Hedge Fund Indices Paint Prettier Picture, Still Trail S&P

Nov 9 2006 | 12:58pm ET

Yet another pair of hedge fund indices show that, in spite of their best showing in months, hedge funds are still getting trounced by the broader markets in 2006.

The HedgeFund.net Hedge Fund Aggregate Average rose 1.74% last month, and is now up 8.34% on the year, while the Hennessee Hedge Fund Index rose 1.63% in October to hit 8.14% year-to-date. That’s in line with several other hedge fund indices that have released results over the past several days. And just like the other indices, they both trail the Standard & Poor’s 500 Index, up 3.15% in October and 10.39% YTD.

“The positive equity markets were a wind at the back of most hedge funds in October,” said Hennessee Group managing principal E. Lee Hennessee.

That was certainly the case, predictably, for long-biased funds, HFN’s long-only average actually topped the S&P with a 3.94% return in October (12.23% YTD), while it’s long/short equity average rose 2.21% (8.32%). Another pair of long-biased strategies tracked by HFN, healthcare and technology, also had big months, up 3.76% (13.59% YTD) and 3.74% (11.12% YTD), respectively. Hennessee’s long/short subindex was somewhat less successful, rising only 1.78% last month (8.42% YTD).

“A flurry of private equity leveraged buyout deals at top prices have bid up stocks, causing equity managers to increase exposures during the month,” Hennessee’s Charles Gradante said. “While managers are gravitating to a soft economic landing with low inflation, they also believe that the probability of a less benign outcome is not negligible.”

Other top performers, according to HFN, were energy, which has rebounded somewhat from the natural gas price-spike that sank Amaranth Advisors last month. Its Energy Sector Average has the highest return in October at 5.27%, pushing it to 11.31% YTD, and turning a potentially disappointing year into a potentially good one. Emerging markets also had a good month, up 2.29% (14.34% YTD) in the HFN index, while the Hennessee International Index rose 2.68% (8.61% YTD).

Hennessee’s Arbitrage/Event-Driven Index rode an improved credit outlook to return 1.26% last month (9.15% YTD). The Hennessee Distressed Index was up 1.45% (11.27%).

Convertible arbitrage rose 0.45% (9.46% YTD) and merger arbitrage 0.8% (9.87% YTD), according to Hennesse, as HFN’s Relative Value Aggregate Average rose 1.04% (8.82% YTD) and its Convertible Arbitrage Average 0.4% (9.84% YTD).

The Hennessee Global/Macro Index rose 1.63% in October (5.47% YTD), buoyed by macro funds’ first positive month in months—up 0.77% (0.59% YTD).


In Depth

Q&A: Brevan Howard’s Charlotte Valeur Talks Strategy

Sep 18 2014 | 11:18am ET

Charlotte Valeur chairs the board of Brevan Howard Credit Catalysts, an LSE listed...

Lifestyle

Hedgies Rock Out For Children's Charity

Sep 15 2014 | 8:40am ET

It's that time of year again—when hedgies trade in their spreadsheets for guitars...

Guest Contributor

Volkered: How Financial Sector Reforms are Creating Opportunities for Hedge Funds

Sep 16 2014 | 11:28am ET

New regulations have dramatically curtailed proprietary trading activity in investment...

 

Editor's Note

    Get A Sneak Peak Of The Alpha Pages

    Aug 25 2014 | 11:21am ET

    As many of you know, FINalternatives was recently acquired by the owners of Futures magazine, a firm called The Alpha Pages LLC. Today marks the soft-launch of a new sister site for both publications. As its name suggests, The Alpha Pages will cover all types of alternative investments, going far beyond the more well-known ones such as hedge funds and private equity. Read more…

 

Futures Magazine

September 2014 Cover

The London Whale: Rogue risk management

Credit default swaps brought down the London Whale and cost JPMorgan $6.2 billion. Here is how it happened.

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.