Opalesque Industry Update -
Equity and commodity markets declined for the first half of April, as volatility spiked on renewed European sovereign debt concerns and weak US employment data. Spanish bond yields rose above six percent, while US yields fell across the curve, credit widened and the dollar gained against most major currencies. Equities traded in a volatile range with most sectors posting declines led by Financials, Technology and Energy, while Spain and Italy led declines across developed Europe. Natural gas extended sharp declines, Industrial and Precious Metals fell, while other commodities were mixed.|
Hedge funds posted declines through mid-April, with the HFRX Global Hedge Fund Index declining by -0.37%; the HFRX Absolute Return Index fell by -0.16%.
The HFRX Macro CTA Index posted a decline of -0.10% through mid-April with negative contributions from systematic diversified strategies only partially offset by mixed performance of macro discretionary strategies. The HFRX Systematic Diversified Index declined by -0.37%, with declines in Natural Gas, Grains, and Metals, contributing to losses across quantitative, trend following managers.
Discretionary Macro managers experienced mixed performance with gains in commodity and currency strategies partially offset by declines across fixed income and Emerging Markets exposure.
The HFRX Equity Hedge Index declined -0.28%, through mid-month with negative contributions across both fundamental growth and value managers, as well as weakness across market neutral, technology/healthcare and energy/basic materials. As equity volatility increased, both the HFRX Fundamental Value Index and the HFRX Fundamental Growth Index posted modest declines of -0.04% each, with declines only partially offset by exposure to selected Latin American and European equity. The HFRX Equity Market Neutral Index declined by -0.55% as volatility increased, with gains in Factor-based strategies offset by declines in trading oriented strategies.
The HFRX Relative Value Arbitrage Index posted a decline of -0.37%, with declines across sovereign fixed income and energy infrastructure only partially offset by gains in convertible arbitrage strategies. Widening credit spreads and equity market declines offset the impact of falling yields, with the HFRX RV Multi-Strategy Index posting a decline of -0.31%. In convertibles, rising volatility and falling yields offset widening credit, with the HFRX Convertible Arbitrage Index gaining +0.07%.
The HFRX Event Driven Index posted a decline -0.72% through mid-month, with declines across special situations equity, activist and distressed/restructuring strategies, only partially offset by gains in merger arbitrage.
Both equity and credit strategies experienced weakness through mid-month, with the HFRX Special Situations Index and the HFRX Distressed Index declining by -0.51% and -0.50%, respectively.
Partially offsetting these, gains in M&A activity continued across Energy, Technology and Commodity sectors with core positions in Kinder Morgan/El Paso, United Technologies/Goodrich and Glencore/Viterra deals contributing to gains of the HFRX Merger Arbitrage Index of +0.11% for the period.
Full press release and performance table: www.hedgefundresearch.com