Sat, Feb 13, 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. Investing - Real estate secondaries sole 'bright spot' in 2015, As hedge funds stumble, one firm prepares to buy illiquid stakes[more]

    Real estate secondaries sole 'bright spot' in 2015 From IPE.com: The secondary market for property was the sole “bright spot” over the course of 2015, as hedge fund secondaries saw deals fall by two-thirds, according to a wide-ranging survey of the market. Setter Capital said 2015 saw th

  2. Asia - Hedge fund manager Kyle Bass estimates China's foreign reserves below critical level[more]

    From Nasdaq.com: Investor Kyle Bass stepped up his attack on China's currency, arguing in an investor letter distributed Wednesday that the second-largest economy's foreign reserves are "already below a critical level." The comments mark the latest effort by hedge funds and other investors to raise

  3. Investing - Some hedge funds want to make subprime auto loans next big short, 11 hedge funds that are “all in” on the FANG stocks, Hedge funds short London luxury homes, Cynet raises $7 million from U.S. hedge fund[more]

    Some hedge funds want to make subprime auto loans next big short From Bloomberg.com: A group of hedge funds, convinced they have found the next Big Short, are looking to bet against bonds backed by subprime auto loans. Good luck finding a bank willing to do the trade. Money manage

  4. Investing - Hedge funds see selloff in European bank stocks as buying opportunity[more]

    From WSJ.com: The massive selloff in European bank stocks and bonds is overdone and presents a “phenomenal” buying opportunity, according to some of Europe’s top hedge-fund managers. Despite a 28% slump in European bank stocks this year, including a 38% fall in Deutsche Bank AG and a 34% drop in Soc

  5. Legal - Carlyle accused of fraud by ex-employee, Hedge funds win CDS breach of contract suit against Deutsche Bank, Hedge fund asks for OK on $27.5m Goldman CDO deal, SFO examines Barclays hedge fund profits[more]

    Carlyle accused of fraud by ex-employee From AI-CIO.com: A former portfolio manager claims he was fired for blowing the whistle on “crazy” and “irresponsible” investments. Carlyle Group has been sued by a former portfolio manager for one of its hedge funds, who accused the firm of “knowi