Sun, Oct 26, 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 -0.42% 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=http://www.hedgefundresearch.com/hfrx-monthend_daily.htm target=_blank>Source
PD

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. 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

  2. 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

  3. 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

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t