Sat, Nov 28, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index declines -0.42% in December ( -8.87% in 2011)

Wednesday, January 11, 2012

Kenneth J. Heinz
Opalesque Industry Update - Hedge funds concluded a challenging 2011 with a decline in December, as the HFRX Global Hedge Fund Index declined by -0.42%, bringing full year 2011 performance to -8.87%. The decline marks only the second calendar year decline since HFRX index performance inception in 1998, also corresponding to the second decline in the last four years. The HFRX Absolute Return Index, which contains constituents with characteristically lower levels of directional exposure, posted a narrow decline of -0.13% for December and -3.72% for 2011.

The HFRX Relative Value Arbitrage Index ended 2011 with a gain of +0.11% in December with positive contributions from Convertible Arbitrage (+0.32%) and Yield Alternatives: Energy Infrastructure strategies. Fixed Income-based Multi-Strategy, Asset Backed and Energy Infrastructure sub-strategies each posted gains in 2011, with the HFRX RV: Multi Strategy Index gaining +0.05% for 2011.

HFRX Event Driven and Macro strategies posted declines of -0.56% and -0.28% for December, concluding 2011 with declines of -4.90% and -4.88%, respectively. Both Macro Systematic Diversified and Merger Arbitrage strategies had positive contribution to Index performance for December, with gains of +0.82% and +0.07%, respectively.

Equity Hedge strategies were the weakest area of performance for both December, with the HFRX Equity Hedge Index posting a decline of -0.85% which was only partially offset by Market Neutral strategies which gained +0.18% for the month. Short Bias and Technology/Healthcare also had positive contributions to Equity Hedge for 2011.

"Volatile and unpredictable market dynamics throughout the year created a challenging environment for hedge funds in 2011, with aggregate losses across currency, commodity, Emerging Markets and equity strategies related to the European currency and sovereign debt crisis," stated Kenneth J. Heinz, President of HFR. "Risk-off trades dominated 2011, creating challenges for convergence oriented funds, while contributing to gains across fixed income and certain low net exposure hedged strategies. After a challenging 3Q, hedge funds adapted strategies to this continuing macro-volatility dynamic in 4Q in anticipation of this environment persisting into early 2012." Full press release: a href= target=_blank>Source

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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  4. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega

  5. More institutional investors invest in CTAs compared to last year despite dissatisfaction with performance[more]

    Benedicte Gravrand, Opalesque Geneva: "Despite a strong start to 2015 for CTAs in Q1, commodity market conditions have made return generation difficult for fund managers over much of the rest of the year to date," says Preqin’s November