Hedge funds tracked by Greenwich Alternative Investments fell again in July, with the Greenwich Global Hedge Fund Index and the Greenwich Composite Investable Index posting losses of 2.31
Hedge funds tracked by Greenwich Alternative Investments fell again in July, with the Greenwich Global Hedge Fund Index and the Greenwich Composite Investable Index posting losses of 2.31 and 1.72 per cent respectively for the month and just 32 per cent of constituent funds in the Global Hedge Fund Index ending the month with gains.
‘July’s results highlight several popular hedge fund trades unwinding in a short period of time,’ says managing director Margaret Gilbert. ‘While hedge funds as a group clearly had a weak month, their year to date returns still greatly outpace long-only investment vehicles.’ The broad hedge fund index is now down exactly 3 per cent for the year so far.
Market-neutral managers were the strongest performers in July, posting a loss of 0.88 per cent, with merger arbitrage and statistical arbitrage funds leading the group with positive returns of 0.59 and 0.85 per cent respectively. Convertible arbitrage funds were the weakest within the group as managers saw spreads decrease.
Directional trading funds experienced their biggest decline so far this year, primarily due to weakness among CTA/managed futures funds, which shed an average of 3.22 per cent. Long/short equity funds also suffered as growth and value managers posted declines of 3.31 and 2.32 per cent respectively, although short-sellers added to the gains for the year by returning 0.30 per cent in July.
Specialty strategy managers exhibited the weakest returns among hedge funds for the second month in a row, losing 3.01 per cent. Emerging market funds again posted the largest losses as they declined in step with global equity markets.
The best performing funds over the first seven months of the year have been short selling with 9.76 per cent, CTA/managed futures with 9.26 per cent, statistical arbitrage with 4.02 per cent and other arbitrage with 1.80 per cent. Only two other strategies were even marginally in positive territory. The biggest losers so far in 2008 have been emerging market funds, which have averaged a decline of 11.26 per cent, followed by growth equity (7.54 per cent), value equity (6.12 per cent), convertible arbitrage (5.48 per cent), distressed securities (3.02 per cent) and special situations (2.36 per cent).
The Greenwich Global Hedge Fund Index is one of the oldest hedge fund benchmarks and currently comprises 1,066 constituent funds. The Greenwich Composite Investable Index, comprising 46 constituent funds, is designed to track the broader index and reflects the returns of actual hedge fund vehicles rather than separately managed accounts or other methods used to replicate hedge fund returns of vehicles. The investible index has a correlation of 0.94 and beta of 0.89 to the Global Hedge Fund Index and is reported semi-monthly net of an index calculation fee of 0.02 per cent per period.
