Fri, Jul 25, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRI Fund Weighted Composite Index up 0.5% in June (+1.7% YTD)

Monday, July 09, 2012
Opalesque Industry Update: Hedge funds posted a narrow gain to conclude the first half of the year, with the HFRI Fund Weighted Composite Index posting a gain of +0.05 percent for the month of June, according to data released today by HFR, the global leader in the indexation and analysis of the hedge fund industry.

Hedge funds overcame conservative positioning in the final days of the month, as June ended on a note of optimism with regard to the European sovereign debt crisis. Macro losses partially offset gains in Equity Hedge, Event Driven and Relative Value strategies. June marks the conclusion of a positive, but muted, first half of the year for the hedge fund industry, with the HFRI Fund Weighted Composite gaining +1.7 percent for 1H12. Hedge funds had gained nearly 5 percent in the first two months of the year before posting three consecutive months of decline, including a decline of -2.4 percent in the volatile month of May.

Indicative of the wide dispersion of hedge performance in 1H12, three of the four main hedge fund strategies posted gains higher than the broad-based composite. Fixed income-based Relative Value Arbitrage strategies posted a gain of +0.9 percent for June and +4.3 for the 1H12; Relative Value strategies have produced consistent, non-directional arbitrage gains, posting positive monthly performance in 36 of 42 months since January 2009.

Equity Hedge strategies posted a gain of +0.9 percent in June and +2.1 percent for 1H12; broad-based June gains were offset by weakness in Energy/Basic Materials and Short Bias sub-strategies. Equity Hedge strategies traded in a volatile range in 1H12, gaining nearly +7.0 percent in the first two months of the year, before experiencing a sharp decline of -4.6 percent in May.

Event Driven strategies posted a gain of +0.1 percent in June and +2.4 percent for 1H12. Corporate transaction activity remained steady for the quarter, and all ED sub-strategies posted gains for 1H12, despite specific transaction volatility, disappointing performance of several equity IPOs and continued regulatory and shareholder pressure on financial institutions.

Macro funds posted a decline of -1.6 percent for June, reducing Macro performance in 1H12 to a decline of -0.6 percent; Macro weakness was concentrated in Systematic CTA strategies, which posed a June decline of -3.0 percent, reversing most of the prior month’s gain of +3.6 percent.

Emerging Markets hedge funds posted a gain of +0.6 percent in June to end 1H12 with a gain of +1.1 percent, while Fund of Hedge Funds posted a decline of -0.50 percent in June, also ending 1H12 with a gain of +1.0 percent.

“Hedge fund performance in the first half of 2012 reflects the challenging and volatile environment created by the combination of slowing global growth, persistently low levels of investor risk tolerance and the wide-ranging impacts of the European financial crisis across asset classes and global regions,” stated Kenneth J. Heinz, President of HFR. “The broad based gains concentrated in Relative Value Arbitrage and Event Driven strategies reflect not only defensive positioning with regard to the European sovereign debt crisis, but caution with regard to regulatory and shareholder reaction to developments at specific financial institutions. Performance also reflects continued evolution of the hedge fund industry toward lower equity market beta strategies; we expect hedge fund industry growth to continue along these dynamics in coming quarters.”

HFR

Press Release

BM

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. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  3. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  4. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend

  5. Opalesque Roundtable: European family offices struggle to retain their investments in offshore hedge funds[more]

    Komfie Manalo, Opalesque Asia: The European Union’s Alternative Investment Fund Managers Directive (AIFMD) will constrain investment opportunities amidst concern a number of U.S. fund managers will stop marketing their products in the European Union under the new rule, said Valentin Bohländer fro