Wed, Jul 29, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRI Fund Weighted Composite Index gains 0.14% in February (+2.67% YTD)

Friday, March 08, 2013
Opalesque Industry Update - Hedge funds posted gains in February as broad U.S. equity indexes approached record levels and the U.S. dollar surged against most major currencies, weathering renewed investor concerns on the European banking and sovereign debt crisis following the results of the Italian elections.

The HFRI Fund Weighted Composite Index posted a gain of +0.14 percent for the month, the 8th gain in the last nine months, led by Relative Value Arbitrage and Equity Hedge strategies, according to data released today by HFR, the established global leader in the indexation, analysis and research of the hedge fund industry. Funds of Hedge Funds performed in-line with the overall industry, as the HFRI Fund of Funds Index gained +0.13 percent in February.

Fixed income-based Relative Value Arbitrage (RVA) strategies led February gains as yields declined and credit spreads remained tight, with the HFRI Relative Value Arbitrage Index posting a gain of +0.7 percent. Strong and consistent gains in RVA have continued to attract investor capital through year-end 2012, as RVA surpassed Equity Hedge as the largest area of hedge fund capital. The gain for RVA is the 9th consecutive monthly increase and extends an impressive period since the start of the Financial Crisis through which RVA has posted positive performance in 43 of the past 50 months. Credit Multi-Strategies led RVA sub-strategy performance, with the HFRI Relative Value: Multi-Strategy Index posting a gain of +1.5 percent.

Building on a strong January gain of +3.3 percent, Equity Hedge funds also contributed to industry gains in February, with the HFRI Equity Hedge Index gaining +0.5 percent as U.S. equities approached record levels. Event Driven strategies also posted gains as the active corporate M&A environment accelerated with contributions from transactions in Heinz, Liberty Global/Virgin Media, Comcast/NBC Universal, and more. The HFRI Event Driven Index gained +0.1 percent for the month, marking its 9th consecutive monthly gain, with contributions from Special Situations and Credit and Arbitrage positioning.

Macro strategies detracted from industry performance, with the HFRI Macro Index posting a decline of -0.7 percent. Quantitative, trend-following CTA strategies led sub-strategy declines, with the HFRI Macro: Systematic Diversified CTA Index posting a decline of -1.1 percent, with negative contributions from long commodity and short equity positions. Currency-focused, Discretionary Macro and Emerging Markets had positive contributions to Macro performance; the HFRI Emerging Markets Index posted a gain of +0.2 percent.

"A resurgence of investor risk appetite and optimism drove hedge fund performance gains across credit, equity and arbitrage strategies, and enabled over $100 Billion in financing to be raised for M&A transactions," stated Kenneth J. Heinz, President of HFR. "With equity markets near all-time highs, investors are actively allocating to the hedge fund industry for a number of reasons, including expectations for an end to quantitative easing, historically tight credit markets, opportunities in macro currency strategies and the potential for destabilizing developments in Syria and Iran. Hedge fund investors are positioning to participate in continued equity market gains but also to insulate their portfolios from equity or credit market weakness, rising yields or macro-political uncertainty."

HFRI Indices Feb 2013 YTD 1 Year













HFRI Fund Weighted Composite Index 0.14% 2.67% 4.11%




HFRI Equity Hedge (Total) Index 0.50% 3.84% 4.32%




HFRI EH: Equity Market Neutral Index 0.73% 1.99% 3.24%




HFRI EH: Quantitative Directional -0.77% 2.19% 3.03%




HFRI EH: Sector - Energy/Basic Materials Index -2.84% -0.31% -12.60%




HFRI EH: Sector - Technology/Healthcare Index 0.88% 3.64% 3.74%




HFRI EH: Short Bias Index -0.27% -3.42% -12.22%




HFRI Event-Driven (Total) Index 0.06% 2.38% 6.74%




HFRI ED: Distressed/Restructuring Index 0.11% 2.51% 8.58%




HFRI ED: Merger Arbitrage Index 0.04% 0.26% 1.44%




HFRI Macro (Total) Index -0.67% 0.98% -1.07%




HFRI Macro: Systematic Diversified Index -1.11% 0.45% -3.34%




HFRI Relative Value (Total) Index 0.66% 2.40% 9.35%




HFRI RV: Fixed Income-Asset Backed 0.75% 2.66% 16.38%




HFRI RV: Fixed Income-Convertible Arbitrage Index 0.45% 2.02% 5.14%




HFRI RV: Fixed Income-Corporate Index 0.28% 1.88% 8.92%




HFRI RV: Multi-Strategy Index 1.49% 3.28% 8.39%




HFRI RV: Yield Alternatives Index 0.71% 5.52% 9.57%




 







HFRI Emerging Markets (Total) Index 0.22% 3.51% 4.77%




HFRI Emerging Markets: Asia ex-Japan Index 0.31% 4.33% 6.66%




HFRI Emerging Markets: Global Index 0.62% 3.44% 5.13%




HFRI Emerging Markets: Latin America Index 0.22% 2.97% 2.75%




HFRI Emerging Markets: Russia/Eastern Europe Index -1.28% 2.01% 0.80%













HFRI Fund of Funds Composite Index 0.13% 2.27% 3.65%




HFRI FOF: Conservative Index 0.54% 2.21% 4.29%




HFRI FOF: Diversified Index -0.08% 1.99% 3.82%




HFRI FOF: Market Defensive Index -1.72% -0.64% -3.90%




HFRI FOF: Strategic Index 0.45% 3.02% 4.21%













HFRI Fund Weighted Composite Index - CHF 0.11% 2.55% 3.25%




HFRI Fund Weighted Composite Index - EUR 0.11% 2.54% 3.49%




HFRI Fund Weighted Composite Index - GBP 0.19% 2.79% 4.14%




HFRI Fund Weighted Composite Index - JPY 0.15% 2.80% 4.07%




(press release)

www.hedgefundresearch.com

fg

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. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

  2. Launches - Ex-Brevan Howard star Rokos builds team for new fund, Former Och-Ziff manager’s firm starts health care hedge fund, Industry veterans launch commodity investment firm Aron Capital Management, Nikko Asset Management launches two UCITS funds, Capital Group plans to debut Asian investor targeted fund[more]

    Ex-Brevan Howard star Rokos builds team for new fund From WSJ.com: Chris Rokos, a former star trader at Brevan Howard Asset Management LLP, has hired an economist from Nomura to join the team he’s assembling for his much anticipated hedge fund launch. Mr. Rokos, whose firm is due to b

  3. Institutions - Pension fund dismisses Texas consultant, Rhode Island pension fund gets 2.2% investment return, far below assumed rate of 7.5%, New Jersey pension investments see a drop-off in returns[more]

    Pension fund dismisses Texas consultant From Sandiegouniontribute.com: The county retirement board on Thursday terminated the Texas consultant who was given the reins of the $10 billion pension fund, and whose investment picks left many employees and retirees feeling taken for a ride.

  4. SWFs - Sovereign wealth funds paid around $14 billion in fees[more]

    From SWFinstitute.org: When it comes to the financial sector, asset management is one of the most profitable industries in the world. The Boston Consulting Group put out a 2014 figure saying there is US$ 74 trillion worth of professionally-managed assets. One of the fastest growing institutional inv

  5. Investing - Carlyle teams with TCW in push for ordinary investors[more]

    From Bloomberg.com: Carlyle Group LP isn’t backing down from its goal of offering alternative strategies to the masses, despite early setbacks. The Washington-based firm is teaming up with TCW Group, which is majority owned by Carlyle funds, to offer three vehicles that give ordinary investors acces

 

banner