Tue, Sep 30, 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. Socially responsible investments grow in demand, but performance questions persist[more]

    Komfie Manalo, Opalesque Asia: A study by financial services firm TIAA-CREF showed that interest in socially responsible investing (SRI) is increasing rapidly, but investors are still asking if investing in an SRI strategy

  2. Regulatory - Ireland launches structure for passporting loan origination funds within EU[more]

    From Asiaasset.com: The Irish Funds Industry Association (IFIA) has introduced new loan origination capabilities that will offer Asian managers and investors a new structure under the European Union’s (EU’s) Alternative Investment Fund Managers Directive (AIFMD). The new structure will allow the mar

  3. Europe - Ed Miliband's war on hedge funds could damage City of London[more]

    From Telegraph.co.uk: Ed Miliband’s plans to wage war on hedge funds could be potentially more damaging to the City of London than even the financial transaction tax (FTT), senior banking sources warned on Tuesday night. The Leader of the Opposition took aim at a number of industries as part of his

  4. News Briefs - SEC probes Pimco ETF over pricing irregularities, BEPs: Action plan released and UK first to adopt country-by-country reporting[more]

    SEC probes Pimco ETF over pricing irregularities The Securities and Exchange Commission is investigating Pimco’s pricing of exchange traded funds, the latest cloud to hang over the world’s largest bond manager, which has been dogged by poor performance and management infighting. Pimco on

  5. Outlook - Julian Robertson: There are two bubbles that can bite us[more]

    From Businessinsider.com: Legendary hedge fund manager Julian Robertson gave a warning about two bubbles that could "bite us" at Bloomberg Market's Most Influential Summit. "I agree with the fact that the economy is definitely getting better. I think the cause of that is two bubbles that will