Mon, Jul 6, 2015
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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner