Both gross and net monthly measures of the Palomar Structured Credit Hedge Fund Index reported their worst-ever fall in February, a decline that was primarily the result of one fund's perf

Both gross and net monthly measures of the Palomar Structured Credit Hedge Fund Index reported their worst-ever fall in February, a decline that was primarily the result of one fund's performance.

The latest figures for the index show a gross decline of 17.03 per cent and a net decline of 17.15 per cent for February, although 14 of the 24 funds in the index reported positive results. The negative performance was mainly down 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 with the data observed in January, as results varied widely even within each sub-strategy.

The Palomar Structured Credit Hedge Fund Index seeks to represent the risk and return of investible hedge fund investments in the structured credit area, measuring the monthly performance of the universe of open, investible structured credit hedge funds, and is calculated in gross and net asset value form.

The index is compiled and run by Palomar Capital Advisors, a financial advisory firm specialising in structuring, managing and placing alternative investment products, specifically credit-related securities. An independent firm based in Zurich, it is owned and controlled by its investment professionals.