CONTINUEThis site uses cookies. By continuing to browse this site you are agreeing to our use of cookies. Find out more.
  1. Front Page
  2. News By Topic
  3. S&P Hedge Fund Index Falls In First Period

S&P Hedge Fund Index Falls In First Period

Investors Offshore, London

05 December 2002


Standard & Poor's Hedge Fund Index, which was launched in mid-November, has recorded a fall of 0.29% in its first two months (October and November). The three sub-indices all showed losses: the S&P Arbitrage Index was down 0.03%, the S&P Event-Driven Index was down 1.97%, and the S&P Directional/Tactical Index fell 1.06%.

The S&P Hedge Fund Index is designed to be investible and representative of the broad-based investment experience of the hedge fund marketplace, although marketing of the Index as an investment base has been licensed to PlusFunds for the development of investment products that replicate the index.

S & P describes its Hedge Fund Index as offering investors an investable benchmark that is broadly representative of the range of major strategies that hedge funds employ. The index has 40 constituents divided into three sub-indices: S&P Arbitrage Index, S&P Event-Driven Index, and S&P Directional/Tactical Index, which in turn represent a total of nine specific strategies. These strategies include: Equity Market Neutral, Fixed Income Arbitrage, Convertible Arbitrage, Merger Arbitrage, Distressed, Special Situations, Long/Short Equity, Managed Futures and Macro. The strategies are equal weighted to ensure well-rounded representation of hedge fund investment approaches and to avoid over-representation of currently popular strategies.

The S&P Arbitrage Index (the first sub-index of the S&P Hedge Fund Index) is composed of funds attempting to exploit pricing differences among securities with similar risk characteristics, generally by taking long positions in the under-priced security and short positions in the relatively over-priced security. Typically, these strategies employ leverage to accentuate relatively small differences in price movements. These funds tend to have low systematic market exposure. The S&P Arbitrage Index has three component strategies: Equity Market Neutral, Fixed Income Arbitrage (including Mortgage Arbitrage), and Convertible Arbitrage.

The S&P Event-Driven Index (the second sub-index of the S&P Hedge Fund Index) is composed of funds attempting to exploit mispricings of securities as it pertains to specific events, which are typically security specific (as opposed to macro-economic trends). Generally, funds in this category are looking for significant changes in outlook for firms that are in financial distress, are merger candidates, or have mispriced securities. The S&P Event-Driven Index has three component strategies: Merger Arbitrage, Distressed, and Special Situations.

The S&P Directional/Tactical Index (the third sub-index of the S&P Hedge Fund Index) is composed of funds attempting to exploit general market trends or specific tactical situations. These funds are not market neutral, but rather are looking for anomalous prices using systematic or fundamental processes. They tend to have higher systematic market exposure. This S&P Directional/Tactical Index has three component strategies: Long/Short Equity, Managed Futures, and Macro.

S & P says that the calculation of daily values for the index and sub-indices provides a new level of transparency in hedge fund investing and enables investors to track the impact of specific market events on the hedge fund asset class as a whole or on the three broad style categories tracked by the sub-indices. Standard & Poor's makes this data available to all investors through its website www.spglobal.com. S&P Hedge Fund Index data will also soon be available on Reuters and Bloomberg.

"The S&P Hedge Fund Index is an excellent example of our leadership in innovative index creation and the expansion of our business across asset classes," said Rik Kranenburg, Executive Vice President, Standard & Poor's. "We are delighted to add the S&P Hedge Fund Index to Standard & Poor's growing portfolio of indices measuring global equity, credit and commodity markets."

"We believe that the S&P Hedge Fund Index will fill a void that exists in the hedge fund market," said Paul Aaronson, Executive Managing Director, Standard & Poor's. "While hedge fund assets have grown significantly over the last five years, that growth has been somewhat restrained by the reluctance of many institutional investors to invest in funds that are typically opaque, run by managers who don't share many details about their operations." He added, "The S&P Hedge Fund Index will reflect the same rigorous and objective standards that characterize all Standard & Poor's indices, which we expect will help satisfy the concerns of many investors."


To see today's news, click here.

 















Tax-News Reviews

Cyprus Review

A review and forecast of Cyprus's international business, legal and investment climate.

Visit Cyprus Review »

Malta Review

A review and forecast of Malta's international business, legal and investment climate.

Visit Malta Review »

Jersey Review

A review and forecast of Jersey's international business, legal and investment climate.

Visit Jersey Review »

Budget Review

A review of the latest budget news and government financial statements from around the world.

Visit Budget Review »



Stay Updated

Please enter your email address to join the Tax-News.com mailing list. View previous newsletters.

By subscribing to our newsletter service, you agree to our Terms and Conditions and Privacy Policy.


To manage your mailing list preferences, please click here »