Greenwich Hedge Fund Indexes Rise In July

by Phillip Morton, Investors Offshore.com

13 August 2009

Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) improved during the month of July to their highest levels on the year.

The GGHFI returned +2.31%, while the Greenwich Composite Investable Index (GI2) gained +0.70% during the month, compared to global equity returns in the S&P 500 Total Return +7.56%, MSCI World Equity +8.37%, and FTSE 100 +8.45% equity indices. Year-to-date, the GGHFI and the GI2 have returned +11.78% and +0.40%, respectively, while the S&P 500 Total Return, MSCI World Equity, and FTSE 100 Indices have returned +10.96%, +3.93%, and +13.53%, correspondingly. 76% of constituent funds in the GGHFI ended the month with gains.

“All major hedge fund strategy groups gained during July on the back of strengthening equity markets. Hedge funds are now higher than the S&P 500 with less than half of the drawdown during 2009. Hedge fund managers are successfully demonstrating their ability to mitigate market risk but still capture significant upside,” commented Clint Binkley, Senior Vice President.

Market Neutral funds enjoyed their second best month of the year in July, with both Event Driven and Arbitrage strategies gaining +3.11% and +2.66%, respectively. Convertible Arbitrage funds continued to outperform all other hedge fund strategies, picking up +6.00% and advancing above 33% on the year. Distressed and Special Situations funds were the best Event Driven funds, advancing +3.02% and +4.37%, respectively. Equity Market Neutral and Statistical Arbitrage managers were the only groups of Market Neutral funds to lose ground on the month, falling -0.09% and -0.16%, respectively.

Directional Trading funds managed to squeeze out a small gain in July as Futures and Macro managers returned mixed results. CTA funds struggled again to capitalize on up trending equity markets in July, losing -0.71%. Macro funds fared much better as managers gained +1.48%. Market Timing funds posted their best results so far this year, advancing +5.72%.

Long/Short Equity funds advanced for their fifth straight month, gaining +3.26% on the back of positive moves in global equity markets. Growth and Value managers were essentially equal on the month, with gains of +3.65% and +3.69%, respectively. Opportunistic funds trailed the group slightly, advancing by +2.15%. Short-selling funds, by contrast, lost -5.44% as they struggled against a bullish equity market.

Finally, Specialty Strategy managers emerged as the best performing strategy group in the month of July, gaining +3.33%. Emerging Market funds once again led the group with a gain of +3.86% on strong moves in foreign equities. Fixed Income funds also posted excellent gains in July, advancing +3.32% on average. Multi-Strategy funds were slightly higher than the GGHFI on the month, gaining +2.65%.

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