Tue, Jul 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index posts narrow decline of -0.02% in March (+3.40% YTD)

Wednesday, April 04, 2012
Opalesque Industry Update - Financial markets produced mixed performance for March, as strength in US economic data and optimism with regard to resolution of European sovereign debt crisis were offset by mixed performance in Asian and Emerging market equities, rising yields and commodity weakness. US equities posted gains with leadership from Financials and Technology partially offset by weakness in Energy & Commodity exposures. US yields rose across the curve on continued improvement in housing and employment data contributing to lower expectations for near term quantitative easing, while the US dollar was mixed, posting a gain against the Japanese Yen. Commodities declined for the month with Oil trading in wide range while Gold, Natural Gas and Agriculturals declined.

Hedge fund performance was also mixed for the month, with the HFRX Global Hedge Fund Index posting a narrow decline of -0.02%, with losses in Macro strategies offsetting gains across Equity, Event and Arbitrage strategies.

The HFRX Event-Driven Index posted a gain of +0.56%, the 3rd consecutive monthly gain and bringing 1Q12 performance to +5.81%. Both US Equity markets and credit markets improved, with strength in US Financials and falling volatility contributing to gains across various ED strategies, with the HFRX Distressed Index gaining +0.59%. Corporate M&A activity continued in both Pharmaceutical & Commodity spaces, with positions in Roche/Illumina, Express Scripts/Medco and Glencore/Viterra contributing to gains in the HFRX Special Situations Index of +0.44% and the HFRX Merger Arbitrage Index of +0.21%.

The HFRX Macro CTA Index posted a decline of -1.60% for March, from negative contributions from commodity and currency exposure only partially offset by fixed income positioning. Quantitative, trend following strategies declined on commodity weakness and US strength, with the HFRX Systematic Diversified Index posting a decline of -2.36%. Discretionary Macro strategies were also negatively impacted by the commodity weakness, but these were partially offset by currency, equity and short fixed income positions.

The HFRX Equity Hedge Index posted a gain of +0.40%, also the 3rd consecutive monthly gain, with positive contributions from European & Technology exposures. The HFRX Fundamental Value Index gained +0.79% and the HFRX Fundamental Growth Index gained +0.18%, with tactical exposure adjustment, sector and geographic areas and short exposure all contributing to gains in the choppy trading month. The HFRX Equity Market Neutral Index declining by -1.21% with gains in factor based strategies offset by weakness in trading and behavioral based models.

The HFR Relative Value Arbitrage Index posted a gain of +0.27%, as tactical, hedged positioning and credit tightening offset the impact of higher US yields. The HFRX RV Multi-Strategy Index and the HFRX Convertible Arbitrage Index posted gains +0.09% and +0.16%, respectively, with Event-style convertible and fixed income arbitrage exposures contributing to gains. Corporate FI Arbitrage was mixed while Energy infrastructure and Emerging Markets exposures detracted from gains.

Comments reference performance figures as of March 30, 2012

(press release)

Performance table on www.hedgefundresearch.com

BG

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. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

  2. Launches - Ex-Brevan Howard star Rokos builds team for new fund, Former Och-Ziff manager’s firm starts health care hedge fund, Industry veterans launch commodity investment firm Aron Capital Management, Nikko Asset Management launches two UCITS funds, Capital Group plans to debut Asian investor targeted fund[more]

    Ex-Brevan Howard star Rokos builds team for new fund From WSJ.com: Chris Rokos, a former star trader at Brevan Howard Asset Management LLP, has hired an economist from Nomura to join the team he’s assembling for his much anticipated hedge fund launch. Mr. Rokos, whose firm is due to b

  3. Institutions - Pension fund dismisses Texas consultant, Rhode Island pension fund gets 2.2% investment return, far below assumed rate of 7.5%, New Jersey pension investments see a drop-off in returns[more]

    Pension fund dismisses Texas consultant From Sandiegouniontribute.com: The county retirement board on Thursday terminated the Texas consultant who was given the reins of the $10 billion pension fund, and whose investment picks left many employees and retirees feeling taken for a ride.

  4. SWFs - Sovereign wealth funds paid around $14 billion in fees[more]

    From SWFinstitute.org: When it comes to the financial sector, asset management is one of the most profitable industries in the world. The Boston Consulting Group put out a 2014 figure saying there is US$ 74 trillion worth of professionally-managed assets. One of the fastest growing institutional inv

  5. Investing - Carlyle teams with TCW in push for ordinary investors[more]

    From Bloomberg.com: Carlyle Group LP isn’t backing down from its goal of offering alternative strategies to the masses, despite early setbacks. The Washington-based firm is teaming up with TCW Group, which is majority owned by Carlyle funds, to offer three vehicles that give ordinary investors acces

 

banner