LONDON (HedgeWorld.com)–After a string of positive months, the FTSE Hedge Global Index posted a negative return for January 2005, negative 0.6% in U.S. dollars and negative 0.4% in GBP.
The index is broken down into three styles. The biggest loser of the three was the directional style (-1.2%). Event-driven funds lost 0.4%, and non-directional funds were virtually unchanged (-0.1%).
Within that non-directional style, equity arbitrage did quite well, with a gain of 0.7%, and fixed-income relative value gained modestly, as well.
Within the directional strategy, the heaviest bleeding came from commodity trading advisers/managed futures, -3.8. Global macro funds lost 2.2%. January was a challenging month for developed equity markets worldwide, given higher energy costs and the fear that growth is slowing.
Over the last 12 months, the index is up just 1.1%, with the event-driven funds leading the way in plus territory at 4.2%.
The two styles that fall within the event-driven category are merger arbitrage and “distressed and opportunities” funds. The January performance for those two styles was -0.3% and -0.4%, respectively. The 12-month performance of merger arb is a flat 0%, whereas that period’s performance for distressed funds is 8.0%.
The general trends indicated by FTSE are consistent with those that appear in the Standard & Poor’s Hedge Fund Index, which also fell in January (-0.41%), and where, likewise, the worst strategy was managed futures (-6.79%). The S&P event-driven sub-index was up slightly for January, though.
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