Wed, Jul 29, 2015
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. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

  2. Launches - Ex-Brevan Howard star Rokos builds team for new fund, Former Och-Ziff manager’s firm starts health care hedge fund, Industry veterans launch commodity investment firm Aron Capital Management, Nikko Asset Management launches two UCITS funds, Capital Group plans to debut Asian investor targeted fund[more]

    Ex-Brevan Howard star Rokos builds team for new fund From WSJ.com: Chris Rokos, a former star trader at Brevan Howard Asset Management LLP, has hired an economist from Nomura to join the team he’s assembling for his much anticipated hedge fund launch. Mr. Rokos, whose firm is due to b

  3. Institutions - Pension fund dismisses Texas consultant, Rhode Island pension fund gets 2.2% investment return, far below assumed rate of 7.5%, New Jersey pension investments see a drop-off in returns[more]

    Pension fund dismisses Texas consultant From Sandiegouniontribute.com: The county retirement board on Thursday terminated the Texas consultant who was given the reins of the $10 billion pension fund, and whose investment picks left many employees and retirees feeling taken for a ride.

  4. SWFs - Sovereign wealth funds paid around $14 billion in fees[more]

    From SWFinstitute.org: When it comes to the financial sector, asset management is one of the most profitable industries in the world. The Boston Consulting Group put out a 2014 figure saying there is US$ 74 trillion worth of professionally-managed assets. One of the fastest growing institutional inv

  5. Investing - Carlyle teams with TCW in push for ordinary investors[more]

    From Bloomberg.com: Carlyle Group LP isn’t backing down from its goal of offering alternative strategies to the masses, despite early setbacks. The Washington-based firm is teaming up with TCW Group, which is majority owned by Carlyle funds, to offer three vehicles that give ordinary investors acces

 

banner