The Greenwich Global Hedge Fund Index returned 2.04 per cent in April, the highest average monthly return for the industry since January 2006, but the index nevertheless trailed US, global
The Greenwich Global Hedge Fund Index returned 2.04 per cent in April, the highest average monthly return for the industry since January 2006, but the index nevertheless trailed US, global and UK equities for the month.
According to Greenwich, the index was up by 4.81 per cent for the first four months of the year. By comparison, the S&P 500 was up by 4.43 per cent in April and by 5.09 per cent for the year to date, the MSCI World Equity index by 4.21 per cent and 6.36 per cent respectively, and the FTSE 100 by 2.24 per cent and 3.68 per cent. The hedge fund index did comfortably outperform the Lehman Brothers Aggregate Bond indices, which were up by 0.54 per cent in April and by 2.05 per cent for the year.
‘Hedge funds continue to deliver solid returns, but with significantly less risk than equities,’ says Greenwich general manager Ben Rossman. ‘Over the past five-year period, for example, hedge funds’ annualised volatility measured about 4.5 per cent, which is roughly a third of the 12 per cent volatility of the equity indices.’
Seventeen of the 18 strategies followed by Greenwich ended April in positive territory. Futures strategies performed best with a return of 4.42 per cent, which the firm attributes largely to managers’ ability to capitalise on strength in energy prices and euro and sterling valuations. Short sellers, which account for roughly 1 per cent of index constituents, were the exception, down 2.91 per cent for the month and 3.03 per cent for the year to date.
The directional trading group surged in April, returning 3.35 per cent, bringing year-to-date performance to 2.38 per cent. Futures, market timing and macro sub-strategies posted respective returns of 4.42 per cent (1.72 per cent YTD), 2.07 per cent (3.49 per cent YTD) and 1.30 per cent (2.62 per cent YTD).
The specialty strategies group had another strong month, yielding 2.44 per cent in April, for a year-to-date return of 6.17 per cent. Emerging markets, multi-strategy, and income sub-strategies gained 3.35 per cent (7.27 per cent YTD), 1.98 per cent (6.04 per cent YTD), and 0.97 per cent (3.29 per cent YTD) respectively.
The long-short equity group was up 2.03 per cent in April, for year-to-date performance of 5.27 per cent. Opportunistic, value, aggressive growth, and short selling sub-strategies returned 2.73 per cent (6.20 per cent YTD), 2.13 per cent (5.44 per cent YTD), 2.05 per cent (5.14 per cent YTD), and -2.91 per cent (-3.03 per cent YTD) respectively.
The market neutral group was up 1.18 per cent for the month, and 4.73 year-to-date. Event-driven, equity market neutral, and market neutral arbitrage sub-strategies returned 1.71 per cent (6.42 YTD), 1.24 per cent (3.79 per cent YTD), and 0.79 per cent (3.92 per cent YTD), respectively.
The Greenwich Investable Index, which comprises 48 funds and references actual hedge fund vehicles as opposed to separately managed accounts used to attempt to replicate hedge fund returns, returned 1.49 per cent in April and 4.03 per cent YTD. Since its inception in January 2003, the Investable Index has achieved an annualised return of 10.83 per cent, compared with 11.93 per cent for the Greenwich Global Hedge Fund Index.
