Tue, Dec 1, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index up +0.22% in mid-March (+3.39% YTD)

Tuesday, March 20, 2012
Opalesque Industry Update - US fixed income yields rose sharply through the first half of March with rising longer dated bond yields leading a curve steepening on improving US economic data and increasing investor risk tolerance. Global equity markets continued to build on 2012 gains, with leadership from Financials on higher rates and release of favorable US bank stress tests results; gains were partially offset by mixed performance in Emerging Markets and Energy/Basic Materials.

Corporate credit continued to tighten as volatility declined sharply. The US dollar gained against most currencies on the higher US yields, with declines in Gold and Oil and sharp declines in Natural Gas. Hedge funds posted gains through mid-March, with the HFRX Global Hedge Fund Index gaining +0.22%, the third consecutive monthly gain from positive contributions from Event Driven, Equity Hedge and Relative Value strategies, partially offset by declines in Macro Systematic.

The HFRX Event Driven Index posted a gain of +0.43% through mid-March, with exposure to Distressed, Special Situations and Activist funds contributing to gain. Investor risk tolerance continued to improve as both credit and M&A spreads tightened, with significant positions in Lehman Brothers, Dollar Thrifty and Yahoo. The HFRX Distressed Index and the HFRX Special Situations Index posted gains of +0.37% and +0.36%, with tight corporate credit, strong liquidity contributing and leadership from Financial equities contributing to gains. The HFRX Merger Arbitrage Index gained +0.33% through mid-month, with contributions from positions in the El Paso/Kinder Morgan, Tokio Marine Financial/Delphi Financial, and Glencore/Viterra deals.

The HFRX Equity Hedge Index posted a gain of +0.40% through mid-March, with positive contributions from exposure to the Technology, Financials and Energy partially offset by mixed performance in Emerging Markets and Market Neutral strategies. The HFRX Fundamental Value Index posted a gain of +0.46% with US large cap and European small cap contributing to gains, while the HFRX Fundamental Growth Index was unchanged through mid-month, with gains in Emerging Markets offset by European exposure. The HFRX Equity Market Neutral Index declined by -0.55% as implied volatility and trading volumes both declined, with gains in factor-based strategies offset by trading and behavioral strategies.

Despite the sharp rise in US yields, the HFRX Relative Value Arbitrage Index posted a gain of +0.33% through mid-March, with gains in Multi-Strategy and Corporate fixed income exposures. US and Emerging markets exposures contributed to gains for the month, which were only partially offset by weakness in Energy Infrastructure and Asian convertible exposures. Selective fixed income exposure and effective rate hedges contributed to the HFRX RVA Multi-Strategy Index gaining +0.15% through mid-month, while falling volatility and rising yields contributed to a decline of -0.22% for the HFRX Convertible Arbitrage Index.

The HFRX Macro/CTA Index declined by -0.41% through mid-March, with positive contributions from discretionary strategies offset by negative contributions from systematic, trend following strategies. Discretionary macro managers had gains in tactical currency and hedge fixed income exposures which were partially offset by weakness in commodity exposure. The HFRX Systematic Diversified CTA Index posted a decline of -1.16% for the period, with weakness concentrated in commodity and fixed income exposures. Full press release and performance table: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. David Einhorn's hedge fund plunged 5.2% in November, set for 2015 loss[more]

    From Bloomberg.com: David Einhorn’s main hedge fund at Greenlight Capital fell 5.2 percent in November and is poised for only its second losing year in almost two decades. The losses bring the fund’s yearly drop to almost 21 percent, according to an e-mail sent to clients that was obtained by Bloomb

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

    From PIonline.com: 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. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From Bloomberg.com: It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  4. Regulatory - Major changes in partnership audit procedures contained in 2015 Budget Act[more]

    Contained in the Bipartisan Budget Act of 2015, signed by President Obama on November 2, is a rather complex provision that materially changes how partnerships are audited. Generally effective for tax years beginning after December 31, 2017, the so-called “TEFRA” and “Electing Large Partnership” rul

  5. Following review Yuan included in reserve currency basket[more]

    Bailey McCann, Opalesque New York: The International Monetary Fund has confirmed the inclusion of the Chinese Yuan in the reserve currency basket. This means that loans will be available in Yuan alongside other major currencies including the US Dollar and the Euro. The basket of reserve curr