Fri, Apr 25, 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: Rainwater and Blue Sky - an Australian water fund emerges[more]

    Bailey McCann, Opalesque New York: Financial reporters often tout new funds and investments as uncorrelated investments, but few can say they are uncorrelated to everything but weather. Enter Blue Sky Alternative's water fund which invests in the permanent rights to Australia's water. Sev

  2. Regulatory – Expect greater SEC scrutiny of hedge funds that share information or collaborate in advance of their trades, Alternative funds to get SEC test for leverage, liquidity[more]

    Expect greater SEC scrutiny of hedge funds that share information or collaborate in advance of their trades From Thelawyer.com: A recent Wall Street Journal article — ‘Activist investors often leak their plans to a favoured few’ — focused attention on ‘activist’ investors and stock analy

  3. …And Finally – This week's least competent criminal is Austrian[more]

    From ABCnews.go.com: A German sought by authorities for alleged fraud has been arrested in Austria — after dropping into a police station to ask officers whether he was under investigation. Police in Salzburg said the 59-year-old man walked into a police station in the city on Friday night. Sp

  4. Investing – Hedge funds find pitfalls along with profits in real estate ventures, Marcato Capital Management makes new bet on Dillard’s[more]

    Hedge funds find pitfalls along with profits in real estate ventures From Law360.com: Hedge funds have joined the rush to real estate deals and development in recent months to close the financing gap left by tightening bank standards, but attorneys say many aren't prepared for the disclo

  5. Agecroft Partners estimates 90% of hedge funds using social media[more]

    The use of social media has increased significantly within the hedge fund industry over the past couple of years. Social media is broadly used by investors as part of their due diligence process on hedge funds, by service providers in their sales efforts to hedge funds, and by hedge funds to enhance