Hedge funds lose ground but maintain relative outperformance in February.
Hedge funds appear to have lost some of the ground they made earlier this year, with results from the Credit Suisse/Tremont Hedge Fund Index for February showing performance of negative 0.88 per cent.
Oliver Schupp, president of Credit Suisse Index Co., said hedge funds “capitalised on market swings in February”.
Four of the 10 hedge fund sectors on the index finished the month of February in positive territory. The strategies with positive returns for the month were convertible arbitrage, dedicated short bias, fixed income arbitrage and global macro.
Schupp said convertible arbitrage strategies continued the rally that began in January, “reflecting increasing demand and liquidity in the sector”.
The equity market neutral sector of the index was the worst performer, at negative 5.61 per cent following a positive return of 1.14 per cent in January this year.
The report said the equity market neutral sector of the Broad Benchmark Index was affected by events surrounding WGTC Limited, one of the member funds in the index, which saw the fund’s assets marked down by around 80 per cent during the month.
In January, seven out of the 10 sectors in the index finished in positive territory, with an overall return of 1.09 per cent. The performance year-to-date for the Credit Suisse/Tremont Hedge Fund Index year-to-date is 0.20 per cent.
The index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds. It includes open and closed funds located in the US and other countries, but does not include fund of funds.
Each fund has a minimum of US$50 million under management and a 12-month track record, among other requirements.
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