Hedge Funds Leave Equities in the Dust in 2001

January 9, 2002 (PLANSPONSOR.com) - The Hennessee Hedge Fund Index increased by 1.6% in December 2001, bringing its year-to-date return to 4% net of fees, significantly outperforming most major US and international equity indices, but lagging Lehman's bond index, which increased by 8.98% over the year.

According to the Hennessee Group, the winning sub-components of the index in December, were:

  • the Latin America Index, which returned 10.01%,
  • the Financial Equities Index, which increased by 3.53%, and
  • the Value Index, which was up 3.37% over the month

Year to date, the top performing strategies were:

  • the Financial Equities Index, which surged by 15.59%,
  • Convertible Arbitrage, where managers are typically long on the convertible bond and short the common stock of the same company, hoping to cash in on a pricing anomaly, rose by 15.13%, and
  • the Short-Biased, where managers are short more than they are long, which returned 12.65% to investors

In comparison,

  • the S&P 500 returned 0.88% in December, while losing 11.89% on a year-to-date basis,
  • the Dow Jones Industrial Average increased by 1.73%, while falling by 7.10% over the year,
  • the Nasdaq rose by 6.02% over the month, but tallied losses of 21.04% in 2001, and
  • the MSCI EAFE rose by 0.58% in December, but lost 22.50% of its value over 2001.