16 Mar 2010
- Over February all hedge fund strategies except Managed Futures finished the month in negative territory (-0.29%), according to the Lipper Hedge Fund Composite Index. Other Hedge (-0.98%) and Dedicated Short Bias (-0.64%) were the worst performing strategies for February. Reversing the previous month’s readings, Managed Futures (+0.26%) led the performance league table for the month, followed by Option Arbitrage (-0.01%), and Event-Driven (-0.11%).
- Global stock markets edged up 1.45% for February as measured by the MSCI World TR Index. All three major US stock indices registered strong gains: the S&P 500 TR, the NASDAQ, and the Dow Jones Industrial Average registered 3.10%, 8.78%, and 2.56% for the month, respectively. Volatility as measured by the CBOE VIX declined sharply—from 24.62 in January to 19.50 in February (a decrease of 20.80%). Eight of the ten sectors included in the S&P 500 Index finished the month in positive territory, led by big gains in consumer discretionary (+5.30%) and industrials (+4.57%) shares. Utilities (-1.86%) and telecommunication services (-1.29%) were the only two sectors posting negative returns. Unlike the previous month, all investing styles registered positive performance, with mid- and small-cap stocks outpacing large-cap stocks and growth outperforming value stocks at the end of the month. Both developed (+1.25%) and emerging (+0.37%) markets traded higher. The developed markets were helped by Canadian (+5.65%) and Hong Kong (+3.84%) shares but were weighed down by European stocks—Greece (-9.77%), Spain (-7.53%), and Portugal (-6.00%). Meanwhile, the top performers among emerging stock markets were Peru (+7.31%) and Philippines (+5.36%). BRIC members—Brazil (+4.42%), China (+2.19%), and India (+1.32%)—generally posted positive performance for the month, with the exception of Russia (-5.24%).
- Long Bias (-0.52%) and Long/Short Equity (-0.28%), focusing on U.S. companies, dropped slightly at the end of February; U.S. stocks suffered losses in the last week of the month after weak employment and durable goods data added to recent worries about the strength of the economic recovery. They were further dragged down by two disappointing data points: consumer sentiment and home prices. Meanwhile, funds focusing on European companies experienced big drops on worries about Greece and the broader European economic outlook.
- Managed Futures (+0.26%) was the best performing strategy for February, benefiting from long exposures to short-term interest rates as well as short euro and sterling trades. The sterling dropped against all of the major currencies in the month of February, following a series of negative data releases concerning the U.K.’s economy. In contrast, the dollar gained against risk currencies on concerns about Greece’s debt problems; the ICE Futures U.S. Dollar Index was up 1.13% for the month. The U.S. dollar appreciated 1.71% against the euro and 4.72% against the sterling, while it depreciated 1.16% against the Australian dollar and 1.61% against the yen. Elsewhere, commodities registered gains (the Reuters/Jefferies CRB Index jumped 3.46% month on month), led by energy (+6.92%) and industrial metals (+5.64%). All sectors ended in the black with the exception of soft commodities (-8.42%). Sugar (-18.74%) tumbled on signs of higher output figures in India, the world’s biggest consumer and second largest grower. Crude oil (+8.71%) and nickel (+14.31%) rose considerably, while natural gas (-5.79%) dropped.
- Event-Driven (-0.11%) delivered a slightly negative return for the month; global M&A deal value fell in February for the fourth month in a row to US$200.1 billion. High-yield bond markets had a slightly negative performance for February, with global high-yield bonds dropping 0.24%. Nevertheless, both Europe and U.S. high-yield markets as measured by the Merrill Lynch High Yield TR Index posted modest positive returns, closing at 0.19% and 0.15%, respectively. Unlike in previous months, the higher-rated BB (+0.05%) outpaced the most speculative CCC-rated (-0.02%) and B (-0.01%) sectors.
- Global stock markets edged up 1.45% for February as measured by the MSCI World TR Index. All three major US stock indices registered strong gains: the S&P 500 TR, the NASDAQ, and the Dow Jones Industrial Average registered 3.10%, 8.78%, and 2.56% for the month, respectively. Volatility as measured by the CBOE VIX declined sharply—from 24.62 in January to 19.50 in February (a decrease of 20.80%). Eight of the ten sectors included in the S&P 500 Index finished the month in positive territory, led by big gains in consumer discretionary (+5.30%) and industrials (+4.57%) shares. Utilities (-1.86%) and telecommunication services (-1.29%) were the only two sectors posting negative returns. Unlike the previous month, all investing styles registered positive performance, with mid- and small-cap stocks outpacing large-cap stocks and growth outperforming value stocks at the end of the month. Both developed (+1.25%) and emerging (+0.37%) markets traded higher. The developed markets were helped by Canadian (+5.65%) and Hong Kong (+3.84%) shares but were weighed down by European stocks—Greece (-9.77%), Spain (-7.53%), and Portugal (-6.00%). Meanwhile, the top performers among emerging stock markets were Peru (+7.31%) and Philippines (+5.36%). BRIC members—Brazil (+4.42%), China (+2.19%), and India (+1.32%)—generally posted positive performance for the month, with the exception of Russia (-5.24%).
- Long Bias (-0.52%) and Long/Short Equity (-0.28%), focusing on U.S. companies, dropped slightly at the end of February; U.S. stocks suffered losses in the last week of the month after weak employment and durable goods data added to recent worries about the strength of the economic recovery. They were further dragged down by two disappointing data points: consumer sentiment and home prices. Meanwhile, funds focusing on European companies experienced big drops on worries about Greece and the broader European economic outlook.
- Managed Futures (+0.26%) was the best performing strategy for February, benefiting from long exposures to short-term interest rates as well as short euro and sterling trades. The sterling dropped against all of the major currencies in the month of February, following a series of negative data releases concerning the U.K.’s economy. In contrast, the dollar gained against risk currencies on concerns about Greece’s debt problems; the ICE Futures U.S. Dollar Index was up 1.13% for the month. The U.S. dollar appreciated 1.71% against the euro and 4.72% against the sterling, while it depreciated 1.16% against the Australian dollar and 1.61% against the yen. Elsewhere, commodities registered gains (the Reuters/Jefferies CRB Index jumped 3.46% month on month), led by energy (+6.92%) and industrial metals (+5.64%). All sectors ended in the black with the exception of soft commodities (-8.42%). Sugar (-18.74%) tumbled on signs of higher output figures in India, the world’s biggest consumer and second largest grower. Crude oil (+8.71%) and nickel (+14.31%) rose considerably, while natural gas (-5.79%) dropped.
- Event-Driven (-0.11%) delivered a slightly negative return for the month; global M&A deal value fell in February for the fourth month in a row to US$200.1 billion. High-yield bond markets had a slightly negative performance for February, with global high-yield bonds dropping 0.24%. Nevertheless, both Europe and U.S. high-yield markets as measured by the Merrill Lynch High Yield TR Index posted modest positive returns, closing at 0.19% and 0.15%, respectively. Unlike in previous months, the higher-rated BB (+0.05%) outpaced the most speculative CCC-rated (-0.02%) and B (-0.01%) sectors.
