Wed, Nov 22, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index gains +0.54% in July (+1.77% YTD)

Monday, August 06, 2012
Opalesque Industry Update - Global financial market volatility continued in July as evidence of slowing economies in the US and China accompanied continued investor concern regarding the European sovereign debt and banking crisis, with recent focus on weakness in Spanish banks. Yields on US and German government bonds declined to record lows as the yield curve steepened on concerns about weak economic growth, additional Eurozone instability and expectations for additional stimulus measures by central banking institutions.

Global equity markets generally posted gains for the month, with positive contributions from Energy, Oil Services and central European economies, which were partially offset by weakness in US small caps, Southern European and Asian equity markets. Commodities posted gains concentrated in Wheat and Corn on US drought conditions, while Oil and Natural Gas also posted gains. The US Dollar gained against the Euro and GBP, whil e declining against the JPY. Overa ll, Hedge Funds posted gains for July, with the HFRX Global Hedge Fund Index gaining +0.54%, while the HFRX Market Directional Index gained +1.78% for the month.

The HFRX Macro CTA Index posted a gain of +1.48% for July, its highest performance since Nov 2009, with positive contributions from both systematic and discretionary strategies, partially offset by fixed income and discretionary currency exposure. As the impact of the drought in the US continued and energy prices rose, managers captured consistent trends in commodity positions in Agriculturals (Corn and Wheat) and Energy, complemented by gains in Currencies, with the HFRX Macro Systematic Diversified CTA Index gaining +3.23%.

Idiosyncratic exposure to Commodity and Currency generated mixed performance for Discretionary Macro managers, with positive contributions from US and German fixed income, as well as USD positions against the Euro and the Yen.

The HFRX Equity Hedge Index posted a gain of +0.55% for the month, with gains in broad international large cap and technology/healthcare equity, partially offset by small cap, renewable energy and market neutral trading strategies. The HFRX EH: Fundamental Value Index gained +1.38%, its largest performance since Dec 2010, with contributions concentrated in European and US exposure. Equity Hedge also experienced gains in Healthcare, which were partially offset by losses in Energy/Basic Materials. The HFRX Equity Market Neutral Index posted a modest decline of -0.07% as positive contributions from factor-based models were offset by declines in behavioral strategies.

The HFRX Event Driven Index posted a gain of +0.25% for the month from contributions from Distressed/Restructuring, Activist and equity Special Situation strategies, partially offset by mixed performance in Merger Arbitrage exposure. The HFRX Distressed Index posted a gain of +0.45%, bringing YTD performance to +3.50%, with contributions from Emerging Markets and European distressed exposure. The HFRX Merger Arbitrage Index declined -0.20% in July, with mixed performance across core positions in CNOOC/Nexen, Glencore/Viterra, Bristol-Myers/Amylin, Kayak/Palo Alto and Duke Energy/Progress Energy among other Commodity, Healthcare and Technology deal activity.

The HFRX Relative Value Arbitrage Index posted a modest gain of +0.03% for July on positive contributions from Convertible Arbitrage, Corporate Fixed Income and Yield Alternative strategies, offset by Latin American and Commodity exposures. The HFRX Convertible Arbitrage Index gained +1.16%, bringing YTD performance to +5.19% as yields continued to decline and credit spreads tightened. The HFRX RV: Multi-Strategy Index posted a decline of -0.54%, with gains in Emerging Markets sovereign debt offset by weakness in hedged Commodity exposures...Full performance table: Source
PD

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. Middle East - Saudi-Iran war would create this domino effect of global disaster, Saudi billionaires said to move funds from region to escape asset freeze[more]

    Saudi-Iran war would create this domino effect of global disaster From CNBC.com: Events appear to be spinning out of control in the Middle East, and the threat a Saudi-Iranian war is looking increasingly credible. Make no mistake, an out and out conflict between the two nations would be

  2. Paradise Papers - Robert Mercer's effort to avoid taxes appears in Paradise Papers, Tycoon made $41m from 'people's fund', Oxford and Cambridge 'investing millions of pounds offshore', Paradise Papers reveal[more]

    Robert Mercer's effort to avoid taxes appears in Paradise Papers From Therealnews.com: The Guardian has reported that conservative billionaire and Trump backer Robert Mercer "appears as a director of eight Bermuda companies in the Paradise Papers," the trove of documents reviewed by the

  3. Wall Street hedge fund veteran hits highs with copycat tactics[more]

    From FNLondon.com: A Wall Street veteran who has made big returns for wealthy clients by piggybacking on the strategies of well-known hedge funds is taking his novel approach to stock-picking to institutional clients. Dixon Boardman, chief executive of $2.5bn fund of hedge funds Optima Fund Ma

  4. Launches - Eaton Vance, Oaktree to launch diversified credit NextShares fund, FIM launches Nordic AI-powered fund[more]

    Eaton Vance, Oaktree to launch diversified credit NextShares fund Eaton Vance Management, a subsidiary of Eaton Vance Corp., announced the expected mid-November launch of Eaton Vance Oaktree Diversified Credit NextShares, a new Eaton Vance-sponsored exchange-traded managed fund. Eaton Va

  5. Outlook - Gundlach's stock market warning comes true[more]

    From Bloomberg.com: Jeffrey Gundlach has been warning something's got to give. Based on the past two days, looks like we have our answer. Stocks fell around the world a second day and high-yield bonds headed for a fourth straight loss, resuming a historic correlation that the hedge fund manager on W