Hedge Fund Returns Flat In July

by Carla Johnson, Investors Offshore.com

18 August 2006

The Greenwich-Van Global Hedge Fund Index lost 0.20% in July, according to hedge fund index provider Greenwich-Van Advisors, LLC.

“Hedge funds experienced another flat month in July despite steep losses in many small cap and technology stocks,” noted Wade McKnight, Vice President of Greenwich-Van.

By comparison, the S&P 500, MSCI World Equity Index, and Nikkei 225 returned 0.62%, 0.53% and -0.31% respectively. The Lehman Brothers Aggregate Bond Index returned 0.62% in July.

“The key element to hedge fund performance going forward will likely be US interest rates. Equity markets, for the most part, declined in the first half of July and recovered during the second half of the month," McKnight added.

Short selling was once again the best performing strategy in July, with a net return of 4.50%. This was followed by a gain of 1.16% for market timing. Statistical arbitrage and convertible arbitrage posted gains of 0.90% and 0.73%, respectively.

The worst performing strategy occurred in the futures category, where managers lost 3.43% last month. However, McKnight said that all hedge fund strategies and sub-strategies within the Greenwich-Van Index still remain positive year-to-date "in spite of the recently challenging market environment”.

The Specialty Strategies Group, comprised of emerging markets, income and multi-strategy hedge fund strategies, returned 0.57% in July. Macro managers were down half a percent; however, they are up 4.07% year-to-date. The Greenwich-Van Global Income, Emerging Markets and Multi-strategy indices returned 0.95%, 0.69% and -0.21%, respectively.

The Market Neutral Group yielded 0.28% in July. The arbitrage strategies have delivered strong returns in 2006 led by convertible arbitrage gaining 7.88%. The Long/Short Equity Group returned -0.06% in July.

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