Sat, Oct 10, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hennessee Hedge Fund Index advanced +0.28% in April (+5.09% YTD), in the bull market everyone hates

Friday, May 10, 2013
Opalesque Industry Update – Hennessee Group LLC announced today that the Hennessee Hedge Fund Index advanced +0.28% in April 2013 (+5.09% YTD), while the S&P 500 advanced +1.81% (+12.02% YTD), the Dow Jones Industrial Average increased +1.79% (+13.24% YTD), and the NASDAQ Composite Index climbed +1.88% (+10.25% YTD). Bonds also advanced, as the Barclays Aggregate Bond Index increased +1.01% (+0.89% YTD).

“Hedge funds were positive in April as long positions performed well. The markets remain in ‘risk-on’ mode,” commented Charles Gradante, Co-Founder of Hennessee Group. “Economic data remains in a 'goldilocks' zone, weak enough to justify continued stimulus but strong enough to keep expectations positive.”

"Correlations among stocks has dropped from a high of 80% in 2012 to the lowest level since 2007 at 60%. Any company specific factors are now more likely to drive stock selection than any other time in the past 6 years,” said Lee Hennessee, Managing Principal of Hennessee Group. “This should benefit hedge fund managers.”

Equity long/short underperformed in April, as the Hennessee Long/Short Equity Index declined -0.17% (+5.71% YTD). The U.S. economy grew 2.5% during the first quarter of 2013, according to the Bureau of Economic Analysis, a pace that was weaker than expected. Risk assets continue to be supported by global monetary easing. Broad equity markets continued to rally, reaching all time highs. The best performing sectors were telecommunication services (+5.99%), utilities (+5.89%), and consumer staples (+2.90%). The worst performing sectors were energy (-0.88%) and industrials (-0.84%). Managers have increased their net exposures, but remain concerned about the removal of stimulus and weaker than expected economic data.

“The unemployment report at the end of April caused a sell-off in the 5 year bond with those proceeds moving into equities setting all time highs and prompting many hedge funds to increase beta exposure, believing that the rotation out of bonds and into stocks has begun,” stated Charles Gradante.

The Hennessee Arbitrage/Event Driven Index advanced +0.87% in April (+4.5% YTD). The Barclays Aggregate Bond Index advanced +1.01% (-0.12% YTD). Yields on Treasuries were relatively flat, with the 10 Year Treasury yield declined to 1.70%. The Merrill Lynch High Yield Master II Index returned +1.86% (+4.81% YTD). High yield spreads declined to 455 basis points over treasuries. The Hennessee Distressed Index increased +1.62% in March (+5.47% YTD). Distressed portfolios benefited from position specific catalysts and the broad market rally. The Hennessee Merger Arbitrage Index advanced +1.29% in April (+3.85% YTD). Managers posted modest positive gains as M&A activity continued. The Hennessee Convertible Arbitrage Index returned -0.04% in April (+1.65% YTD). Managers were flat as equity market gains and spread tightening were offset by catalyst specific situations.

“Speculators raised their net-long position by 19 percent to 54,762 futures and options as of April 30, reported by U.S. Commodity Futures Trading Commission,” commented Charles Gradante. “Holdings of short contracts retreated 9.2 percent, the most since March 19.”

The Hennessee Global/Macro Index advanced +0.80% in March (+5.07% YTD). Global financial markets continued to rally through March, extending their gains, as developed markets outperformed emerging markets. The MSCI EAFE Index rose +4.74% (+9.33% YTD). U.S. and Japanese equities continued to outperform. International hedge fund managers were also positive, as the Hennessee International Index increased +1.37% (+7.30%). Emerging markets were up modestly, as the MSCI Emerging Market Index advanced +0.44% (-1.49% YTD). Emerging market hedge funds also struggled relative to developed market counterparts, as the Hennessee Emerging Market Index advanced +0.73% (+3.12% YTD). The Hennessee Macro Index advanced +0.06% for the month (+2.32%). Managers experienced gains long global equities and short commodities, specifically metals, which declined sharply. Long fixed income generated gains as yields declined. The Euro strengthened against the U.S. dollar, while the Yen continued to weaken.

Press release


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 - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  2. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  3. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  4. Hedge fund Barnegat survives September’s market selloff[more]

    Komfie Manalo, Opalesque Asia: Bob Treue’s $679 million Barnegat Fund proved resilient after another month of market letdown as the hedge fund gained 2.2% last month, bringing its year-to-date gains to 2.8%. Treue said in his monthly report to i

  5. …And Finally - Japanese men want upgrade on their virtual girlfriends[more]

    From Five years after News of the Weird mentioned it, Japan's Love Plus virtual-girlfriend app is more popular than ever, serving a growing segment of the country's lonely males -- those beyond peak marital years and resigned to artificial "relationships." Love Plus models (Rinko