Thu, Nov 27, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index declines -0.59% in first half of December (around -9% YTD)

Wednesday, December 21, 2011
Opalesque Industry Update - Equity markets posted declines through the first half of December as investors lowered expectations for growth into 2012 in Asia and US, while lack of clarity on resolution of the European sovereign debt and currency crisis also, once again, contributed to declines.

Equities declined across most regions and sectors, with commodity related and European equities leading declines. US yields declined across the curve, while commodities posted declines across metals, energy and agriculturals; the US appreciated against most major currencies, despite declining against the Swiss Franc.

Hedge Funds posted declines through mid-month, with the HFRX Global Hedge Fund Index declining -0.59%, while the HFRX Absolute Return Index posted a decline of -0.23%, with gains in Macro and Relative Value strategies offset by declines in Equity Hedge and Event Driven funds.

The HFRX Macro/CTA Index posted a gain of +0.17% through mid-December with positive contributions from currency and systematic diversified strategies which were only partially offset by commodity and discretionary strategies. The HFRX Systematic Diversified CTA Index gained +1.67% as persistent, tractable trends across Oil, currencies and fixed income contributed to gains. Commodity exposure contributed to declines in Discretionary strategies, despite a partially offsetting contribution from Currencies.

The HFRX Equity Hedge Index declined by -1.61% through mid-December, as most global equity markets declined on weakening growth outlook. While most regions and sectors declined, small cap and Asian exposures underperformed US large cap exposure with the Fundamental Growth and Fundamental Value declining by -2.57% and -1.14%, respectively. Market Neutral strategies posted a narrow decline as medium-trend reversal managers only partially offset behavioral finance strategies, with the HFRX Equity Market Neutral Index declining by -0.13%.

The Relative Value Arbitrage Index gained +0.10% through mid-December as yields declined and capital structure arbitrage spreads narrowed. Convertible Arbitrage posted gains on declining yields and volatility positions, with the HFRX Convertible Arbitrage Index gaining +0.27%. Similarly, credit multi-strategy funds contributed to gains with the HFRX Multi-Strategy Index gaining +0.18%. Energy infrastructure exposure also had a positive contribution to performance which was only partially offset by weakness in Latin American exposure.

The HFRX Event Driven Index posted a decline of -0.69% on weakness in equity related exposure and widening in specific merger arbitrage spreads. The HFRX Merger Arbitrage Index declined by -0.35% on continued weakness in deal spreads including AT&T/T-Mobile and NYSE/Deutsche Bourse transactions. Both the HFRX Special Situations Index and the HFRX Distressed Index posted declines of -0.73% and -0.49% respectively.

Comments reference performance as published through December 16, 2011.

Press release

Performance tables: www.hedgefundresearch.com

NEW VIDEO:
HFR President Ken Heinz discusses the outlook for hedge funds in 2012 on CNBC's Closing Bell with Maria Bartiromo at the NYSE Source

BG

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. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  2. Opalesque Roundtable: Islamic Finance races ahead with Sukuk, the first managed account platform, and foreign demand[more]

    Komfie Manalo, Opalesque Asia: A number of developments took place within Islamic finance in the past years, including the launch of a Islamic managed account platform and the further growth of the sukuk space that saw this instrument evolve from being a type of an ABS security that was rarely

  3. CTAs , event-driven strategies lead hedge funds recovery in mid-November[more]

    Komfie Manalo, Opalesque Asia: November’s performance proves to be in sharp contrast to the previous month, with equities further consolidating their upswing last week, according to the latest Lyxor Asset Management’s Weekly Brief. CTA funds als

  4. Fund Profile - A complex hedge fund strategy works for United Technologies[more]

    From Institutionalinvestor.com: Reports that portable alpha is dead have been greatly exaggerated, as Mark Twain might have phrased it. Another Connecticut Yankee, giant United Technologies Corp., is gearing up to grow its successful, nearly decade-long portable-alpha program. The UTC strategy took

  5. Opalesque Exclusive: The unintended consequences of Basel III[more]

    Benedicte Gravrand, Opalesque Geneva: Bijesh Amin, co-founder and managing director of Indus Valley Partners (IVP), a technology solutions and services firm focused on the alternative asset management industry, has recently observed