Wed, Sep 2, 2015
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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner