Hedge funds lost an average of 3.60 per cent in January, according to the Barclay Hedge Fund Index, while indices compiled by Dow Jones and MSCI both showed negative performance across a r
Hedge funds lost an average of 3.60 per cent in January, according to the Barclay Hedge Fund Index, while indices compiled by Dow Jones and MSCI both showed negative performance across a range of different strategies.
‘January’s hedge fund losses were driven by the poor returns in global equity markets,’ says Sol Waksman, founder and president of Fairfield, Iowa-based Barclay Hedge. ‘Fears of a possible recession in the US and concerns that the US consumer will reduce spending have begun impacting global markets.’
All but two Barclay’s 18 hedge fund indices lost ground in January. Emerging market funds fell 8.81 per cent, equity long bias by 4.76 per cent, convertible arbitrage by 3.76 per cent, technology by 3.60 per cent, and Pacific Rim equities by 3.58 per cent.
‘Emerging markets had a spectacular run in 2007, gaining 23.57 per cent for the year,’ Waksman says. ‘Unfortunately, they gave back more than a third of that gain in the first month of 2008.’
The only hedge fund sectors in positive territory for January were equity short bias, which jumped 6.97 per cent, and global macro, which gained 1.28 per cent. ‘Obviously the short sellers benefited nicely from taking the other side of the losses suffered by hedge funds that maintain a long bias,’ Waksman says.
Barclay Hedge tracks more than 6,600 hedge funds, funds of hedge funds and managed futures programmes for its 18 proprietary hedge fund indices and eight managed futures indices.
All six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted negative returns in January, ranging from a decline of 1.60 per cent for convertible arbitrage to a fall of 10.05 per cent for equity long/short. Equity market neutral posted a decline of 1.79 per cent, while event-driven and merger arbitrage lost 2.71 and 2.87 per cent respectively, and distressed securities was down 4.09 per cent.
The MSCI Hedge Invest Index, an investible index designed to reflect the overall structure and composition of the hedge fund universe (as defined by the non-investible MSCI hedge fund indices and database), declined by 2.27 per cent in January.
Discretionary trading and convertible arbitrage delivered the best strategy-level performance, with returns of 0.74 and 0.69 per cent respectively, but equity non-directional declined by 2.12 per cent, fixed income by 2.92 per cent, variable bias by 3.68 per cent and long bias by 4.41 per cent.
