Sat, Dec 10, 2016
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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest