Tue, May 30, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRI Fund Weighted Composite Index posts November gains (0.35%, 4.9% YTD) as fiscal cliff looms

Friday, December 07, 2012
Opalesque Industry Update: Hedge funds posted gains in November as equities traded in a wide intra-month range following the U.S. Presidential election and as global financial markets focused on the U.S. fiscal cliff. The HFRI Fund Weighted Composite Index gained +0.35 percent for the month, posting its fifth gain in the last six months, according to data released today by HFR, the leading global provider of indexation, research and analysis of the global hedge fund industry.

Relative Value Arbitrage (RVA) and Event Driven (ED) strategies were top contributors in November, with both the HFRI Relative Value Arbitrage Index and HFRI Event Driven Index gaining +0.7 percent. RVA strategies remain the top area of hedge fund strategy performance YTD, with the HFRI RVA Index up +9.5 percent through November. All RV sub-strategies posted gains for the month, with top contributions from strategies specializing in Volatility Arbitrage and Asset Backed exposures, with these gaining +1.2 and +1.1 percent, respectively. The HFRI RV: Asset Backed Index is the top area of sub-strategy performance YTD, with a gain of nearly +16.0 percent through November. Relative Value Arbitrage strategies have continued to attract investor capital for steady performance, having posted gains in 41 of 47 months since December 2008.

Event Driven strategies, which invest broadly across Merger Arbitrage, Distressed and Activist situations, posted the sixth consecutive monthly gain, benefitting from a strong M&A environment, as well as increased and special dividends announced ahead of possible tax increases. The HFRI Merger Arbitrage and Distressed Indices gained +0.8 and +0.6, respectively, in November, while Activist managers posted gains of +2.8 percent.

Equity Hedge funds advanced +0.4 percent in November, with top contributions from Quantitative Directional and Fundamental Growth, which gained +1.4 and +0.8 percent, respectively. The HFRI Macro Index was essentially flat for the month, as gains in Currency, Discretionary and Active Trading funds offset declines in Commodity and Systematic Diversified CTA strategies.

Emerging Markets hedge funds also posted their sixth consecutive gain as total hedge fund capital invested in Emerging Markets reached a record level, with the HFRI Emerging Markets Index gaining +0.9 percent. The HFRI Fund of Hedge Funds Composite Index also posted a gain of +0.4 percent, in line with the single-manager HFRI Fund Weighted Composite.

"Hedge funds posted gains in November while limiting, modifying and, in some cases, reducing exposure on continuing fiscal, political and geopolitical uncertainty," said Kenneth Heinz, President of HFR. "Arbitrage and Event Driven strategies were able to generate gains as a result of strategic positioning for the uptick in the M&A environment, including not only deal announcements and spread tightening, but also an increase in special dividends and a motivation to close transactions by year end. With a significant amount of near term uncertainty, managers continue to find attractive opportunities in these areas, while also preparing for a continuum of possibilities for resolution of, or failure to resolve risks associated with, the US fiscal cliff."

HFR

Press Release

BM

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. Investing - China's HNA wants to invest in Value Partners, Risk parity investors reap rewards from rebalancing act, SoftBank's $100 billion tech fund rankles VCs as valuations soar[more]

    China's HNA wants to invest in Value Partners From Reuters.com: HNA Group has alighted on a logical, if pricey, target in Hong Kong. The deal-hungry Chinese travel conglomerate known for overpaying wants to invest in Value Partners, one of Asia's few sizeable independent asset managers,

  2. Opalesque Exclusive: Investors warm to ESG, but seek standardization[more]

    Bailey McCann, Opalesque New York: Asset managers and asset owners plan to double their investment in Environmental, Social and Governance (ESG) driven strategies over the next two years, according to a survey from BNP Paribas Securities Services. The report, "Great Expectations: ESG - what's nex

  3. Opalesque Roundtable: France's hidden strengths in AI and machine learning[more]

    Komfie Manalo, Opalesque Asia: All nations offer their strengths and weaknesses, but one that is undisputed is the quality of the French scientists, claimed Guillaume Vidal, co-founder of French technology startup Walnut Algorithms at the

  4. AI-based hedge fund brings machine learning investing to masses[more]

    Komfie Manalo, Opalesque Asia: Machine learning-based hedge fund firm Greyfeather Capital is trying to bring artificial intelligence investing to the masses with its plan to expand beyond the limited reach of the alternative investments space. "We're excited to bring AI technology to traditio

  5. Outlook - Iconic hedge fund manager Seth Klarman says investors are missing huge risks, Paul Singer warns of a world at risk[more]

    Iconic hedge fund manager Seth Klarman says investors are missing huge risks From Businessinsider.com: An iconic hedge fund manager says investors are misperceiving risks in the markets - at a time when markets are hitting historic highs. Baupost Group's Seth Klarman laid out his concern