Fri, Dec 9, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index up +0.56% in mid-July (+1.79% YTD)

Wednesday, July 18, 2012
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
km

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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest