Tue, Oct 21, 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   |   

Banner

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. Opalesque Exclusive: What's next for trend followers?[more]

    Bailey McCann, Opalesque New York: New research out from Ibbotson touches on a key debate happening among investors and fund managers, specifically whether long term trend followers can survive in the new

  2. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  3. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  4. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  5. Sparx optimistic about outlook for Japan[more]

    Benedicte Gravrand, Opalesque Geneva: According to SPARX, there are causes to be optimistic about the outlook for the Japanese market and the country's economy in general. Sparx Asset Management is a Tokyo-based asset manager, part of