Tue, Jul 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRI Fund Weighted Composite Index +0.38% in August (+1.65% YTD), with strong performance in macro and relative value

Wednesday, September 08, 2010
Opalsque Industry Update - Financial market performance in the month of August was dominated by the strong rally in government bonds in response to an increase in investor risk aversion and lowering of expectations with regard to the strength of the global economic recovery. In addition to the falling yields, yield curves flattened while equity markets declined, and both the Japanese Yen and Swiss Franc gained against the US dollar. The HFRI Fund Weighted Composite Index gained +0.38% for August, with strong performance in Macro and Relative Value Strategies only partially offset by weakness in Equity Hedge and Event Driven funds.

The HFRI Macro Index gained +2.16% as strong gains in systematic, trend following strategies were complemented by more moderate gains in discretionary Macro strategies. The HFRI Macro: Systematic Diversified Index gained +3.65% with a strong contribution from fixed income and short term trending models, although generally most areas of focus had positive contributions for the month. Discretionary Macro strategies posted gains across fixed income and commodity areas of portfolio focus.

The HFRI Equity Hedge Index declined by -0.92%, partially offsetting strong gains from July and bringing YTD performance for Equity Hedge to a decline of -0.70%. Performance losses were distributed across most sub-strategies, with the largest declines in Fundamental Value, also complementing losses across Fundamental Growth, Quantitative Directional, Equity Market Neutral and Equity Market Neutral strategies. Funds in dedicated Short Bias and Sector Technology had partially offsetting positive contributions to Equity Hedge performance.

Relative Value funds continued to build on strong performance over the last 19 months, with the HFRI Relative Value Index gaining +0.81% in August. Gains were driven by falling yields and continued tight credit spreads, but these were complemented by funds which maintain exposure to Volatility. Convertible Arbitrage and RV: Volatility posted the strongest sub-strategy gains while Yield Alternative and Real Estate funds had partially offsetting negative contribution to index performance.

The HFRI Event Driven Index posted a narrow loss of -0.07% for the month, only slightly offsetting strong July gains. Arbitrage strategies including Merger and Credit Arbitrage posted gains for the month, in addition to gains from ED: Special Situations. Gains in these were offset by weakness in Activist, Distressed and Private Issue/Regulation D funds.

Both the HFRI Fund of Funds Index and the HFRI Emerging Markets Index were essentially flat for the month, with both posting a gain +0.01%.

(press release)

Corporate website and performance tables: Source

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. HFR: Hedge funds post strong gains in mid-July as markets recover from Brexit losses[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted strong gains through mid-July as the equity markets continued the recovery from Brexit losses. The HFRX Market Directional Index gained +2.17% (+4.22% YTD) and the HFRX Global Hedge Fund Index gained +1.03% through mid-month (+0.19%

  4. News Briefs - Carlyle goes on trial for a financial-crisis meltdown, Private equity and venture capital outperformed public markets in 2015, Pippa Middleton gets engaged to hedge fund manager James Matthews[more]

    Carlyle goes on trial for a financial-crisis meltdown Carlyle Group co-founder Bill Conway was in court on this small island last week recounting one of the most bruising episodes in his private-equity firm’s history: the 2008 collapse of mortgage-bond fund Carlyle Capital Corp. Carlyle

  5. …And Finally - Two men fall off cliff playing Pokemon Go[more]

    From BizarreNews.com: Two men who fell from a seaside cliff north of San Diego told authorities they became distracted while playing augmented reality game Pokemon Go. Encinitas fire Battalion Chief Robbie Ford said one of the men fell about 50 feet down the bluff in Encinitas while the other man fe