Credit Suisse Hedge Fund Index Falls for Third Straight Month, Down -2.48% YTD

Mar 15 2016 | 11:29pm ET

The Credit Suisse Hedge Fund Index lost a further 1.08% in February, marking the measure’s third consecutive month in the red. 

The loss comes after the index lost -1.41% for the month of January and -0.85% in December.

Among the index’s ten substrategies, CTAs were again the standouts, gaining 3.23%, while Dedicated Short funds lost -3.06% as markets rallied in the last two weeks of the month. Short-biased funds are still way head for the year-to-date, however, up 6.13% thanks to extremely strong performance in January.

Elsewhere, Convertible Arbitrage was flat at -0.09%, while Event-Driven funds lost -1.81% and Multi-Strategy funds -0.84%. Global Macro funds were hit hard, losing -1.55%, as were Long/Short equity funds, dipping -1.76%. Illustrating the broad nature of market moves lately, Fixed Income Arbitrage wasn’t a safe haven, falling -1.05%.

For the year to date, the broad Hedge Fund Index is now down -2.48%, led by declines in Long/Short Equity and Event-Driven of -4.49% and -4.80%, respectively. On the plus side, in addition to the 6.13% YTD gain of Dedicated Short Bias funds, Managed Futures lead the group with a 7.38% return.

Results are summarized below.  

Index

Feb 2016

Jan 2016

YTD 2016

Broad Index

-1.08%

-1.41%

-2.48%

Convertible Arbitrage

-0.09%

-1.97%

-2.06%

Dedicated Short Bias

-3.06%

9.48%

6.13%

Emerging Markets

-0.87%

-3.45%

-4.29%

Equity Market Neutral

-0.73%

-1.17%

-1.89%

Event Driven

-1.81%

-3.04%

-4.80%

      Distressed

-1.16%

-1.36%

-2.50%

      Risk Arbitrage

0.21%

0.59%

0.80%

      Event Driven Multi-Strategy

-2.09%

-3.72%

-5.74%

Fixed Income Arbitrage

-1.05%

-0.76%

-1.80%

Global Macro

-1.55%

-0.57%

-2.11%

Long/Short Equity

-1.76%

-2.78%

-4.49%

Managed Futures

3.23%

4.02%

7.38%

Multi-Strategy

-0.84%

-0.48%

-1.32%

Credit Suisse also announced changes to the index's composition. The firm did not add any funds this cycle, but dropped Cobalt Partners, KR Capital Partners Fund I, Mangart Global Fund, Element Capital Master Fund, Lighthorse China Growth Fund, Pine River Asia Fund, Matterhorn Palmyra Fund, Matterhorn Breithorn Fund, Three Bridges Europe Fund LP, Hirzel Capital Fund, and Orchid China Master Fund.

Additional information about the Credit Suisse Hedge Fund Indexes - including research, fund performance and constitue`nt fund information - can be found at www.hedgeindex.com. 

Credit Suisse AG is one of the world's leading financial services providers and is part of the Credit Suisse group of companies


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