Both gross and net monthly returns for February 2008 in the Palomar Structured Credit Hedge Fund (SC HF) Index show a worst-ever negative return. The decline was primarily the result of one fund’s performance, however.
The latest figures for the index were released this week and show a gross return of -17.03% and a net return of -17.15% for February, with 14 of 24 funds reporting positive results. The negative performance was mainly due to the collapse of the largest index member, on a capital-weighted basis, Peloton ABS.
Only the two relative value sub-strategies produced a significant positive contribution to the indices, in what was the worst month so far for the index. In general, the dispersion and range of returns increased compared to the data observed in January, as results varied widely, even within each sub-strategy.
The objective of the Palomar SC HF Index is to produce an index that represents the risk and return of investable hedge fund investments in the structured credit area. The index aims to provide a monthly measure of the performance of the universe of open, investable structured credit hedge funds. The Palomar SC HF Index is calculated in two formats – as gross asset value and as net asset value.
The Palomar SC HF Index is compiled and run by Palomar Capital Advisors and published exclusively by Structured Credit Investor. Palomar Capital Advisors is a financial advisory firm specialising in structuring, managing and placing alternative investment products, specifically credit-related securities. It is an independent firm based in Zurich, Switzerland, owned and controlled by its investment professionals.