Industry Updates

HFRX Global Hedge Fund Index gains 0.73% in February, 1.30% YTD

Sunday, March 06, 2011

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Opalesque Industry Update - Global equity markets posted broad-based gains for February despite the spreading of civil unrest in the Middle East and North African countries; oil prices rose for the month to over $100 a barrel on concerns about supply disruption. The U.S. Dollar declined against the Euro and British Pound as US initial jobless claims and consumer confidence improved throughout the month, while precious metals also posted gains. Hedge funds posted gains for the month of February, with the HFRX Global Hedge Fund Index gaining +0.73% for the month, with positive contributions across all strategies.

The HFRX Event Driven Index posted a gain of +1.35%; all ED sub-strategies had a positive contribution for the month. Continued strength in credit markets were supportive of new corporate transactions in the energy, basic materials, and technology sectors. Equity special situations had the strongest contribution to index performance, with the HFRX Special Situations Index posting a gain of +1.83%. A combination of new deal announcements and spread tightening contributed to a gain of +0.64% for the HFRX Merger Arbitrage Index.

The HFRX Macro Index posted a gain of +0.93% for February with gains across systematic trend following and discretionary strategies. The HFRX Systematic Diversified Index posted a gain of +0.67% with significant contributions from energy and metals positions only partially offset by weakness in fixed income. Short U.S. Dollar exposure and long commodity also contributed to positive performance for discretionary macro strategies.

The HFRX Relative Value Arbitrage Index posted a gain of +0.60% for February with contributions from all sub-strategy areas including convertible, multi-strategy credit and yield-alternative strategies. The HFRX Convertible Arbitrage Index gained +1.72% as credit tightened and volatility increased for the month, while the HFRX RVA: Multi-Strategy Index posted a gain of +0.58%. Yield-alternative energy infrastructure exposures also posted gains for the month.

The HFRX Equity Hedge Index posted a gain of +0.23% for the month, as gains in the US and other developed market exposures offset inflation concerns and volatility in the Middle East. The HFRX Equity Market Neutral Index posted a gain of +1.60 with contributions from factor-based, momentum and mean reversion strategies. Both the HFRX Fundamental Growth Index and the HFRX Fundamental Value Index posted gains of +1.08% and +0.14%, respectively, with positive contributions from energy, basic materials, metals, technology and financials.

(press release)

HFRX Indices are designed to be representative of the overall composition of the hedge fund industry.

Hedge Fund Research, Inc. ("HFR") utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Strategy Universe. Construction of each Index employs state-of-the-art quantitative techniques and qualitative analysis. Multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding hedge fund strategy...Full performance table: Source
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