Opalesque Industry Update - The HFRX Daily Indices March 2013 Intra Month Update reveals that hedge funds posted gains over the period, with the HFRX Global Hedge Fund Index gaining +0.86% through mid-March, 3.29% year to date, and the HFRX Market Directional Index posting a gain of +1.39%, 4.94% year to date. |
Financial markets extended early 2013 gains into mid-March, as both US and European equities and the US dollar gained through mid-month. US equities eclipsed record highs as the DJIA rose through mid-March, with the S&P 500 approaching a record level while the Nasdaq also posted gains. Broad-based gains were led by sector strength in Financials, Cyclicals, Technology and Telecom; small cap equities also posted strong gains. European equities posted broad-based gains through mid-month as most European currencies fell against the dollar, with equity gains led by Spain, Germany, France, Switzerland and the Netherlands. Asian equities were mixed through mid-month, with another strong gain in Japanese equities complemented by gains in India & Thailand offsetting declines in China, Hong Kong and Australia.
The US dollar gained to a 45 month high against the Japanese yen on continued Bank of Japan stimulus, while rising to 32 month high against the British Pound, and also gaining against the Euro and Swiss Franc. US yields rose as the yield curve steepened, yields fell across Spain, Italy and France, but with little change across Germany, Netherlands or the UK, while commodities gains were led by Natural Gas and Cotton. M&A remained active as credit remained tight, with contribution from positioning in Liberty Global /Virgin Media, Sprint Nextel/Clearwire and the Dell buyout.
HFRX Equity Hedge Index gained +1.39% through mid-March, extending 1Q13 gains and contributing to the 10th consecutive months of gains for Equity Hedge. EH performance was led by growth strategies, with the HFRX Fundamental Growth Index rising +1.73% with contributions from exposure to Technology, Communications and Consumer sectors, as well Emerging Markets and small cap exposure. The HFRX Fundamental Value Index gained +1.40%, with contributions from positioning in large cap exposure to US and European Financials, Telecom and Energy sectors. Equity Market Neutral strategies experienced mixed performance, with the HFRX Market Neutral Index posting a modest decline of -0.07%.
HFRX Event Driven Index posted a gain of +1.29% through mid-March, also extending 1Q13 gains with contributions from Credit and Equity Special Situations strategies. M&A activity accelerated with contributions from transactions in Grupo Model, Aetna/Coventry Healthcare, Liberty Global /Virgin Media, Sprint Nextel/Clearwire. The HFRX Special Situations Index gained +1.60% with contributions from activist positioning and transactions in European financials, Media, Technology and Energy. The HFRX Distressed Index posted a gain of +1.60% as financing for transactions remained accessible and with contributions from American/US Airways.
The HFRX Relative Value Arbitrage Index posted a gain of +0.40% through mid-March, with positive contributions from Convertible and Multi-Strategy Fixed Income strategies, as spreads tightened on improved risk tolerance. The HFRX RV: Convertible Arbitrage Index gained +1.14% with gains concentrated in exposure to Asia Pacific convertibles, while US & European special situations also contributed to gains. The HFRX Fixed Income Credit Index and the HFRX RV: Multi-Strategy Index both extended 1Q13 performance with gains of +0.78% and +0.28%, respectively, with leading contributions from US & Global credit exposures. The HFRX MLP Index continued to lead all strategies for '13 with a gain of +2.00% on continued demand from investors for high quality yield via energy infrastructure exposures.
HFRX Macro Index gained +0.26% through mid-March, with contributions from Currency and Fixed Income strategies & exposures, with mixed performance from quantitative Systematic CTA strategies; managers had tactically increased US exposure on strong gains into February end. The HFRX Emerging Markets Index posted a gain of +1.10% with contributions concentrated in Asia Pacific Fixed Income strategies and Latin American equity. The HFRX Macro: Systematic Diversified Index posted a gain of +0.10% with contributions from long-term strategies and opportunistic currency exposure.