Opalesque Industry Update - Global equity market declined in August as investors reduced exposure to risk in response to weakening economic data across both developed and emerging economies. Fixed income yields fell as global bond markets rallied in response to risk aversion and the US dollar declined against strong gains in Japanese yen and Swiss francs. Hedge funds posted a gain for the month, with the HFRX Global Hedge Fund Index gaining +0.17% bringing YTD gains to +0.18%. |
Macro strategies had the strongest contribution to performance, with the HFRX Macro Index gaining +1.45%, narrowing the YTD loss to -1.53%. Reversing July losses, systematic trend-following strategies posted a gain of +5.0% with gains in fixed income, short energy exposure and currencies offsetting losses in equities and commodities. Discretionary Macro had a partially offsetting loss as expectations of economic growth were reduced for the month.
Event Driven strategies posted a decline of -0.43%, bringing these to a narrow loss of -0.27% YTD. Equity sensitive special situations had the most negative contribution to performance posting a decline of -0.78%, while Merger Arbitrage posted a modest gain, partially offsetting losses in other ED sub-strategies. Distressed Securities had a narrow loss of -0.09%.
Relative Value continued its strong YTD performance with a gain of +0.70% bringing YTD gains to +3.57%. Falling yields and continued tight credit spreads drove strong performance in both Convertible Arbitrage and across multi-strategies, with these gaining +1.56% and +0.74% respectively for August; +5.14% and +5.83% YTD for each of these.
Equity Hedge had a negative contribution to industry performance, with the HFRX Equity Hedge Index declining -0.41%. Quantitative, factor-based EMN had the most negative impact on EH, with a decline of -3.78% on poor persistence in quantitative models, while Fundamental Value posted a smaller loss of -0.83%, bringing FV to a loss of -0.46% YTD. Fundamental Growth had a partially-offsetting positive contribution, posting a gain of +1.32% for the month.