Feb 2012 Hedge Fund Results

March 26, 2012
|In The Insider Report
|By Harvey Sax
The Dow Jones Credit Suisse Hedge Fund Indexes Performance data for Feb 2012 has been updated. Please visit our site at http://www.hedgeindex.com for further details. 

 

Dow Jones Credit Suisse Core Index Performance
Index / Sub Strategies Value** Feb 12 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Core Hedge Fund Index 95.93 1.31% 3.60% -5.25% 6.65% 6.70% 0.73
    Convertible Arbitrage 97.78 2.34% 5.89% -4.48% 3.92% 11.38% 0.19
    Emerging Markets 101.17 1.83% 3.66% 1.61% 9.75% 10.63% 0.75
    Event Driven 91.33 1.47% 4.41% -10.48% 5.02% 8.24% 0.39
    Fixed Income Arbitrage 100.09 0.43% 1.36% 0.26% 7.36% 8.57% 0.65
    Global Macro 92.52 0.93% 2.90% -8.29% 5.98% 7.44% 0.57
    Long/Short Equity 97.67 2.05% 5.32% -4.69% 6.80% 8.45% 0.60
    Managed Futures 98.65 0.69% 1.65% -1.87% 8.67% 12.08% 0.57
*Statistics include hypothetical performance of the Dow Jones Credit Suisse Core Hedge Fund Index from January 1, 2006 to December 31, 2010 and actual performance from January 1, 2011. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
Dow Jones Credit Suisse Hedge Fund Index Performance
Index / Sub Strategies Value** Feb 12 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Hedge Fund Index 468.17 1.61% 3.98% -0.70% 8.87% 7.60% 0.75
    Convertible Arbitrage 382.09 1.88% 4.29% 0.33% 7.66% 6.97% 0.65
    Dedicated Short Bias 47.31 -4.66% -11.88% -4.50% -4.04% 17.03% -0.42
    Emerging Markets 381.49 2.92% 6.77% 0.08% 7.65% 14.96% 0.30
    Equity Market Neutral 246.73 1.33% 1.51% 3.66% 5.10% 10.37% 0.19
    Event Driven 509.12 1.58% 4.43% -8.07% 9.37% 6.37% 0.98
      Distressed 602.49 1.89% 4.34% -2.78% 10.39% 6.66% 1.09
      Multi-Strategy 468.19 1.43% 4.50% -11.24% 8.87% 6.89% 0.83
      Risk Arbitrage 329.52 0.92% 1.90% 1.01% 6.78% 4.17% 0.87
    Fixed Income Arbitrage 255.76 1.00% 2.19% 4.24% 5.31% 5.76% 0.37
    Global Macro 800.89 0.79% 2.02% 8.04% 12.13% 9.76% 0.92
    Long/Short Equity 518.81 2.64% 6.65% -3.07% 9.49% 9.97% 0.63
    Managed Futures 292.22 1.21% 2.36% -3.62% 6.08% 11.72% 0.25
    Multi-Strategy 398.73 1.72% 4.24% 2.66% 8.03% 5.42% 0.90
*Average Annual Index data begins January 1994. Monthly Standard Deviation annualized. Sharpe ratio calculated using the rolling 90 day T-bill rate.

 

Dow Jones Credit Suisse Blue Chip Hedge Fund Index Performance
Index / Sub Strategies Value** Feb 12 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Investable Index 135.60 1.60% 3.96% -1.42% 3.61% 7.24% 0.24
    Convertible Arbitrage 135.08 1.82% 4.38% 2.42% 3.57% 15.58% 0.11
    Dedicated Short Bias 56.37 -4.68% -11.62% -2.55% -6.46% 17.90% -0.46
    Emerging Markets 221.74 5.04% 11.18% 4.75% 9.72% 13.52% 0.58
    Equity Market Neutral 79.02 2.28% 4.38% 0.55% -2.71% 18.91% -0.24
    Event Driven 155.58 0.89% 4.10% -13.42% 5.28% 9.20% 0.37
    Fixed Income Arbitrage 85.81 0.63% 1.54% -1.87% -1.77% 12.61% -0.29
    Global Macro 172.11 0.70% 1.16% 3.10% 6.53% 9.72% 0.48
    Long/Short Equity 122.30 3.44% 7.89% 1.71% 2.37% 9.67% 0.05
    Managed Futures 153.56 0.66% 1.48% -1.00% 5.12% 10.95% 0.30
    Multi-Strategy 138.11 0.78% 1.96% 2.95% 3.83% 9.78% 0.20
*Average Annual Index data begins October 2003. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
**As of September 30, 2008 the Value for the Blue Chip Index will be reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules.The SAV takes into account the estimated value of underlying funds which have suspended redemptions or have temporarily stopped reporting performance to the Index. Consistent with Value reporting procedures, the SAV will be published as an estimated value and a confirmed value will be published according to the usual timetable for publication of the Index value. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.

 

Dow Jones Credit Suisse AllHedge Index Performance
Index / Sub Strategies Value** Feb 12 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse AllHedge Index 122.43 1.77% 4.16% -4.05% 2.77% 7.53% 0.10
    Convertible Arbitrage 112.18 1.66% 4.03% 0.38% 1.56% 12.56% -0.03
    Dedicated Short Bias 60.79 -4.68% -11.62% -1.74% -6.49% 16.52% -0.51
    Emerging Markets 148.68 4.67% 11.25% 0.67% 5.49% 14.70% 0.24
    Equity Market Neutral 84.22 2.22% 3.97% 3.65% -2.29% 10.33% -0.41
    Event Driven 139.02 0.97% 4.04% -14.15% 4.54% 8.32% 0.31
    Fixed Income Arbitrage 76.66 0.66% 1.44% -2.39% -3.52% 10.60% -0.52
    Global Macro 113.38 0.81% 1.61% -0.85% 1.71% 9.35% -0.03
    Long/Short Equity 123.81 3.66% 7.17% -2.04% 2.92% 9.35% 0.10
    Managed Futures 155.25 1.03% 2.31% -1.86% 6.11% 10.15% 0.41
    Multi-Strategy 118.31 0.80% 1.76% 1.32% 2.29% 8.21% 0.04
*Average Annual Index data begins October 2004. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
** The Value for the Convertible Arbitrage (September 30, 2008), Fixed Income Arbitrage (January 31, 2009) and Event Driven (January 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through September 30, 2009.

The Value for the Emerging Markets (November 30, 2008), Global Macro (October 31, 2008), Multi-Strategy (October 31, 2008) and Equity Market Neutral (March 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through March 31, 2010.

The SAV takes into account the estimated value of underlying funds which suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
Disclaimer

 

Dow Jones Credit Suisse LEA Hedge Fund Index
Index / Sub Strategies Value** Feb 12 YTD 1 Year Annl* Std Dev* Sharpe*
LEA 88.12 2.70% 6.39% -0.05% 5.67% 11.13% 0.33
    Latin America 99.37 0.32% 1.12% -0.95% 5.15% 6.88% 0.46
    EEMEA 71.14 4.69% 11.56% 4.36% 6.80% 22.69% 0.21
    Asia 85.89 3.06% 6.80% -4.55% 5.39% 11.19% 0.30
*Statistics include hypothetical performance of the Dow Jones Credit Suisse LEA Hedge Fund Index from January 1, 2005 to March 31, 2008 and actual performance from April 1, 2008. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
** The Value for the LEA Emerging Europe, Middle East and Africa Index of the LEA Index was reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of October 31, 2008 through March 31, 2010. The SAV takes into account the estimated value of the underlying funds that suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.

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