Sun, Oct 23, 2016
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:


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p