Fri, Aug 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 gains +0.54% in July (+1.77% YTD)

Monday, August 06, 2012
Opalesque Industry Update - Global financial market volatility continued in July as evidence of slowing economies in the US and China accompanied continued investor concern regarding the European sovereign debt and banking crisis, with recent focus on weakness in Spanish banks. Yields on US and German government bonds declined to record lows as the yield curve steepened on concerns about weak economic growth, additional Eurozone instability and expectations for additional stimulus measures by central banking institutions.

Global equity markets generally posted gains for the month, with positive contributions from Energy, Oil Services and central European economies, which were partially offset by weakness in US small caps, Southern European and Asian equity markets. Commodities posted gains concentrated in Wheat and Corn on US drought conditions, while Oil and Natural Gas also posted gains. The US Dollar gained against the Euro and GBP, whil e declining against the JPY. Overa ll, Hedge Funds posted gains for July, with the HFRX Global Hedge Fund Index gaining +0.54%, while the HFRX Market Directional Index gained +1.78% for the month.

The HFRX Macro CTA Index posted a gain of +1.48% for July, its highest performance since Nov 2009, with positive contributions from both systematic and discretionary strategies, partially offset by fixed income and discretionary currency exposure. As the impact of the drought in the US continued and energy prices rose, managers captured consistent trends in commodity positions in Agriculturals (Corn and Wheat) and Energy, complemented by gains in Currencies, with the HFRX Macro Systematic Diversified CTA Index gaining +3.23%.

Idiosyncratic exposure to Commodity and Currency generated mixed performance for Discretionary Macro managers, with positive contributions from US and German fixed income, as well as USD positions against the Euro and the Yen.

The HFRX Equity Hedge Index posted a gain of +0.55% for the month, with gains in broad international large cap and technology/healthcare equity, partially offset by small cap, renewable energy and market neutral trading strategies. The HFRX EH: Fundamental Value Index gained +1.38%, its largest performance since Dec 2010, with contributions concentrated in European and US exposure. Equity Hedge also experienced gains in Healthcare, which were partially offset by losses in Energy/Basic Materials. The HFRX Equity Market Neutral Index posted a modest decline of -0.07% as positive contributions from factor-based models were offset by declines in behavioral strategies.

The HFRX Event Driven Index posted a gain of +0.25% for the month from contributions from Distressed/Restructuring, Activist and equity Special Situation strategies, partially offset by mixed performance in Merger Arbitrage exposure. The HFRX Distressed Index posted a gain of +0.45%, bringing YTD performance to +3.50%, with contributions from Emerging Markets and European distressed exposure. The HFRX Merger Arbitrage Index declined -0.20% in July, with mixed performance across core positions in CNOOC/Nexen, Glencore/Viterra, Bristol-Myers/Amylin, Kayak/Palo Alto and Duke Energy/Progress Energy among other Commodity, Healthcare and Technology deal activity.

The HFRX Relative Value Arbitrage Index posted a modest gain of +0.03% for July on positive contributions from Convertible Arbitrage, Corporate Fixed Income and Yield Alternative strategies, offset by Latin American and Commodity exposures. The HFRX Convertible Arbitrage Index gained +1.16%, bringing YTD performance to +5.19% as yields continued to decline and credit spreads tightened. The HFRX RV: Multi-Strategy Index posted a decline of -0.54%, with gains in Emerging Markets sovereign debt offset by weakness in hedged Commodity exposures...Full 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. Commodities - Commodity hedge funds lose most in three years as rout deepens, Funds bet on Shell deal as oil prices plunge[more]

    Commodity hedge funds lose most in three years as rout deepens From Bloomberg.com: Hedge funds betting on commodities lost the most in almost three years in July as the price-rout deepened. Funds lost money for a third month, according to the Newedge Commodity Trading Index, which was re

  2. Investing - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  3. JTC acquires Kleinwort Benson’s fund administration business[more]

    Bailey McCann, Opalesque New York: JTC has completed the acquisition of Kleinwort Benson’s fund administration business, boosting assets under administration (AuA) to $56 billion. Kleinwort Benson is based in the Channel Islands, South Africa. The transaction, which relates to the whole of K

  4. Performance - Hedge funds set to bank millions by short selling during London share slump, The China market chaos has made this hedge fund its most money in 2 years, Odey hedge fund said to surge 9% betting against China, Hedge funds with long-held bearish views on China rack up profits, Hedge funds in U.S. seen curbing damage from August turbulence, Hedge funds collect on their predictions of a fall, How did managed futures do while the Dow was down 1000[more]

    Hedge funds set to bank millions by short selling during London share slump From TheGuardian.com: Hedge funds are set to bank tens of millions of pounds from the slump in share prices in London, having bet almost £18bn that the FTSE 100 would fall. The funds making the bets include Lansd

  5. Opalesque Exclusive: John C Head IV leaves alternative investment firm Gallery Capital, David Harrison joins as co-CIO[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: John C Head IV, former president and co-founder of Gallery Capital Management, an alternative inv

 

banner