Tue, Sep 30, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index down 1.22% in mid-May (+2.01% YTD)

Friday, May 18, 2012
Opalesque Industry Update - Global equities continued and extended declines through mid-May, with investors focused on weak US employment data, resurgence of Euro sovereign debt risks and trading losses at a major US financial institution. Most equity sectors posted declines, with Energy, Commodity, Financials and Technology all weak, despite optimism about an upcoming and widely anticipated Technology IPO. Equity declines were also widespread across US, Europe, Asia and Emerging Markets, with few exceptions. US & German bond yields declined across the curve, as yields rose sharply for Euro credits including Spain & Italy. The US Dollar gained against most currencies, while Commodities generally declined, with a notable exception of Natural Gas. Hedge Funds posted declines through mid-May, with the HFRX Global Hedge Fund Index declining -1.22%. The HFRX Absolute Return Index posted a more narrow decline of -0.13%.

The HFRX Relative Value Arbitrage Index posted a decline of -0.45% through mid-month, with positive contributions from convertible arbitrage strategies and exposure to Latin America. Falling yields and increasing volatility offset credit widening, with the HFRX Convertible Arbitrage Index gaining +0.45% through mid-May. Sovereign and corporate fixed income exposure contributed to mixed performance, while energy infrastructure exposure detracted from performance through mid-May.

The HFRX Equity Hedge Index posted a decline of -2.41% through mid-month, with weakness across most sub-strategies pared YTD 2012 gains. Fundamental growth, value, market neutral and energy exposures all contributed to declines, which were only partially offset by positioning in Asian and factor-based MN exposure. The HFRX Fundamental Growth Index and the HFRX Fundamental Value Index posted declines of -2.92% and -1.66%, respectively. The HFRX Equity Market Neutral Index declined by -0.72% with trading, behavioral-finance strategies and trading oriented strategies posting declines, partially offset by factor based strategies.

The HFRX Macro CTA Index posted a decline of -0.76% by mid-May with negative contributions from macro discretionary strategies with mixed performance across systematic diversified managers. The HFRX Systematic Diversified CTA Index posted a narrow decline of -0.14% through mid-May, with gains in commodity-focused and mixed timeframe models offsetting losses in longer term strategies. Exposure to currencies and commodities contributed to declines across discretionary strategies with these only partially offset by a narrow gain across Emerging Markets.

The HFRX Event Driven Index posted a decline of -1.11% through mid-month, with these also paring YTD '12 gains. The HFRX Distressed Index declined by -0.43%, with declines in global exposures only partially offset by gain in US-focused situations. The HFRX Merger Arbitrage Index posted a decline of -0.66% for the month, with positions in Motorola Mobility, Viterra & Glencore, Kinder Morgan and El Paso contributing to ED results. Credit Arbitrage strategies contributed to mid-month gains, while Activist and Special Situations detracted from performance. Full performance table: Source

fg

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. Socially responsible investments grow in demand, but performance questions persist[more]

    Komfie Manalo, Opalesque Asia: A study by financial services firm TIAA-CREF showed that interest in socially responsible investing (SRI) is increasing rapidly, but investors are still asking if investing in an SRI strategy

  2. Regulatory - Ireland launches structure for passporting loan origination funds within EU[more]

    From Asiaasset.com: The Irish Funds Industry Association (IFIA) has introduced new loan origination capabilities that will offer Asian managers and investors a new structure under the European Union’s (EU’s) Alternative Investment Fund Managers Directive (AIFMD). The new structure will allow the mar

  3. Europe - Ed Miliband's war on hedge funds could damage City of London[more]

    From Telegraph.co.uk: Ed Miliband’s plans to wage war on hedge funds could be potentially more damaging to the City of London than even the financial transaction tax (FTT), senior banking sources warned on Tuesday night. The Leader of the Opposition took aim at a number of industries as part of his

  4. News Briefs - SEC probes Pimco ETF over pricing irregularities, BEPs: Action plan released and UK first to adopt country-by-country reporting[more]

    SEC probes Pimco ETF over pricing irregularities The Securities and Exchange Commission is investigating Pimco’s pricing of exchange traded funds, the latest cloud to hang over the world’s largest bond manager, which has been dogged by poor performance and management infighting. Pimco on

  5. CalPERS’ move might alter hedge fund fees for good[more]

    Benedicte Gravrand, Opalesque Geneva: When CalPERS, the California Public Employees’ Retirement System, announced on September 15th that it was unwinding its hedge-fund portfolio, it was seen by many as is a significant blow to the sector’s appeal. The Fund is