Wed, Jun 28, 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 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. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to

  2. Investing - U.S. hedge fund in anonymous bet against Tesco shares, Hedge funds made repeated attempts to invest in Veneto banks, Steve Cohen's Point72 takes stake in struggling electronics retailer Conn's, Hedge fund Excalibur bets Riksbank will tighten by end of year[more]

    U.S. hedge fund in anonymous bet against Tesco shares From FT.com: A $20bn New York hedge fund is using an offshore shell company to anonymously bet against the shares of the UK supermarket Tesco, raising fresh questions over the efficacy of European short selling disclosure rules.

  3. ...And Finally - Nighttime barbecue festival in downtown Memphis![more]

    From Newsoftheweird.com: On May 19, Carl Webb and his wife left a nighttime barbecue festival in downtown Memphis and headed home. They drove 14 miles on an interstate highway before a police officer pulled them over to ask if Webb knew there was a body on his trunk. The man was clinging to the lip

  4. Global macro hedge funds lose on sharp drop in oil prices[more]

    Komfie Manalo, Opalesque Asia: Global macro hedge funds suffered losses due to the sharp fall in oil prices and the drop in U.S. and U.K. Treasury yields, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Global Macro Index fell -1.0% from 13 June to 20 June (-3.4% YTD). The Lyxor

  5. State pension plans see liabilities increase in 2016 - Wilshire[more]

    Bailey McCann, Opalesque New York: The funding ratio of state pension plans dropped four percentage points to 69 percent in fiscal year 2016, according to Wilshire Consulting. A year ago, Wilshire Consulting's annual state funding report uncovered a funding ratio of 73 percent. "U.S. stock pe