Greenwich investable indices gain despite bearish equity markets

Date: Monday, October 4, 2010
Author: Emily Perryman, HedgeWeek

The Greenwich Composite Investable Index gained 0.29 per cent in August in tumultuous market conditions, with returns from arbitrage and futures managers contributing the most to performance. 

Six of nine Greenwich investable indices moved higher on the month, as some strategy groups turned in their best performance so far this year. 

The Greenwich Investable Futures Index was the best performer for the month, gaining 3.56 per cent as trend-following strategies capitalised on moves in fixed income and commodities. 

The Greenwich Investable Arbitrage Index posted the second best results, advancing 1.86 per cent. 

The Greenwich Long-Short Equity Investable Index declined by 28 basis points, a relatively strong performance given the monthly declines of 4.74 per cent and 3.93 per cent for the S&P 500 Total Return Index and MSCI World Equity Index. 

Year-to-date, fixed income strategies still lead other investable indices, with event driven, long-short credit, and arbitrage investable indices netting gains of 5.88 per cent, 4.91 per cent, and 6.71 per cent, respectively.

“August was an excellent month for hedge funds across nearly every strategy. Long-short equity managers who remained sceptical of the market success maintained low net exposures and were quick to hedge market risk. As a result, while equity indices gave back the majority of the returns seen in July, long-short funds surrendered only a fraction of their previous gains,” says Clint Binkley, senior vice president. “Other strategies saw outsized gains that were among their best results so far in 2010. Futures and arbitrage managers, in particular found success through trend-following models and opportunities in the fixed income space.”