Sat, Jan 21, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hennessee Hedge Fund Index up 1.79% in May, 7% YTD

Wednesday, June 12, 2013
Opalesque Industry Update – Hennessee Group LLC announced today that the Hennessee Hedge Fund Index advanced +1.79% in May 2013 (+7.00% YTD), while the S&P 500 advanced +2.08% (+14.34% YTD), the Dow Jones Industrial Average increased +1.86% (+15.35% YTD), and the NASDAQ Composite Index climbed +3.82% (+14.45% YTD). Bonds fell, as the Barclays Aggregate Bond Index declined -1.78% (-0.91% YTD).

“Managers reported at month end that it appears that economic data is finally starting to matter to the broad markets in the U.S. and globally as the progressively worse data of the previous three weeks in May were generally ignored with the month ending on a sour note that everyone heard,” commented Charles Gradante, Co-Founder of Hennessee Group. “At month end, managers saw significant increases in volatility, a significant drop in the dollar, especially against the Japanese Yen, the Japanese market experienced a major pull back which were compounded by global GDP, employment, housing, and consumer spending disappointments.”

“Hedge fund managers posted positive performance despite a pickup in volatility,” said Lee Hennessee, Managing Principal of Hennessee Group. “For the year, managers have generated positive performance, capturing a portion of the market rally while remaining cautious about the potential for a market pullback.”

Equity long/short hedge funds were positive in May, as the Hennessee Long/Short Equity Index advanced +2.71% (+8.57% YTD). In the U.S., concerns regarding the tapering of the U.S. Federal Reserve’s asset purchase program caused increased volatility towards the end of the month and led the U.S. markets to sell-off from record highs. Hedge fund managers were able to generate gains during the beginning of the month and protect against losses during periods of volatility. The best performing sectors were financials (+5.88%), industrials (+4.62%), and technology (+4.23%). The worst performing sectors were utilities (-9.58%), telecommunication services (-7.44%) and consumer staples (-2.39%). Managers continue to generate gains on their long portfolios, while shorting remains challenging.

“Economic data remains in 'goldilocks' zone, weak enough to justify continued stimulus but strong enough to keep expectations positive,” stated Charles Gradante.

The Hennessee Arbitrage/Event Driven Index advanced +1.36% in May (+6.04% YTD). During the second half of the month, concerns about a tapering off of quantitative easing in the U.S. resulted in an increase in treasury yields and caused an increase in volatility of the financial markets. The Barclays Aggregate Bond Index declined -1.78% (-0.91% YTD). Yields on Treasuries were up, with the 10 Year Treasury yield increasing from 1.70% to 2.13%. The Merrill Lynch High Yield Master II Index declined -0.53% (+4.25% YTD). High yield spreads declined 1 basis point to 454 basis points over treasuries. The Hennessee Distressed Index increased +1.23% in May (+7.13% YTD). Distressed portfolios benefited from position specific catalysts and the broad market rally. The Hennessee Merger Arbitrage Index advanced +0.14% in May (+4.00% YTD). Managers posted modest positive gains as M&A activity continued. The Hennessee Convertible Arbitrage Index returned +1.52% in May (+3.19% YTD). Despite the sell-off in the U.S. Treasury market, convertible bond valuations in the U.S. strengthened.

“International managers speculated that ECB inflation and unemployment data for May will force ECB to further debase the Euro through monetary expansion making sovereign debt the best play.” commented Charles Gradante. “However, managers have increased concerns about the EUs ability to grow out of their problems as job creation is a socialized economy remains an enigma at this time.”

The Hennessee Global/Macro Index advanced +0.26% in May (+5.34% YTD). The MSCI EAFE Index fell -2.93% (+6.12% YTD). The Hennessee International Index declined -0.797% (+6.45%). Emerging markets were also down, as the MSCI Emerging Market Index decline -2.94% (-4.39% YTD). Emerging market hedge funds also struggled relative to developed market counterparts, as the Hennessee Emerging Market Index advanced +0.13% (+3.26% YTD). The Hennessee Macro Index fell -1.13% for the month (+1.16%). The month was dominated by a sharp reversal in Japanese equities, which hurt many macro managers. In addition, macro managers were hurt by a sharp rise in bond yields globally. Managers also experienced losses in currencies as the Yen strengthened against the dollar and emerging market currencies declined. The Dow Jones-UBS Commodity Index also declined, losing -2.24% (-6.04% YTD).

Press release

www.hennesseegroup.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 - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  2. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  3. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  4. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik

  5. Opalesque Exclusive: Roxbury credit events UCITS gathers more assets[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The Roxbury Credit Events Fund, launched in September 2015, was up 4.24% in 2016, having returned seven positive months during the year. The managers raised