Thu, Apr 24, 2014
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   |   
Banner
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. …And Finally – Flight attendant has passengers rolling in aisle[more]

    From Orange.co.uk: A video of a US flight attendant turning her safety talk into a comedy routine is proving a huge hit online. More than five million people have watched the clip of Marty Cobb which has her passengers rolling with laughter on a Southwest Airlines flight to Salt Lake City.

  2. Niche Investing – Wealthy investors flock to fine art funds[more]

    From Clickorlando.com: Wealthy investors looking to diversify beyond stocks and bonds are now turning to an unusual money-making vehicle -- the art investment fund. The name says it all: These funds invest in fine art and seek returns by acquiring and selling high-end pieces for profit. Growth

  3. Opalesque Exclusive: Rainwater and Blue Sky - an Australian water fund emerges[more]

    Bailey McCann, Opalesque New York: Financial reporters often tout new funds and investments as uncorrelated investments, but few can say they are uncorrelated to everything but weather. Enter Blue Sky Alternative's water fund which invests in the permanent rights to Australia's water. Sev

  4. University of Michigan allocates $242m to six managers[more]

    From PIonline.com: University of Michigan, Ann Arbor, invested or committed a total of $242 million to one traditional equity manager and five alternative investment funds from its $9 billion endowment. University regents approved the hire of Mittleman Investment Management to run $35 million in act

  5. Performance – Odey flagship hedge fund suffers brutal March as shorts rise, Blackstone first-quarter profit rises 30% on higher fees[more]

    Odey flagship hedge fund suffers brutal March as shorts rise From Valuewalk.com: The tide has turned for the worse for one of Europe’s best performing hedge funds. Crispin Odey’s flagship hedge fund, Odey European has suffered a 4.63% decline for the year after slipping 7.2% in March, ac