrey Gundlach has been warning something's got to give. Based on the past two days, looks like we have our answer. Stocks fell around the world a second day and high-yield bonds headed for a fourth straight loss, resuming a historic correlation that the hedge fund manager on W

  2. Middle East - Saudi-Iran war would create this domino effect of global disaster, Saudi billionaires said to move funds from region to escape asset freeze[more]

    Saudi-Iran war would create this domino effect of global disaster From CNBC.com: Events appear to be spinning out of control in the Middle East, and the threat a Saudi-Iranian war is looking increasingly credible. Make no mistake, an out and out conflict between the two nations would be

  3. Investing - Six more Warren Buffett buys, including Southwest Airlines, Seth Klarman's Baupost Group bets on beaten-up health care, Roark Capital offers to buy Buffalo Wild Wings: Wall Street Journal[more]

    Six more Warren Buffett buys, including Southwest Airlines From Forbes.com: Our latest recommendation for aggressive investors is Restaurant Brands International . Hedge fund manager Bill Ackman has an incredible 40.1% of his fund at Pershing Square Capital Management invested in Restaur

  4. Investing - Tages Capital steps in to rescue Italy's Banca Carige, Hedge funds place $5.4bn bet on Toshiba's resurrection, Why outside investors are fleeing: John Paulson's 6 worst investments[more]

    Tages Capital steps in to rescue Italy's Banca Carige From TheTimes.co.uk: A little known London hedge fund has played a pivotal role in the first rescue of an Italian bank without state intervention since the country's bad debt crisis started three years ago. Banca Carige, a Genovese le

  5. Tourbillon Capital, a $3.4bn hedge fund that's been sounding the alarm about 'frothy speculation,' is suffering big losses[more]

    From Businessinsider.com: Tourbillon Capital, a $3.4 billion hedge fund firm led by Jason Karp, is suffering. The firm's flagship Global Master fund is down 3.5% for the first 17 days of November, bringing performance for the year to November 17 to a loss of 10.6%, according to a note to investors s