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Alternative Market Briefing

Hedge funds fall 1.8% in February for first time since October 2016 as global equities decline

Thursday, March 08, 2018

Komfie Manalo, Opalesque Asia:

Hedge funds ended their 15-month winning streak as the broad-based HFRI Fund Weighted Composite Index fell 1.8% in February as global equities declined, said data tracker Hedge Fund Research. Losses in quantitative and trend-following CTA strategies heightened the decline last month although all main strategy areas experienced shortfalls during the period.

"Hedge funds declined in February for the first time since October 2016, as long latent global equity market volatility soared and US interest rates increased, with certain hedge fund sub-strategies posting impressive, negatively-correlated gains through the volatility spike," stated HFR president Kenneth J. Heinz.

Last month's decline was the largest since January 2016 and pares the Index Value to 14,134, ending a streak of 14 consecutive record monthly index levels. Inclusive of the February performance, the HFRI FWC has gained +0.5% YTD 2018.

Macro hedge funds posted the largest drop among the main strategies as US equities fell and interest rates climbed on expectations of accelerating inflation. The HFRI Macro (Total) Index fell -3.9%, the largest decline since February 1994; the HFRI Macro Index (Asset Weighted) lost -2.8%. Quantitative trend-following CTA strategies diverged with discretionary fundamental macro strategies during the period as the HFRI Macro: Systematic Divers......................

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