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Standard & Poor's Index Shows Hedge Funds Outperform Equities in
Q1
NEW YORK, April 5 /PRNewswire/ -- March hedge fund performance as measured by
the Standard & Poor's Hedge Fund Index (S&P HFI), showed an unusually close
correlation to equity performance, ending the month down 0.12% under increased
geopolitical concerns and volatility in equity markets. The S&P HFI Q1 and
year-to-date return was 1.9%, compared to a 1.3% return on the S&P 500.
The Event Driven Index, which includes managers in the Distressed, Merger
Arbitrage and Special Situations strategies, was down 0.21%.
"With widening credit spreads in the wake of Madrid bombings on March 11, we
tracked a negative impact on Distressed positions," said Charles Davidson,
senior hedge fund specialist, Standard & Poor's. "We also saw a continuation
through March of increasing deal volumes in Merger Arbitrage funds, however
tight spreads have somewhat limited profit potential," he added.
The Directional/Tactical Index, the only sub-index to show a gain with 0.45% for
the month and 3.2% for the year, showed little net movement as currency and
metals gains by Macro traders were offset by losses from reversals in fixed
income and currency cross positions by Managed Futures funds. The Equity
Long/Short basket was up slightly from a net long exposure in the rising
Japanese market. Macro benefited from long exposure to metals and short
financial futures in Japan where investor confidence in the local economy
continued torise.
The Arbitrage Index was down in March losing 0.61% for the month as continued
underperformance by Equity Market Neutral and a backup in prepayment rates after
falling yields earlier in the month adversely affected mortgage traders in the
Fixed Income Arbitrage strategy.
The S&P Managed Futures Index fell in March in conjunction with the S&P 500, a
somewhat unusual correlation as the S&P MFI has historically tended to show a
fairly strong negative correlation to falling equity markets.
"Generally speaking, exogenous shocks to equity markets, such as significant
geopolitical events, are beneficial to Managed Futures programs. In this case,
performance suffered due to a temporary flight to quality in the fixed income
market and violent reversals in currency markets," said Davidson.
S&P Hedge Fund Index Performance for March 2004
Ticker Index Index MTD QTD YTD 3 5
Values(1) Years(2) Years(2)
SPHG S&P Hedge
Fund Index 1,150.13 -0.12% 1.89% 1.89% 24.88% 64.66%
SPHGARB S&P Arbitrage
Index 1,038.82 (0.61%) 0.60% 0.60% 18.59% 55.27%
SPHGDIR S&P
Directional/
Tactical
Index 1,204.89 0.45% 3.19% 3.19% 30.03% 72.58%
SPHGEVT S&P Event-
Driven
Index 1,208.40 (0.21%) 1.87% 1.87% 25.41% 64.95%
SPHGMFI S&P Managed
Futures
Index 1,180.48 (1.34%) 8.45% 8.45% 47.76% 84.94%
SPX S&P 500
Index 1,126.21 (1.64%) 1.29% 1.29% (9.17%) (9.05%)
(1) Daily indicative index values as of March 31, 2004
(2) For purposes of analysis, Standard &Poor's constructed pro forma
versions of the S&P HFI and S&P MFI that are based on respective index
constituents at time of launch using monthly performance data going
back to 1/1998 from the constituents themselves. Returns for some
constituents may not extend back to 1/1998.
The S&P Indices section of http://www.standardandpoors.com/ offers daily updates
of returns, as well as methodology, index change announcements, and
constituents.
S&P Hedge Fund Index
Standard & Poor's offers a growing family of hedge fund indices. The main S&P
Hedge Fund Index offers an investable benchmark that is representative of the
broad range of major strategies that hedge funds employ. The index has 40
constituents divided into three sub-indices: S&P Arbitrage, S&P Event-Driven and
S&P Directional/Tactical, which in turn represent a total of nine specific
strategies. These strategies include: Equity Market Neutral, Fixed Income
Arbitrage, Convertible Arbitrage, Merger Arbitrage, Distressed, Special
Situations, Equity Long/Short, Managed Futures and Macro. The strategies are
equally weighted to ensure well-rounded representation of hedge fund investment
approaches and to avoid overrepresentation of currently popular strategies. The
S&P Managed Futures Index is an expanded version of the managed futures strategy
represented in the main index with constituents added to ensure broader
representativeness. Values are calculated and published daily by Standard &
Poor's on its website http://www.hedgefundindex.standardandpoors.com/.
Pro Forma Index returns are based on information provided to Standard & Poor's
by the constituents themselves. Standard & Poor's cannot verify, and is not
responsible for, the basis, adequacy, accuracy or completeness of this
information. Standard & Poor's makes no representation as to the adequacy or
accuracy of the information used in its calculation of Index returns.
About Standard & Poor's Standard & Poor's is a leader in providing highly valued
financial data, analytical research and investment and credit opinions to the
global capital markets. Among the company's many products are the S&P Global
1200, the first real-time, global equity index, the S&P 500, the premier U.S.
portfolio index, and credit ratings on more than 220,000 securities and funds.
With more than 5,000 employees located in 18 countries, Standard & Poor's is an
integral part of the world's financial architecture. Additional information is
available at http://www.standardandpoors.com/.
DATASOURCE: Standard & Poor's
CONTACT: Lynn Cohn
Communications
+1-212-438-1650
Web site: http://www.hedgefundindex.standardandpoors.com/
http://www.standardandpoors.com/