The February 2010 returns for investable indexes, including Credit Suisse/Tremont Hedge Fund Index, Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Investable indexes February 2010 (PDF)

Credit Suisse/Tremont
The Credit Suisse/Tremont Hedge Fund Index was up 0.68% in February. Managed futures reversed a strongly negative January performance with a 1.81% return for February, the best of all strategies covered by the index. Long/short equity managers recovered much of their January losses in February after a positive month for both equity hedge funds and most developed equity markets. The strategy returned 1.32%. Global macro also performed well, finishing the month up 1.10%. Dedicated short-bias managers had a poor month, posting  a return of -3.2%. Equity market neutral funds also had a negative return (-1.35%) in February.

Dow Jones
The Dow Jones hedge fund equity long/short strategy benchmark was the best performing in February, up 1.11%. After a strong start to the year, the Dow Jones hedge fund event-driven strategy benchmark was down 0.7% in February. The Dow Jones hedge fund merger arbitrage strategy benchmark also posted negative returns, ending February down 0.92%. In February 2010 the Dow Jones hedge fund balanced portfolio index, the Dow Jones hedge fund distressed securities strategy benchmark, the Dow Jones hedge fund convertible arbitrage strategy benchmark and the Dow Jones hedge fund equity market neutral strategy benchmark were not calculated.

Frontier Capital
The Frontier Capital Multi Asset Platform (MAP) Fund returned 1.1% in February with all eight asset classes showing positive returns. Commodities (4.1%), global real estate (3.4%) and global equities (1.9%) were the best performing asset classes. The worst performing asset class was hedge funds, which was flat, followed by emerging equities (0.4%). Over the five years to February 2010 the MAP strategy has generated 2.6% annualised returns with volatility of 9.4%. The MAP Fund is an investable fund tracking eight global asset class indexes, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) rose by 0.7% in February. The group of Greenwich Investable Indexes were in overwhelmingly positive territory, with only the investable macro index posting a negative return (-0.04%) following a January decline (-0.62%). The investable index with monthly liquidity returned 0.53% in February, while the quarterly liquidity index was up 0.56%. Of the individual strategies, the investable futures index was the strongest performer, returning 1.09% for the month. Event-driven also had a good month, up 0.83%. The remaining investable indexes, including arbitrage, equity market neutral, long/short credit and long/short equity, returned between 0.43% and 0.51%.

HFRX
The HFRX global hedge fund index scraped into positive territory in February with returns of 0.26%. Equity market neutral was the best performing strategy, returning 1.55%, closely followed by global macro which returned 1.41%. Distressed securities were up a marginal 0.68% while merger arbitrage scraped by with an increase of only 0.7%. Event driven, relative value and convertible arbitrage all finished the month with negative returns. Event driven returned -0.12%, relative value -0.22% and convertible arbitrage posted the month’s weakest performance of -0.5%.

Lyxor
The Lyxor Global Hedge Fund index was up 0.3% in February. The standout managers tended to be in less directional, arbitrage-orientated strategies. The fixed-income arbitrage index rose 2.1%. In equities, statistical arbitrage fared well, with the index gaining 0.3%. The merger arbitrage index continued its slow and steady gains from January to climb 0.6% in February. Trend-following managers rebounded in February. Long-term CTAs were up 1.4%. The short-term CTA index had a more difficult month and fell a marginal 0.2%. The Lyxor convertible arbitrage index fell 1.1%. The distressed index posted a negative 0.7%.