Why do index returns decline farther into the month?
The HFN indices are calculated nightly based on the most current data. Over the course of the month, index performance generally gets weaker. (Example: on February 8th, an index may have gained 3.45% for the month of January. On February 25th, the same index now only gained 2.94%). This phenomenon generally occurs for three reasons: • Funds with excellent performance generally rush to report their returns. Therefore, the earliest results for an index tend to include funds that have performed well. • Fund of funds, which generally have lower returns than some single manager fund strategies due to diversification, report later in the month than single manager funds. They have to wait for every sub-fund’s report before they can report for themselves. • Some “Market Neutral” funds also generally report later than other funds. These funds sometimes use a variety of derivative, illiquid or other securities that are difficult to price. These funds take several weeks to obtain pricing informat
