Greenwich Leads Investable Hedge Fund Indices

by Carla Johnson, Investors Offshore.com

16 February 2007

The Greenwich Composite Investable Hedge Fund Index has again out-performed its peers, posting higher returns than competing investable indices every year since its inception in 2003, according to hedge fund index provider Greenwich Alternative Investments, LLC.

From January 2003 through December 2006, the Greenwich Investable Hedge Fund Index produced an annualized return of 10.7% versus 7.3%, 6.9% and 5.6% as reported for the same period by the investable index providers of CSFB, HFR and MSCI, respectively.

For the fourth straight year, the Greenwich Investable Index has also achieved the lowest tracking difference to its broad benchmark, the Greenwich Global Hedge Fund Index. The Greenwich Investable Hedge Fund Index reported an annualized return of 10.7% versus 11.7% for the Greenwich Global Hedge Fund Index, a difference of one percent. By comparison, over the same period, the annualized tracking error of other investable indices was significantly higher with CSFB, MSCI and HFR reporting 4.3% 4.8% and 5.7%, respectively.

“The transition of indexes from market measures to investment vehicles is taking place across all asset classes, including hedge funds. As more investors realize how difficult it is to beat the ‘hedge fund market’ they are attracted to hedge fund beta products that demonstrate performance comparable to a reputable industry benchmark,” notes Margaret Gilbert, Managing Director at Greenwich Alternative Investments.

“The Greenwich Composite Investable Hedge Fund is the only investable hedge fund index that has closely tracked its benchmark and successfully delivered the beta of the hedge fund universe," she adds.

Meanwhile, the Greenwich Global Hedge Fund Index returned 1.32% in January. By comparison, the S&P 500, Lehman Aggregate Bond Index, MSCI World Equity Index, and FTSE 100 returned 1.51%, -0.04%, 1.12, and -0.28%, respectively.

"January performance is attributable to positive returns across hedge fund strategies, owing to favorable conditions, amid
strong equity markets and continued tightening of credit spreads," Ben Rossman, General Manager. "Roughly 90% of reporting funds posted positive returns for the month."

The Market Neutral Group gained 1.53% in January. Convertible strategies benefited from further tightening of credit spreads, while Merger Arbitrage funds enjoyed robust M&A activity in January. The Greenwich Global Event-Driven, Equity Market Neutral, and Market Neutral Arbitrage strategies gained 2.13%, 1.38%, and 1.17%, respectively. January performance marks the 15th consecutive month of positive performance for the Market Neutral Group.

The Long/Short Equity Group returned 1.33% in January, helped by strength in equity markets. The Greenwich Global Opportunistic, Aggressive Growth, Value, and Short Selling strategies posted January returns of 1.62%, 1.50%, 1.35%, and -1.55%, respectively.

The Directional Trading Group, comprising futures, macro-oriented, and market timing strategies, returned 1.21% in January. Futures strategies were able to capitalize on fluctuating commodity prices. The Greenwich Global Futures, Macro, and Market Timing indices returned 1.84%, 0.45%, and -0.12%, respectively.

The Specialty Strategies Group, comprising emerging markets, multi-strategy, and income hedge funds, returned 0.99% in January. The darlings of 2006, Emerging Market funds started off 2007 slowly, as investor optimism helped compensate for weaker commodity prices earlier in the month, pulling emerging strategies into positive territory by month-end. The Greenwich Global Multistrategy, Income, and Emerging Markets indices returned 1.72%, 0.89%, and 0.56%, respectively.

The January Index so far includes 1,068 funds. Final Index results will be posted at the end of February, after additional funds have submitted returns, Greenwich said.

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