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October 20, 2003 at 08:00 PM
NEW YORK (HedgeWorld.com)–Global macro managers are back on top, according to the CSFB/Tremont* Hedge Fund Index results for the month of September, while overall the index posted returns of 1.52% for the month.
But global macro strategies outperformed the index with a monthly return of 3.04%, which topped the performance of the Standard & Poor’s 500 stock index and the Dow Jones industrial average index, which each lost in excess of 1% last month.
For the year-to-date through Sept. 30, the story is a different one. The CSFB/Tremont Hedge Fund Index gained 10.5% so far this year, while its long-only counterparts of the S&P 500 and DJIA each have outperformed with returns of 14.71% and 13.11%, respectively.
But global macro has topped them all, due to the power of diversification, Bob Schulman, co-chief executive officer of Tremont Capital Management Inc., Rye, N.Y., said in a statement. For the year to date, global macro has returned 15.10%. Emerging markets funds had the second best performance among hedge fund strategies with a net return of 2.65% for the month and had the top performance for the year to date of 20.18%.
Distressed securities had the second best performance so far this year of 19.17%. For the month distressed managers still did well with a gain of 2.21%. Distressed is actually a component of the event-driven subcategory, which overall posted a return of 1.8% for the month and 15.08% for the year to date. Also part of the event-driven sector, event-driven multi-strategy and risk arbitrage also performed positively in September.
Other upbeat performers for the month were: convertible arbitrage (1.97%); multi-strategy (1.68%); long/short equity (1.21%); fixed-income arbitrage (1.16%); equity market neutral (1.06%). Only two strategies had negative performance for the month: dedicated short bias and managed futures. Dedicated short bias lost 0.42% for the month and for the year has given up 22.6%. A negative 1.6% performance mars managed futures positive performance that still is up 6.86% for the year to date.
