Performance

Absolute return Indices: Markets roil funds in January

by

As stock markets sold off sharply and credit continued to contract, U.S. hedge funds got caught in the market churn. The Absolute Return Composite Index dropped 1.06% in January, its third worst month on record, following a 2.56% decline in August 1998 and a 1.1% drop in November 2007. Among individual strategies, global equity and technology funds suffered the most, down 4.2% and 4.04%, respectively.


ABSOLUTE RETURN STRATEGY INDICES

Strategy

Jan 08

YTD 07*

Arbitrage

-0.23%

7.34%

Commodities

3.31%

16.53%

Convertible & Equity Arbitrage

0.25%

4.70%

Credit

-0.13%

6.78%

CTAs

1.99%

8.86%

Distressed

-2.65%

4.58%

Event Driven

-3.06%

6.43%

Fixed Income

1.73%

7.66%

Global Equity

-4.20%

13.37%

Latin American Debt

0.06%

9.46%

Latin American Equity

-0.36%

12.48%

Macro

0.08%

13.89%

Mortgage Backed

1.18%

6.30%

Multi-Strategy

-1.36%

9.69%

Technology

-4.04%

12.88%

US Equity

-2.38%

10.03%

Composite

-1.06%

8.85%


*readjusted


ABSOLUTE RETURN COMPOSITE INDEX


Source: Absolute Return