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Hedge fund indices lose ground in July

Date: Tuesday, August 12, 2008
Author: Hedge Funds Review

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The Greenwich Global Hedge Fund Index (GGHFI) and the Greenwich Composite Investable Index (GI2) posted losses of 2.31% and 1.72% for July respectively.

The S&P 500 Total Return for the month was down 0.84% and the FTSE 100 off by-3.80%. Only 32% of constituent funds in the Greenwich Global Hedge Fund Index ended July with gains.

"July highlights several popular hedge fund trades unwinding in a short period of time. While hedge funds as a group clearly had a weak month, their year-to-date returns still greatly outpace traditional long-only investment vehicles," said Greenwich managing director Margaret Gilbert.

Market neutral group managers were the strongest performers in July with a loss of only 0.88%. Convertible arbitrage funds were the weakest within the group as managers saw spreads decrease.

The speciality strategies group suffered the most losses in July. Within that group, emerging market funds had an averaged a decline of 11.26% this year and 3.72% for July.

Directional trading funds experienced the largest decline this year in July, primarily due to weakness among CTA/managed futures managers down 3.22% for the month.

Long/short equity funds suffered because growth and value managers posted declines of 3.31% and-2.32% respectively.

The GGHFI currently includes 1,066 constituent funds. The GI2 comprises 46 constituent funds and is designed to track the GGHFI. It references actual hedge fund vehicles as opposed to separately managed accounts or other methods used in an attempt to replicate the returns of hedge fund vehicles.