Opalesque Industry Update - Global Equity markets posted strong gains in September, as investors reacted favorably to data on US employment and housing markets. Currencies continued to be a focus in September with the Bank of Japan intervening in currency markets to slow the appreciation of the Japanese Yen; while commodities including agricultural, metal & energies posted gains. The HFRX Global Hedge Fund Index gained +1.72% in September with significant contributions from Equity Hedge and Event Driven strategies. The HFRX Market Directional Index, which employs higher sensitivity to broad market trends, gained +4.22% for September and +7.78 YTD%.|
Equity Hedge strategies had the most significant positive contribution to performance, with the HFRX Equity Hedge Index posted a gain of +3.48% in September with contributions from Technology, Oil Services and International Equity Exposures. Corporate earnings continued to set a positive tone as risk aversion subsided, equity market implied volatility declined and a corporate transaction activity increased. Fundamental Growth, Fundamental Value and Equity Market Neutral all posted gains for the month, and each of these are now positive YTD for 2010.
After posting gains in August, Macro was the weakest area of industry performance, with the HFRX Macro Index declining by -1.38%. Losses were primarily concentrated in Discretionary Thematic strategies, as Systematic Macro posted a loss of only -0.28%. Weakness in Macro was related to exposures to long volatility and fixed income exposures, in addition to mixed directional exposures to both currencies and commodities. Positive contributions from Gold and Short US dollar exposures were offset by other commodity losses for the month.
Event Driven strategies had a positive contribution to industry gains for the month, with the HFRX Event Driven Index gaining +2.30. Corporate transaction activity picked up in September with deal announcements, progress and closings in commodity, airline, technology & pharmaceutical industries. Event Driven had a positive contribution from Distressed, Merger Arbitrage and Special Situations Indices, all of which gained for the month.
Relative Value Arbitrage funds posted another positive month, with the HFRX Relative Value Index gaining +1.16% in September on continued spread narrowing, strong credit markets and declining yields. Both Convertible Arbitrage and RV: Multi-Strategy exposure posted gains for the month, inclusive of September gains Relative Value is the best main strategy of industry performance, with a YTD gain of 4.77%.
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