Opalesque Industry Update - Global Equity markets continued to build on January gains through mid-February, as
investors focused on optimism with regard to both the US economy and European
sovereign debt crisis. The US Dollar fell slightly against the major currencies,
while Energy commodities rose, with strong gains in Oil and other Energy
commodities. US yields rose across the curve, with longer dated maturities rising
more quickly through mid-month. Also building on January gains, hedge funds posted
gains through mid-February, with the HFRX Global Hedge Fund Index gaining +1.06%,
with gains across Event Driven, Equity Hedge and Relative Value strategies. The
HFRX Market Directional Index, which includes constituents employing higher levels
of market exposure, posted a gain of +1.46% for the period. |
The HFRX Event Driven Index posted a gain of +1.73% through mid-February, building on strong January performance, with strongest gains concentrated in Special Situations, Activist and Distressed/Restructuring ED strategies. ED performance was supported by improved risk tolerance, continued credit improvement, M&A deal tightening and equity market gains, with the HFRX Special Situations Index posting a gain of +1.91% for the period. The HFRX Distressed Index posted a gain of +1.19% while the HFRX Merger Arbitrage Index gained +0.96% through mid-month.
The HFRX Equity Hedge Index gained +1.49% through mid-February, with positive contributions multiple geographic, market sector and capitalization ranges. Energy, Technology and Emerging Markets contributed to the gain of +2.73% for the HFRX Fundamental Growth Index, while US large cap and Asian exposures contributed to the gain of +0.83% for the HFRX Fundamental Value Index. The HFRX Equity Market Neutral Index posted a decline of -0.36%, with factor based models underperforming behavioral finance-based MN exposure.
The HFRX Relative Value Arbitrage Index posted a gain of +0.85% through mid-February, with gains across Convertible and Multi-Strategy fixed income exposures. Credit tightening and short exposure offset the impact of rising yields, as implied volatility fell; the HFRX RVA Multi-Strategy Index and the HFRX Convertible Arbitrage Index gained +0.90% and +0.89%, respectively.
The HFRX Macro/CTA Index posted a modest decline of -0.02% through mid-February, from positive contribution in discretionary macro strategies offset by declines across systematic, quantitative strategies. Discretionary strategies posted gains concentrated in commodities and fixed income, while currencies detracted from these. The HFRX Systematic Diversified CTA Index posted a decline of -0.71% with gains in Energy offset by weakness in fixed income and currencies...Full performance table: Source