The Credit Suisse/Tremont Hedge Fund Index was up 12.56 per cent for 2007; the HFRI Fund-Weighted Composite Index returned 10.36 per cent; while the Greenwich Global Hedge Fund Index finished the year up 11.15 per cent. The RBC Hedge 250 Index run by RBC’s Alternative Assets Group made 8.27 per cent.
In the broad Credit Suisse/Tremont index, emerging markets led the way, finishing the year up 20.26 per cent. Global macro also had a strong year, up 17.36 per cent; multi-strategy hedge funds were up 16.82 per cent and no strategy finished in the red. Within the HFR index, emerging markets also stood out, with a return of 24.91 per cent (regionally, Asia posted 35.88 per cent); non-hedged equities was up 13.35 per cent; global macro returned 12.20 per cent; and energy and tech sector funds also performed well. The Funds of Funds Composite Index finished up 9.94 per cent, while only high-yield and financials and real estate sector strategies finished 2007 in the red.
Special situations was up 11.83 per cent in the Greenwich index, with opportunistic long/short equity returning 15.88 per cent and emerging markets 22.84 per cent. The multi-strategy group of funds was up 14.28 per cent and no strategy group finished in the red. Most strategy groups in RBC’s index performed strongly, with long-short equity and managed futures leading the field, at 12.83 per cent and 11.65 per cent respectively. Only convertible arbitrage finished in the red, by 9 basis points.
The Eurekahedge Hedge Fund Index finished 2007 up 13.51 per cent, while the Eurekahedge Fund of Funds Index was up 10.41 per cent. Regionally, the firm’s Emerging Markets index did best, increasing by 28.19 per cent, and within that, Eastern Europe and Russia-focused strategies led the way with a 35.64 per cent appreciation. Only Japan-focused strategies lost money, ending the year down 3.03 per cent. Among the firm’s strategy indices Event Driven led the way, up 18.06 per cent; Long-Short Equity, Distressed Debt and Relative Value indices all returned in excess of 15 per cent, and the Eurekahedge Multi-Strategy Hedge Fund Index finished 2007 up 17.93 per cent.
By comparison, the S&P500 was up 5.50 per cent, MSCI World Equity 6.49 per cent, the FTSE 100 3.80 per cent, and the Lehman Aggregate Bond Index 6.96 per cent.
“Hedge funds have further demonstrated their resilience to downward moves in the equity markets,” said Ben Rossman, senior vice president at Greenwich Alternative Investments. “Hedge funds outperformed the S&P 500 by more than +5.50 per cent in 2007, their highest level of outperformance since 2002, when the S&P 500 was down more than 22 per cent and hedge funds ended the year near flat, dropping by less than 1 per cent. Over the last three years, hedge funds have outperformed the S&P 500 by roughly 2 per cent on an annualised basis, despite the S&P having roughly 50 per cent more risk associated with its returns.”
With some of January’s figures now in, it is clear the universe has suffered its worst aggregate drawdown for more than five years – while still sheltering investors from the worst of the equity market rout. The HFRI Fund-Weighted Composite Index was down 1.80 per cent and the Greenwich Global Hedge Fund Index down 2.44 per cent. Short sellers had another good month, up almost 7.00 per cent in both indices. The S&P500 lost 6.00 per cent and the FTSE100 8.94 per cent over the same period.
MS
