Opalesque Industry Update - The March 2013 performance notes for the HFRX Indices reveal that global financial markets continued to extend gains through March as developed markets generally outperformed emerging markets, with US equities including both Dow Jones Industrial Average and S&P 500 closing the month and concluding 1Q13 at all-time record levels.|
Broad based March gains were led by Technology, Cyclical and Energy, with additional strength from Financials, Commodity and Small Cap exposures. Both European and Asian equities posted mixed performance in March; European gains in UK, Netherlands, Germany & Switzerland were offset by declines in Italy, Spain & Russia. Japan continued to lead Asian & global equity performance for 2013, with the Nikkei gaining over 7% for the month and 19% for the quarter, Australia, China, Hong Kong and Korea posted declines in March.
Banks in Cyprus were closed for an extended period in March, as lenders, creditors, depositors and legislators negotiated a bailout for the EU member's largest banks to avoid a banking collapse. The US dollar extend gains against the Euro, British Pound Sterling, and Japanese Yen, reaching highs of 4, 33 and 45 months, respectively.
US fixed income yields and credit spreads were little changed for the month, with modest declines on the front end contributing to a steepening; European yields fell across the UK, Germany & Netherlands while Italian bond yields rose for the month. Natural Gas led commodity gains for the month, which were complemented by gains in Oil, Gold, Wheat and Cotton. Hedge funds gained for the 5th consecutive month and the 8th month in the last 9, with the HFRX Global Hedge Fund Index gaining +0.72%; the HFRX Market Directional also gained +1.36%.
HFRX Event Driven Index posted a gain of +1.42% for March, extending 1Q13 gains with contributions from Equity Special Situations and Activist strategies. M&A activity continued with transactions in T-Mobile/MetroPCS, Berkshire/Heinz, Grupo Model, Aetna/Coventry Healthcare, Liberty Global /Virgin Media, Sprint Nextel/Clearwire. The HFRX Special Situations Index gained +1.93% with contributions from activist positioning and transactions in Media, Technology and Energy. The HFRX Distressed Index posted a gain of +0.46% as financing for transactions remained accessible and with contributions from exposure in Energy and Technology.
HFRX Equity Hedge Index posted a gain of +1.24% for March, its 10th consecutive month of gains led by Fundamental equity long short strategies. The HFRX Fundamental Value Index gained +1.48%, with contributions from positioning in large cap exposure to US and European Financials, Telecom and Energy sectors. The HFRX Fundamental Growth Index gained +1.07% with contributions from exposure to Consumer sectors, Communications and Technology, with mixed contributions from Emerging Markets exposure. Equity Market Neutral strategies experienced mixed performance between factor based, trading and behavioral strategies, with the HFRX Market Neutral Index posting a modest decline of -0.02%.
The The HFRX Relative Value Arbitrage Index posted a gain of +0.07% for March, with positive contributions from Convertible and Corporate Fixed Income strategies, partially offset by Multi-Strategy Fixed Income managers. The HFRX RV: Convertible Arbitrage Index gained +1.23% with gains concentrated in exposure to Asia Pacific convertibles, with US & European special situations also contributing to gains. The HFRX Fixed Income Credit Index extended 1Q13 performance gaining +0.97% while the HFRX RV: Multi-Strategy Index posted a decline of -0.30%, with mixed performance from US & Global credit exposures and declines from Commodity Arbitrage exposure. The HFRX MLP Index continued to lead all strategies for '13 with a gain of +4.80% on continued demand from investors for high quality yield via energy infrastructure exposures.
HFRX Macro Index posted a modest gain of +0.03% for March, with contributions from Fixed Income and Emerging Market strategies and mixed performance from quantitative Systematic CTA strategies. The HFRX Emerging Markets Index posted a gain of +0.38% with contributions concentrated in Asia Pacific Fixed Income strategies partially offset by Currency strategies and Latin American equity. The HFRX Macro: Systematic Diversified Index posted a decline of -0.25% with contributions from long-term trend-following strategies offset by mixed performance in currency exposure.