Tue, Jun 28, 2016
A A A
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
PD

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. Opalesque Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Investing - Soros, Druckenmiller among hedgies profiting in market plunge, Hedge funds were most bullish on bonds since 2004 before Brexit, Surprise Brexit vote unleashes scramble for dollars, High-yield hit on Brexit but no panic selling, Scientist turned hedge fund founder lured to pound, euro, Hedge fund avoids commodities, posts big gains[more]

    Soros, Druckenmiller among hedgies profiting in market plunge From HITC.com: Bullish positions in gold and volatility and well-timed short bets on China and emerging markets, among other areas, were some of the trades that benefited hedge funds on Friday as markets digested Britons' s