GGHFI: Hedge Funds Edge Higher In November

Dec 11 2009 | 8:12am ET

Hedge funds as measured by the Greenwich Global Hedge Fund Index edged higher during the month of November.  With the exception of Short Sellers, all Greenwich hedge fund strategy groups are higher on the year. 

The GGHFI returned +1.68% while the Greenwich Composite Investable Index (“GI2”) gained +0.80% during the month, compared to global equity returns in the S&P 500 Total Return (+6.00%), MSCI World Equity (+3.87%), and FTSE 100 (+2.90%) equity indices. 

Year-to-date, the GGHFI and the GI2 have returned +18.35% and +4.22%, respectively, while the S&P 500 Total Return, MSCI World Equity, and FTSE 100 Indices have returned +24.05%, +24.85%, and +17.06%, respectively.   Seventy-two percent of constituent funds in the GGHFI ended the month with gains.

Greenwich Hedge Fund Index Performance at a Glance

 

Weight Total Return
  Nov09 YTD
Global Hedge Fund Index * 100% 1.7% 18.4%
Market Neutral Group 19.9% 0.9% 16.6%
Equity Market Neutral 5.3% -0.1% 3.0%
Event-Driven 6.7% 1.6% 23.1%
Distressed Securities 1.9% 2.7% 22.7%
Merger Arbitrage 1.1% 0.7% 7.4%
Special Situations 3.8% 1.6% 28.2%
Arbitrage 7.8% 0.7% 20.3%
Convertible Arbitrage 1.5% 0.5% 45.2%
Fixed Income Arbitrage 3.1% 1.0% 21.0%
Other Arbitrage 2.3% 1.3% 15.8%
Statistical Arbitrage 1.0% -0.8% 4.5%
Long/Short Equity Group 37.6% 2.0% 21.0%
Growth 9.2% 2.8% 24.9%
Opportunistic 7.4% 1.7% 15.1%
Short Selling 0.8% -1.0% -14.1%
Value 20.3% 1.9% 22.7%
Directional Trading Group 22.0% 2.4% 4.4%
Futures 15.0% 2.8% 1.3%
Macro 6.5% 1.3% 9.9%
Market Timing 0.5% 0.0% 11.9%
Specialty Strategies Group 20.5% 1.0% 29.3%
Emerging Markets 9.6% 0.9% 38.7%
Fixed Income 3.8% 0.5% 22.6%
Multi-Strategy 7.0% 1.2% 14.2%
Investable Hedge Fund Index 100.0% 0.8% 4.2%
Market Neutral Group 23.2% 0.0% 7.1%
Long/Short Equity Group 39.2% 1.3% 10.9%
Directional Trading Group 17.0% 0.3% -23.5%
Specialty Strategies Group 20.6% 0.6% 8.5%
Comparative Benchmark      
Barclays Aggregate Bond Index   1.3% 7.6%
S&P 500   6.0% 24.1%
MSCI World Equity Index   3.9% 24.9%
FTSE 100   2.9% 17.1%

 *  This table contains estimates.  The GGHFI current month return is an estimate which will be finalized on the last day of the month.


In Depth

GSAM’s Papagiannis on Liquid Alternatives

May 25 2016 | 5:07pm ET

The popularity of liquid alternatives strategies has blossomed in recent years,...

Lifestyle

From Modern Trader: Stephen Curry is a Black Swan

May 18 2016 | 7:43pm ET

What do the rise of the Internet, the sinking of the Titanic, 9/11, and Stephen...

Guest Contributor

LendingClub and the Question of Internal Hedge Funds

May 19 2016 | 8:42pm ET

Peer-to-peer lending platform LendingClub Corp. has been in the news since the firm...