Sat, May 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 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. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  2. Americas - Australian banks sending U.S. hedge funds broke, Ryan Puerto Rico ‘rescue’ bill could be windfall for hedge funds[more]

    Australian banks sending U.S. hedge funds broke From SMH.com.au: US hedge funds are not having the best of years. Profits are hard to find, they're underperforming and the punters are losing patience, withdrawing US$15 billion ($20.8 billion) in the March quarter. They're expected to wit

  3. Investing - Billionaire Wilbur Ross likes the look of Chinese bad loans, Hedge funds are still relevant in a diversified portfolio: 4 fundamental criteria for superior manager selection[more]

    Billionaire Wilbur Ross likes the look of Chinese bad loans From Bloomberg.com: U.S. billionaire Wilbur Ross said he’s considering investing in nonperforming loans in China, as Moody’s Investors Service said that the nation has the tools to prevent a financial crisis in the near term. I’

  4. Investing - Blackstone gives pricey Canadian energy and property thumbs down, One of the most concentrated hedge fund bets is getting crushed, Facebook is hedge funds' new tech darling,[more]

    Blackstone gives pricey Canadian energy and property thumbs down From Bloomberg.com: Canada’s energy assets are uneconomic and real-estate markets overvalued, making them less attractive for investment than in the U.S. and elsewhere, according to Tony James, president of Blackstone Group

  5. Study - Only 30% of institutional hedge fund portfolios beat the benchmark[more]

    Bailey McCann, Opalesque New York: A new study from CEM Benchmarking, an independent provider of cost and performance analysis for pension funds, shows that only 30 percent of institutional investors hedge fund portfolios beat the benchmark after fees. The study provides in depth analysis of real