HFRI: Hedge Funds Shed 0.5% In February

Mar 10 2009 | 12:27pm ET

Hedge funds had a decidedly mixed February, according to Hedge Fund Research.

The firm’s HFRI Fund Weighted Composite Index—one of the few hedge fund indices to show a loss in January—continued its downward movement, shedding 0.51% last month (down 0.59% year-to-date). But some strategies enjoyed strong returns in February, none more so than relative value.

Relative value funds added 1.13% last month (3.14% YTD), when four out of five relative value substrategies were in the black. Fixed-income convertible arbitrage funds led all comers tracked by the HFRI indices, returning 3.26% on the month (8.3% YTD), and relative-value multi-strategy funds (up 1.35% in February, 3.6% YTD) and fixed-income asset-backed funds (up 0.87%, 2.63% YTD) also had a strong February.

All other strategies were much more mixed. Macro funds were essentially flat, rising 0.05% (down 0.02% YTD), while systematic diversified macro funds shed 0.06% (down 0.53% YTD). Equity hedge funds lost 1.38% in February (down 2.22% YTD); short-bias funds had a field day amidst declining equities markets, returning 3.16% (up 6.06% YTD), which quantitative directional funds took a beating, down 1.88% (down 4.53% YTD).

Emerging markets funds fared little better, dropping 0.85% in February (down 2.75% YTD). Only global emerging markets funds turned a profit last month, rising 0.36% (down 0.52% YTD), while funds focused on Asia ex-Japan (down 1.46%, down 2.89% YTD), Russian and Eastern Europe (down 1.29%, down 8.57% YTD) and Latin America (down 0.92%, up 0.57% YTD) lost ground.

Event-driven funds lost 0.92% in February on average (down 0.57% YTD), as distressed and restructuring hedge funds fell 0.87% (up 0.12% YTD), but merger arbitrage funds added 0.63% (up 0.94% YTD).

Funds of hedge funds also lost ground, dropping 0.31%, but remain in positive ground year-to-date at 0.36%.

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