Opalesque Industry Update - Global equity markets posted mixed performance in the first half of July, with intense scrutiny of bank LIBOR submissions and weak US employment figures complementing continued investor concerns regarding European sovereign debt crisis. Global equity markets generally posted declines across US, Europe and Asia, with declines in Japan, Spain and Italy only partially offset by gains in Germany and the U.K.; equities were also mixed by sector, with gains in Energy offset by declines in Technology. Yields on newly issued US Treasury securities continued to set record lows, with 10 and 30 year yields falling below 1.50% and 2.60%, respectively. |
The US dollar strengthened against the Euro and Swiss Franc through mid-July, while easing modestly against the Japanese Yen. Commodities generally posted gains as the US drought continued, with strong gains in Corn and Wheat complemented by gains in Oil and Natural Gas. Hedge funds posted gains through mid-July, with the HFRX Global Hedge Fund Index gaining +0.56%, with positive contributions across most main strategy areas. The HFRX Market Directional Index posted a gain of +1.46% with additional contribution from Macro strategies.
The HFRX Macro CTA Index posted a gain of +1.76% though mid-July, with positive contributions from both systematic and discretionary strategies. The HFRX Macro Systematic Diversified CTA Index gained +2.92%, with significant contributions from commodity positions in Energy & Agriculturals (Corn and Wheat), complemented by gains in Currencies. Commodity and currency exposures also had positive contributions to Discretionary Macro managers, with contributions from US and German fixed income as well as long US$/Euro positions.
The HFRX Equity Hedge Index posted a gain of +0.39% though mid-July, with gains concentrated in European L/S, market neutral trading and renewable energy strategies. The HFRX EH: Fundamental Value Index gained +0.67% with contributions from European and US exposure; Energy and Technology also had positive contributions to Index performance. Equity Hedge gains were partially offset by mixed performance in Asian and Emerging Markets exposure. The HFRX Equity Market Neutral Index gained +0.76% as both trading oriented and behavioral, factor-based models had positive contributions.
The HFRX Relative Value Arbitrage Index gained +0.30% through mid-July, with contributions across convertible, corporate and sovereign fixed income and energy infrastructure exposures. The HFRX Convertible Arbitrage Index gained +0.90%, bringing YTD performance to +4.91% as yields declined and credit spreads tightened, with continued contributions from Asian convertible exposure. The HFRX RV Multi-Strategy Index posted a gain of +0.20%, with gains in Emerging Markets sovereign debt partially offset by weakness in hedged commodity exposures; Yield Alternatives Energy Infrastructure also had significant contribution to Index gains.
The HFRX Event Driven Index posted a modest decline of -0.02% through mid-July, from performance of distressed/restructuring, activist and merger arbitrage strategies offset by declines in special situations exposures. The HFRX Distressed Index posted a gain of +0.50%, bringing YTD performance to +3.56%, with contributions from EM and European distressed exposure. The HFRX Merger Arbitrage Index gained +0.02% for the period, with mixed performance across core positions in Glencore/Xstrata, Bristol-Myers/Amylin, Hologic/Gen-Probe and various Energy and Technology positions...Full press release and performance table:Source