Sat, Nov 22, 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 posts decline of -1.69% in May (1.52% YTD)

Tuesday, June 05, 2012
Opalesque Industry Update - Global equity markets declined sharply in May as European sovereign debt and bank liquidity concerns resulted in a sharp increase in investor risk aversion; mixed economic data in US and disappointing results of large technology IPO also contributed to investor concerns. Equities in Energy, Technology, Financials and Emerging Markets all posted sharp declines for May 2012. Treasury yields in safe haven countries fell to historical lows with gains in longer dated issues contributing to significant curve flattening. Investors flocked to US dollar & Swiss Franc, driving these to strong gains against the Euro. Commodities also posted declines on a weakening global economic outlook, with Oil and Copper posting large declines.

Hedge funds posted declines for the month with Macro strategy gains partially offsetting Equity strategy declines; the HFRX Global Hedge Fund Index posted a decline of -1.69% while the HFRX Absolute Return Index posted a narrow decline of -0.24%.

The HFRX Macro CTA Index gained +0.36% in May with strong positive contributions from systematic diversified funds, partially offset by mixed performance across discretionary and commodity strategies. The HFRX Macro Systematic Diversified CTA Index led all hedge fund strategies in May, posting a gain of +2.81%, the strongest performance since July 2011. Constituent managers posted gains as a result of currency positions, including Long US$/Euro, and significant positions in government fixed income. Discretionary & Commodity focused managers posted mixed performance across the various asset classes in a volatile month.

The HFRX Equity Hedge Index posted a decline of -3.07%, its largest decline in since September 2011, as global equity markets posted steep declines. The HFRX Equity Market Neutral Index posted a decline of -0.44% for the month, with gains across trading and factor-based strategies offset by weakness in behavioral strategies. Fundamental Growth and Fundamental Value declined -3.60% and -1.92%, respectively, with Technology, Energy & Financials all contributing to declines.

The HFRX Relative Value Arbitrage Index posted a decline of -1.65%, the first monthly decline in 6 months, with credit & equity losses only partially offset by falling yields and increased volatility. The HFRX Convertible Arbitrage Index posted a decline of -0.65% for the month, the 1st monthly decline for 2012, with credit losses offsetting gains from short equity, volatility and falling yields. The HFRX RV Multi-Strategy Index declined -1.58%, with weakness across Fixed Income Arbitrage & Energy Infrastructure exposures only partially offset by mixed performance across Emerging Markets exposures.

The HFRX Event Driven Index posted a decline of -2.01% for the month, with May weakness only narrowing the YTD gain to +3.6%. The HFRX Merger Arbitrage Index posted a decline of -0.21% for the month, with positions in Johnson & Johnson, Motorola Mobility, Viterra & Glencore, Kinder Morgan and El Paso contributing to results. Despite a positive contribution from Credit Arbitrage strategies, equity and distressed strategies posted declines for the month, with HFRX Special Situations Index and the HFRX Distressed Index declining by -2.34% and -1.41%, respectively.

Comments reference performance figures for May 31, 2012

(press release)

Performance table: www.hedgefundresearch.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. Regulatory - Stringent rules for hedge funds make the financial system fragile[more]

    From FT.com: …It is one thing to impose a regulatory burden when there is a clear need to do so. Banks are underwritten by taxpayers via deposit insurance as well as the too-big-to-fail safety net; they need to be reined in, and if they shrink as a result, that may be welcome. But it is another thin

  2. Investing - Apple: Hedge funds are crazy about it, Greenlight Capital took stake in Citizens Financial after IPO, Tiger Global added to Hertz, exited Dollar General last quarter, Oberweis sells NQ Mobile stake as Valiant adds shares, Whitney Tilson sticks to losing bet on MagicJack shares, Brigade Capital backs €90m Quinn sale[more]

    Apple: Hedge funds are crazy about it From Techinsider.net: Apple Inc. is still the most popular stocks among hedge funds. According to a recent report by hedge fund tracking site Insider Monkey, more than one out of 5 hedge funds are invested in Apple Inc. At the moment there are

  3. Greenlight Re CEO says hedge fund reinsurance strategy buzz is validating[more]

    From Artemis.bm: The attention being paid to the hedge fund reinsurance business model and the fact that others are now looking to leverage bits of it within their own strategies, is validating for reinsurer Greenlight Capital Re, according to CEO Bart Hedges. There has been an increasing buzz

  4. Legal - Hedge fund manager fights £8m tax tribunal ruling[more]

    From FT.com: A hedge fund manager who may have to repay £8m in tax is trying to overturn a tribunal ruling that found he had attempted to shelter millions in an avoidance scheme. Patrick Degorce, chief investment officer at Theleme Partners, lost a tax tribunal case last year. HM Revenue & Customs c

  5. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca