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Opalesque Exclusive: Palomar Structured Credit Hedge Fund index nose-dives to -17% in February whilst Palomar Credit FoHFs returns -5.37%
Both gross and net monthly returns for February 2008 in the Palomar Structured Credit Hedge Fund (SC HF) Index show a negative return for the 5th month in a row. The decline is the greatest seen since the start of the credit crunch.
The index’ gross return for February was -17.03% and the net return was -17.15% (-17.28% in 2007). The objective of the Palomar SC HF Index is to produce an index that represents the risk and return of investable hedge fund investments in the structured credit area.
Simultaneously, the Palomar Structured Credit Strategies (‘PSCS’) returned -5.37% in February, with 4 of 12
managers reporting positive performance. Palomar Structured Credit Strategies Ltd. (“PSCS”) invests
in a diversified portfolio of hedge funds focused on structured credit products, such as asset backed securities (ABS), collateralized debt obligations (CDOs) and mortgage-backed securities (MBS).
February saw the biggest widening of spreads across all credit sectors since the credit
crisis began in July 2007, says Palomar’s website commentary for February. Spreads of even the safest AAA securities jumped to extreme
levels. For example, spreads of AAA European RMBS, which historically have traded
below 30bps and rose to 60 bps in January, jumped to 120 bps in February. Similarly, the
AAA CMBX index of U.S. ...................... To view our full article Click here
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