The S&P Hedge Fund Index fell 0.47% in the first month of 2005, a turnaround from December’s 1.23% gain in this sector. The big losers on the month: S&P Directional/Tactical, and S&P Managed Futures, which lost 1.66% and 6.34%, respectively.
The biggest winners on the month were S&P Arbitrage and S&P Equity Long/Short Global, which were up 0.31% and 0.74%, respectively. Arbitrage gains rode the back of positive returns in two of its three subcategories: Equity Market Neutral and Fixed Income Arbitrage.
The company’s Senior Hedge Fund Specialist Justin Dew attributed the gains in market-neutral to a trend in European markets that saw stocks begin to trade in relation to each other in a manner that statistical models could predict and attributed gains in fixed income arbitrage to mortgage position yield curves flattening.
Dew attributed the loss in managed futures to uncertainty revolving around the Iraqi election. The company also noted that the majority of hedge funds had taken directional trades that produced losses when the market slumped.
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