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Alternative Market Briefing

Trend-following, quant macro hedge funds post gains in January

Monday, February 08, 2016

Komfie Manalo, Opalesque Asia:

The broad-based HFRI Fund Weighted Composite Index posted a decline of -1.7% for last month as hedge funds generated posted mixed performance to begin 2016 when global financial markets plunged, driven by steep declines in oil and concerns regarding the global impact of the slowing Chinese economy, resulting in the worst start to a year for hedge funds since 2008.

In its monthly report, Hedge Fund Research added that the HFRI Asset Weighted Composite Index fell -1.2%. Total hedge fund capital was $2.90tln at the start of 2016, narrowly below the mid-2015 record level of $2.93tln.

"The performance divergences between directional beta and defensively-positioned market neutral and quantitative trend-following strategies accelerated and expanded in January, as Systematic Macro CTA posted strong gains while global equity and commodity markets extended the sharp declines from late 2015," stated Kenneth J. Heinz, president of HFR.

Macro hedge funds led gains for the month, with contributions from trend-following short exposure to equity and commodity markets. The HFRI Macro Index posted a gain of +1.5% in January, while the HFRI Mac......................

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