All of the major hedge fund indexes were in positive territory for the first six months of this year. Hedge fund index returns as of June 30 were:
• Barclay/Global HedgeSource Hedge Fund index: 2.27%
• CSFB/Tremont Hedge Fund index: 1.34%
• Eurekahedge North American Hedge Fund index: 1.35%
• Eurekahedge European Hedge Fund index: 4.6%
• Eurekahedge Fund of Funds index: 1.05%
• Hennessee Hedge Fund index 1.06%
• HFRI Fund Weighted Composite index: 1.88%
• MSCI Hedge Fund Composite index: 1.3%
• Standard & Poor's Hedge Fund index: 0.13%.
• Van Global Hedge Fund index: 1.6%
In comparison, the S&P 500 returned -0.8% as of June 30; the Russell 3000 index, -0.01%; the MSCI World Equity index, -0.7%; and Lehman Brothers Aggregate Bond index, 2.5%.
The best performing hedge fund strategies in the first half of 2005 were emerging markets, with the HFRI Emerging Markets (Total) index returning 5.43%. Addtionally, the Barclay/GHS Short Bias index returned 8.51%, and its European Equity index returned 5.78%. The CSFB/Tremont Dedicated Short Bias index returned 13.42%, while its Event Driven Distressed index returned 4.09%.
Among the worst-performing strategies were convertible and fixed-income arbitrage and managed futures. The HFRI Convertible Arbitrage index returned -5.6%; the CSFB/Tremont Convertible Arbitrage index, -6.34%; the Van Hedge Convertible Arbitrage index, -5.9%; the CSFB/Tremont Fixed Income Arbitrage index, -1.12%; and the S&P Managed Futures index, -8.5%.