Greenwich Alternative Investments February 8, 2012
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Stamford, CT, USA, February 8, 2012 – Hedge funds as measured by the Greenwich Global Hedge Fund Index (“GGHFI”) posted strong results in January, led by Long-Short Equity funds.  The GGHFI gained 2.31% compared to global equity returns in the S&P 500 Total Return (+4.48%), MSCI World Equity (+4.93%), and FTSE 100 (+1.96%) equity indices.  77% of constituent funds in the GGHFI ended the month with gains.

 “US equities rallied significantly to begin 2012 and Long-Short managers are the best performers thus far.  Hedge funds focused on Market Neutral strategies were also surprisingly strong as both Arbitrage and Event-Driven managers posted their best results in months.  Despite investors being drawn into risk-on sectors of the market, most funds remain cautious with the economic situation in Europe still unresolved,” notes Clint Binkley, Senior Vice President. 

 Hedge Fund Strategy Highlights

  • Long-Short Equity funds lead all other strategies, gaining 3.91%, led by Growth funds
  • Event-Driven funds also up sharply, advancing 2.71% on strength in Distressed funds
  • Futures and Macro funds lag other strategies, gaining 0.32% and 0.50%, respectively
  • Emerging Market funds outperform Developed Market funds by a wide margin; Latin America/Brazil funds are the best performers in January

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Greenwich Hedge Fund Index Performance at a Glance
  Total Return 3 Yr Annualized 5 Yr Annualized
  Jan12 Dec11 YTD 3Mo 1Year CAR S.Dev CAR S.Dev
 
Greenwich Strategy Group Indices
Greenwich Global Hedge Fund Index 2.3% -0.5% 2.3% 0.6% -2.7% 8.8% 6.5% 3.5% 7.4%
Market Neutral Group 1.9% 0.0% 1.9% 1.5% -0.7% 8.5% 4.4% 3.8% 5.5%
Equity Market Neutral 1.1% -0.1% 1.1% 0.8% -2.3% 1.0% 2.9% 1.2% 3.5%
Event-Driven 2.7% -0.2% 2.7% 1.9% -1.1% 12.1% 6.5% 4.9% 7.4%
Distressed Securities 3.1% 0.2% 3.1% 2.4% -1.0% 12.1% 6.3% 3.0% 7.9%
Merger Arbitrage 2.5% 0.2% 2.5% 3.0% 3.8% 6.9% 3.0% 4.7% 4.1%
Special Situations 2.6% -0.7% 2.6% 1.2% -2.7% 13.1% 8.1% 6.0% 8.5%
Arbitrage 1.6% 0.4% 1.6% 1.7% 0.7% 10.4% 3.8% 4.6% 5.8%
Convertible Arbitrage 2.2% 0.4% 2.2% 2.3% 0.4% 17.7% 7.1% 2.0% 13.1%
Fixed Income Arbitrage 1.7% 0.5% 1.7% 1.7% 3.8% 12.1% 3.5% 6.0% 5.6%
Other Arbitrage 0.1% 0.0% 0.1% 0.0% -2.7% 4.7% 4.1% 3.2% 4.6%
Long/Short Equity Group 3.9% -1.2% 3.9% 0.4% -5.7% 9.3% 9.8% 2.3% 10.2%
Growth 5.4% -1.8% 5.4% 0.6% -6.6% 11.9% 12.2% 2.1% 13.0%
Opportunistic 3.6% -2.0% 3.6% -0.5% -6.1% 5.7% 8.2% 2.6% 8.8%
Short-Biased -6.9% -0.5% -6.9% -5.0% -6.1% -11.2% 11.6% 0.5% 12.7%
Value 3.6% -0.5% 3.6% 0.9% -4.9% 9.9% 9.7% 11.1% 12.3%
Directional Trading Group 0.4% 0.0% 0.4% 0.2% -1.0% 3.5% 5.6% 5.9% 6.1%
Futures 0.3% 0.0% 0.3% 0.2% -1.8% 2.2% 7.1% 6.7% 8.1%
Macro 0.5% 0.0% 0.5% 0.2% 0.2% 5.6% 3.7% 4.6% 4.7%
Specialty Strategies Group 2.3% 0.1% 2.3% 1.7% 1.1% 13.6% 6.5% 4.6% 9.4%
Long/Short Credit 1.6% 0.4% 1.6% 1.8% 4.5% 13.3% 3.9% 5.7% 5.3%
Multi-Strategy 2.7% -0.1% 2.7% 1.6% -1.1% 7.3% 4.8% 4.1% 6.2%
 
Greenwich Regional Indices
Developed Markets Composite Index 1.6% -0.1% 1.6% 0.8% -1.9% 7.4% 5.6%  
Global 0.6% -0.3% 0.6% -0.2% -2.9% 5.3% 5.0% Historical Data Not Yet Available
Asia 3.5% -0.3% 3.5% 0.7% -4.1% 6.7% 7.4%
Europe 2.0% 0.4% 2.0% 1.3% -3.1% 5.5% 5.1%
Americas 2.5% 0.1% 2.5% 2.2% 0.3% 10.7% 6.9%
Emerging Markets Composite Index 6.2% -2.5% 6.2% -0.8% -9.1% 13.7% 13.4%  
Global 2.7% -1.5% 2.7% -1.2% 0.8% 10.8% 9.0% Historical Data Not Yet Available
Asia 5.8% -1.5% 5.8% -1.3% -11.0% 10.5% 14.1%
Europe 8.5% -6.4% 8.5% -2.3% -19.4% 16.9% 18.9%
Americas 8.9% -1.4% 8.9% 1.7% -0.9% 11.3% 12.1%
 
Comparative Benchmarks
Barclays Aggregate Bond Index 0.9% 1.1% 0.9% 1.9% 8.7% 7.4% 2.7% 6.7% 3.6%
S&P 500 4.5% 1.0% 4.5% 5.3% 4.2% 19.2% 18.2% 0.3% 19.0%
MSCI World Equity Index 4.9% -0.2% 4.9% 1.9% -5.1% 13.9% 19.7% -3.7% 20.5%
FTSE 100 2.0% 1.2% 2.0% 2.5% -3.1% 11.0% 16.0% -1.7% 16.9%
* The table contains estimates. The GGHFI current month return is an estimate which will be finalized on the sixth business day of March.
The Greenwich Alternative Investments Hedge Fund Update is published monthly on or around the 7th business day as a service to institutions, plan sponsors, consultants, individual investors, fund managers and the financial services industry. Our flagship indices, the Greenwich Global Hedge Fund Indices, have been published since 1995 and are among the industry's oldest and most widely utilized composite benchmarks of the entire hedge fund universe. The Greenwich Investable Hedge Fund Indices are an additional series of hedge fund benchmarks designed to represent expected performance of 'investable' hedge funds that are open and considered suitable for institutional investment. Both indices are reported net of manager fees and do not include fund-of-funds. The Greenwich Global Hedge Fund Index returns are finalized on the last business day of the month and published on our website www.greenwichai.com as the Month-End return. Standard deviation and compound annual returns are calculated using monthly return data rather than the quarterly index data reported as the official Greenwich Global Hedge Fund Index return prior to 2003.

This material is not intended as an offer or solicitation for the purposes or sale of any financial instrument and is for informational purposes only. Neither statistics nor past results are indicative of future performance. In providing this information, we make every attempt to ensure accuracy of the information; however, we do not audit and cannot guarantee the complete accuracy of such information. Changes in economic conditions will affect returns of the Indices and comparative indices in different ways. Our Index methodology has changed over time. See greenwichai.com for a summary of changes and complete index construction methodology.

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