Opalesque Industry Updates - HFRX reports that equities posted gains in September to conclude the 3rd quarter, though gains were pared into month end on renewed European sovereign debt concerns despite stimulus measures by US, European and Japanese central banks. Equity gains were led by Cyclicals, Financials and Commodity sensitive sectors, with regional leadership from Asian and Emerging Markets. |
US Treasury yields rose for the month but settled off mid-month highs as the long end of the curve steepened and high yield credit tightened for the month. The Euro settled with monthly gains against the US dollar, with these also pared into month end; the Pound posted similar gains while the Dollar strengthened against the Japanese Yen. Energies and Precious Metal Commodities diverged for the month with losses in Oil and gains across Aluminum and Silver; Natural Gas also posted a sharp increase. Hedge funds were positive in each month of 3rd quarter, with the HFRX Global Hedge Fund Index gaining +0.39% for September, the 3rd consecutive month of gains. The HFRX Market Directional Index gained +0.98%, also posting its 3rd consecutive month of gains.
The HFRX Equity Hedge Index posted a gain of +0.78 for September, the 4th consecutive month of gains, as equity markets rose across most sectors and regions, and positive contributions across Value, Growth, Energy, Technology and Emerging Markets exposures. The HFRX Fundamental Value Index gained +0.83%, with contributions from Consumer, Industrial, Financials and European equities. The HFRX Fundamental Growth Index posted a gain of +0.71% with contributions from Consumer, Telecom, Asian, Emerging Markets and US small cap exposures. The HFRX Market Neutral Index posted a decline of -0.28% for the month, with weakness in trading oriented EMN strategies.
The HFRX Event Driven Index posted a gain of +0.67% for September, the 3rd consecutive month of gains, with contributions from Equity Special Situations, Distressed and Activist strategies only partially offset by weakness in Arbitrage exposure. The HFRX Special Situations Index posted a gain +0.89%, with positive contributions across both equity and credit sensitive exposures; the HFRX Distressed Index posted a smaller gain of +0.30% on idiosyncratic credit improvement. The HFRX Merger Arbitrage Index posted a decline of -0.26% on mixed contributions from core positions in Hertz/Dollar Thrifty, Glencore/Xstrata, Duke Energy/Progress Energy and exposure to the Consumer and Technology sectors.
The HFRX Relative Value Arbitrage Index posted a gain of +0.43% for September, with contributions from Multi-Strategy, Corporate Fixed Income and MLP strategies. The HFRX MLP Index gained +1.94% on continued strong demand across energy infrastructure, transport and storage positions. Credit and commodity tightening again offset rising treasury yields, contributing to a gain of +0.27% for the HFRX RV: Multi-Strategy Index. The HFRX Convertible Arbitrage Index posted a decline of -0.26% as rising yields and falling volatility offset credit gains.
The HFRX Macro CTA Index posted a decline of -0.52% for the period, as weakness in Systematic Macro offset gains in Discretionary Commodity and Fixed Income exposures. The HFRX Systematic Diversified CTA Index posted a decline of -1.75% for the month, with weakness as a function of intra-month reversals in various commodity and equity positions, across both medium to long term trending strategies.