Both gross and net monthly returns for January 2008 in the Palomar Structured Credit Hedge Fund (SC HF) Index show a negative return for the third month in a row.
The decline is, however, the smallest seen since the start of the credit crunch.
The latest figures for the index were released this week and show a gross return of -0.22% and a net return of -0.34% for January. The SC HF Index’s December return was revised upwards from -1.58% to -1.04% gross, as one of the member underlying funds reported a substantially better return than previously estimated.
The Index was rebalanced in January, leading to a net decrease of six of the funds included in the index, as nine were excluded and three new funds added. Due to the new funds representing a comparatively high level of assets under management, the total AUM of all funds in the index decreased to a lesser extent than the number of funds.
Overall, the gross and net indices’ cumulative returns since calculations began in January 2005 stood at 98.11% and 92.15% respectively on 31 January 2008.