WEST PALM BEACH, FL (www.hedgeco.net) – The Goldman Sachs hedge fund dominated convertible arbitrage index, posted another loss in February. The index, which is widely watched by hedge fund marketparticipants, dropped 0.9% in February after posting a loss in January. According to the preliminary reading for Goldman’s headline asset-weighted index, �The range of fund returns last month wasbetween down 1.9% and up 0.3%, and only two of the 21 funds in the index were up in February.� Year-to-date the index is down 1.8% so far in 2005.
Some analysts believe this is a continuation of the trend that began last year, which was marked by difficulties for many hedge funds. Goldman analysts wrote, “The worst start to a New Year for convertible hedge funds in our memory continued in February. With many of the same negative trends – most notably depressed volatility and fears of pending redemptions – taking a toll on premiums and driving the second-worst two-month return since we began our index in 1999.�
Goldman analysts believe its Convertible hedge fund index have experienced roughly about 6 percent redemption through January 2005. According to the analysts, “This result extends the trend seen in the second half of 2004, bringing the total to seven out of the last eight months where we have seen net outflows among our constituent funds. From our conversations with managers, we believe that redemptions continued in February, with notices appearing to be in place for additional withdrawals at the end the first quarter.�
Goldman estimated that the constituent hedge funds in its index have experienced 2005 redemptions through January of roughly 6% of year-start capital. The analysts however think inflows into the Multi-Strategy funds may offset the loss incurred in the convertible sector.
Paul Oranika
Editor-in-Chief
HedgeCo.Net
Email: Editor@hedgeco.net
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