According to the Hennessee Hedge Fund Advisory Group, the Hennessee Macro Index was February’s top performer with a return of 2.29%. It is also the top year-to-date performer, with a 4.30% return. The significant decline in the US dollar against the yen and the euro as well as the increased interest in gold gave Macro managers many opportunities.
The second best performer for the month was the Convertible Arbitrage Index, with a return of 0.89%. Steady credit spreads and high volatility helped to boost returns. Both are favorable conditions for convertible arbitrage hedge fund managers. Tying for third position was the High Yield Index and the Regulation D Index, both posting returns of 0.76% for February.
Latin America hedge funds managers posted a 3.12% loss, the worst performing strategy for the month, mostly attributable to the weak economic environment and political uncertainty in South America. Telecom and Media followed with a loss of 1.97% as media companies continue to struggle from lack of advertising dollars. Financial Equities rounded out the bottom three with a loss of 1.34%, mainly due to weak economic data – particularly consumer confidence.
The S&P 500 Index fell off 1.55% and the Dow Jones Industrial Average declined 2.02%. The Nasdaq Index was up 1.26%.
The index eked out a 0.72% gain in January (See High Yield Tops January Hedge Fund “Class”).