Opalesque Industry Update - Global equity markets posted sharp declines through mid-November, 2012, as investors discounted the results of the US Presidential election, the uncertainty surrounding the renewal of US tax incentives and continued uncertainty regarding the European banking and sovereign debt crisis. Equities declined across most sectors, market capitalizations and regions, with steepest losses across certain Technology and Utilities concentrations, small cap equities and Italy, Germany, Australia and China regions, in addition to US weakness. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, as US yields declined for the month across the maturity curve and high yield credit weakened. Commodities posted mixed performance across Agricultural, Energy and Metals, with gains in Cotton, Oil and Aluminum offset by declines in Soybeans, Corn & Coffee. Hedge funds posted declines through mid-month with the HFRX Global Hedge Fund Index declining -0.14% and the HFRX Market Directional Index declining -0.09%. |
The HFRX Equity Hedge Index posted a decline of -0.47% through mid-November, with weakness concentrated in US equity and Energy/Basic Material exposure, only partially offset by gains in Emerging Markets and European equity. The HFRX Fundamental Growth Index gained +0.18% from exposure to Technology, Consumer and Brazilian equities. The HFRX Fundamental Value Index declined -0.61% from US large cap equity, partially offset by European positioning. The HFRX Market Neutral Index posted a modest decline of -0.05% with gains in factor-based market neutral strategies, offset by declines in fundamentally-driven market neutral managers.
The HFRX Macro CTA Index posted a gain of +0.14% for the period, as weakness in Systematic Macro strategies was offset by gains in Latin American and European Fixed Income, Discretionary Currency and Multi-Strategy managers. The HFRX Systematic Diversified CTA Index posted a decline of -0.33%, with weakness in medium-term trend following managers partially offset by currencies and fixed income strategies.
The HFRX Relative Value Arbitrage Index posted a decline of -0.11% through mid-November, from mixed performance across Convertible Arbitrage strategies and declines in corporate credit multi-strategies managers. Credit widening and falling equities generated losses while spread trading strategies posted gains; the HFRX RV: Multi-Strategy Index posted a decline of -0.15%. The HFRX Convertible Arbitrage Index posted a gain of +0.17% as declines from falling volatility and credit widening in US exposure were offset by strength in Emerging Markets Asia.
The HFRX Event Driven Index posted a decline of -0.06% with weakness in Equity Special Situations and Activist strategies partially offset by gains in Merger Arbitrage and Distressed managers. Transactions in the M&A space continued as UPS announced its acquisition of TNT Express and activity in the Glencore/Xstrata deal and other Energy, Banking and Pharmaceutical sectors developed. The HFRX Merger Arbitrage Index posted a gain of +0.37% on mixed contributions from core positions in Glencore/Viterra, Eaton/Cooper Industries, Health Care REIT/Sunrise Senior Living, McKesson/PSS World Medical, among others. The HFRX Special Situations Index declined -0.10%, with losses in short Consumer and Communications positioning partially offset by gains in the Energy and Utilities sectors. The HFRX Distressed Index posted a modest gain of +0.03% for the period.
Comments reference performance as published through November 19, 2012.
Full performance table: www.hedgefundresearch.com/hfrx_reg/index.php?fuse=login_bd