Fri, May 6, 2016
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 0.7% (4.37% YTD) in April while Macro CTA index gains 2.3% (3.44% YTD)

Tuesday, May 07, 2013
Opalesque Industry Update – Hedge funds posted gains for the sixth consecutive month, as trend-following, quantitative Macro strategies successfully navigated the dramatic selloff in gold and other commodities, according to data released today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry.

The HFRI Fund Weighted Composite Index gained +0.7 percent for the month, with positive contributions from U.S. and Japanese equity exposure, tactical commodity exposure, and falling fixed income yields globally on Bank of Japan stimulus measures and bond purchases. Funds of Hedge Funds also posted a gain for the month, with the HFRI Fund of Funds Index gaining +1.1 percent.

The HFRI Macro: Systematic Diversified CTA Index gained +2.3 percent for the month, with positive contributions from tactical exposure to steep gold, metal and commodity declines, as well as exposure to rallying equities and fixed income trends. CTAs have been an area of performance weakness in recent years, as they produced calendar year declines in 2011 and 2012; despite this, CTAs experienced net capital inflows of $5 billion in 1Q13. Discretionary Macro funds also contributed to gains for the month, with the HFRI Macro (Total) Index gaining +1.0 percent in April 2013.

The HFRI Relative Value Index also gained +1.0 percent in April, the 11th consecutive gain for the Index, which has now posted gains in 45 of 52 months since December 2008. RVA gains were led by RV: Multi-Strategy and Convertible Arbitrage strategies, which gained +1.5 and +1.1 percent, respectively. Event Driven funds also produced strong gains for the month, with the HFRI Event Driven Index gaining +0.9 percent. Event Driven gains were led by Equity Special Situations and Credit Arbitrage sub-strategy exposures.

The HFRI Equity Hedge Index gained +0.4 percent for the month, leading all main strategies YTD with a gain of +5.4 percent. Equity Hedge gains were led by Sector Technology/Healthcare and Equity Market Neutral strategies, which gained +1.3 and +0.7 percent for April, respectively. Partially offsetting other Equity Hedge gains, HFRI Short-Bias and Sector Energy/Basic Materials indices produced declines of -2.8 and -1.3 percent for the month.

“Trend-following, quantitative Macro CTAs posted their strongest monthly gain in nearly a year as equities and commodities experienced a significant divergence in April, with gold posting the sharpest two-day decline in 30 years while U.S. equities ended the month at new record highs,” stated Kenneth J. Heinz, President of HFR Inc. “Although recent market performance has been dominated by U.S. equity gains, both the industry-wide April gains and leadership of Macro strategies underscore the robustness of the flexible multi-asset class exposure and the benefits of heterogeneous hedge fund strategy performance distribution. As the risk environment evolves, macro issues of stimulus, inflation, growth and employment will continue to drive complex relationships between asset classes and create opportunities for funds positioned to capture both trends and divergences.”

Press release

HFR (Hedge Fund Research, Inc.) is the global leader in the alternative investment industry, specializing in the indexation and analysis of hedge funds. www.hedgefundresearch.com

Bg

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. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n

  2. Opalesque Exclusive: Hedge fund talent, fees take a hit at the Milken Global Conference[more]

    Bailey McCann, Opalesque New York: It's been a rough year for hedge funds and now, even other managers are panning them. "Frankly, I’m blown away by the lack of talent," was Point 72 CEO Steven Cohen's assessment of trying to find candidates to hire in the investment business at a panel o

  3. Hedge funds fell in April as alternative UCITS surge in Europe[more]

    Komfie Manalo, Opalesque Asia: Hedge funds shed more in April with the Lyxor Hedge Fund Index down 0.9% during the month (-2.8% YTD), but there was some good news with alternative UCITS showing strong inflows in Europe. In its Weekly Briefing, Lyxo

  4. Global hedge funds recover in April on resurging energy commodities[more]

    Komfie Manalo, Opalesque Asia: Global hedge funds recovered in April with the HFRX Global Hedge Fund Index gaining +0.41% last month (-1.47% YTD), while the HFRX Market Directional Index gained +5.31% during the same

  5. AIG lost $349m in hedge fund portfolio in Q1[more]

    Komfie Manalo, Opalesque Asia: Large US insurance group AIG lost a net $183m for the first quarter 2016, year-on-year. The group blames the loss on the impact of market volatility on investments, as well as net realised capital losses and restructuring costs. Its hedge fund portfolio made a n