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HFR composite hedge fund index up 1.86% (est.) in April (3.59% YTD) with positive contributions across all strategies

Saturday, May 07, 2011
Opalesque Industry Update - After posting modest losses during the first half of April, US equity markets ended the month with positive performance. Commodities posted gains concentrated in precious metals while the US Dollar declined sharply. US treasury yields fell on analysts’ negative outlook for US credit rating, while the environment for credit & corporate acquisition remained robust. Hedge funds posted gains for the month of April, with the HFRI Fund Weighted Composite Index gaining +1.86% with positive contributions across all strategies.

The strongest area of hedge fund performance for April was Macro strategies, with the HFRI Macro (Total) Index posted a gain of +3.36%, the strongest monthly gain since May 2009. Macro gains were distributed across both systematic and discretionary, as well as across commodity and currency focused, sub-strategies. Strong trends across multiple asset classes created a conducive environment for trend-following strategies, with the HFRI Macro: Systematic Diversified Index posting a gain of +4.81%. Short US-dollar positioning and long commodity exposure, in particular to Silver, Natural Gas and Oil, were primary drivers of performance. Discretionary strategies also contributed to positive performance on currency and fixed income exposure.

The HFRI Equity Hedge (Total) Index posted a gain of +1.21% for April, with positive contributions across most sub-strategies only partially offset by declines in dedicated, short-bias exposure. Sector exposure in Technology/Healthcare posted the strongest gains with the HFRI EH: Technology/Healthcare Index posted a gain of +3.04% on improved earnings and consumer outlook. Fundamental Growth also provided a strong contribution to EH gains, while Equity Market Neutral strategies gained +0.55%; the lone sub-strategy detracting from EH gains was Short Bias, with the HFRI EH: Short Bias Index declined by -3.15% for the month.

Posting its eighth consecutive month of positive performance, the HFRI Event Driven (Total) Index rose +1.15% in April, with positive contributions from all ED sub-strategies. ED strategies benefitted from continued activity in M&A and IPOs, with significant transactional announcements and developments in the financial exchanges, telecommunications, technology and Asian listings. Equity special situations and distressed and restructuring activity continued benefitting from a favorable credit environment from contributions of new & existing transactions in the US, Europe and Emerging Markets, with the HFRI: ED Distressed/Restructuring Index and HFRI ED: Merger Arbitrage Index rising +1.09% and +0.86%, respectively.

The HFRI Relative Value (Total) Index rose +0.80% for the month, making April the 27th out of the last 28 months when the index has delivered positive returns. Falling treasury yields, improved consumer data and commodity market gains supported performance of multi-strategy, volatility and yield alternative strategies, which were only partially offset by declines in convertible arbitrage and sovereign debt exposures. The HFRI Fixed-Income Asset Backed Index gained +1.40%, while the HFRI RVA: Multi-Strategy Index gained +0.50% for April; both of these were positive influenced by falling yields and the continued strong environment for corporate and asset backed bonds; although the HFRI Convertible Arbitrage Index declined -0.89% for the same period.

The HFRI Fund of Hedge Funds Index posted a gain of +1.46%, while the HFRI Emerging Markets Index posted a gain of +1.63% for the month, with the positive contributions across all Emerging Markets and the strongest contributions from Emerging Asia and Latin America.

(press release)

Full performance table: Source

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