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

Macro hedge funds lead broad based July gains

Tuesday, August 07, 2012
Opalesque Industry Update: Hedge funds posted gains for the second consecutive month in July as Macro CTA managers captured strong trending dynamics across multiple asset classes, pushing the HFRI Macro: Systematic Diversified Index to a gain of +2.8 percent, according to data released today by HFR, the global leader in the indexation and analysis of the global hedge fund industry.

The HFRI Fund Weighted Composite gained +1.1 percent in July, the strongest monthly performance since February, with positive contributions from Relative Value Arbitrage (RVA), Equity Hedge (EH) and Event Driven (ED) strategies complementing the Macro gains. The HFRI Emerging Markets Index gained +1.1 percent, also the strongest month since February, while the HFRI Fund of Funds Index advanced +0.7 percent, ending three consecutive months of declines.

Macro hedge funds benefitted from volatility and strong trending behavior across multiple asset classes in July, with the HFRI Macro Index posting a gain of +1.9 percent. On significant positive contributions from agricultural and metals exposures, commodity-focused strategies gained nearly +2.0 percent for the month. Currency-focused funds also posted gains, with many funds having reduced profitable short Euro positions in recent weeks, moderating aggregate industry short Euro exposure. Falling yields and spread tightening benefitted both Relative Value Arbitrage and Macro strategies, with the HFRI RVA Index gaining +1.5 percent in July, bringing YTD performance to +5.8 percent, the strongest area of industry performance. Fixed income-based RVA performance was also driven by strong sub-strategy gains across Asset-Backed and Yield Alternatives exposures, with these gaining +2.3 and +2.5 percent, respectively.

The HFRI Equity Hedge Index gained +0.6 percent in July, led by contributions from Quantitative Directional and Energy/Basic Materials funds, with these gaining +1.7 and +2.1 percent, respectively. Event Driven strategies also posted positive performance for the month, with M&A and credit market tightening contributing to the HFRI Event Driven Index advancing +0.3 percent in July.

“Investor sentiment shifted in a fluid and dynamic manner throughout the month, with financial markets discounting not only the latest European sovereign debt crisis developments, but also mixed data and outlook for U.S. and China growth, and the impact of the evolving LIBOR investigation.” stated Kenneth J. Heinz, President of HFR. “Hedge funds gained traction through this environment with a strong contribution from Systematic Macro and Arbitrage executing on quantitative trend-following and fundamental mean-reverting components of their respective strategies. As this challenging Macro environment continues to evolve, hedge funds are well positioned to capitalize on new opportunities which develop.”

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. Investing - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  2. Legal - Hedge fund manager fights £8m tax tribunal ruling[more]

    From FT.com: A hedge fund manager who may have to repay £8m in tax is trying to overturn a tribunal ruling that found he had attempted to shelter millions in an avoidance scheme. Patrick Degorce, chief investment officer at Theleme Partners, lost a tax tribunal case last year. HM Revenue & Customs c

  3. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  4. Opalesque Exclusive: Risk management emerges as a competitive focus area for hedge funds[more]

    Bailey McCann, Opalesque New York: Risk management has always been a core component of any trading strategy, as well as a critical part of business management. However, as macreconomic weakness persists, and alpha becomes increasingly hard to generate, risk management as emerged as a more promin

  5. Gross: Inflation is required to pay for prior inflation[more]

    Benedicte Gravrand, Opalesque Geneva: As inflation rises, every dollar will buy a smaller percentage of a good. While deflation will mean a decrease in the general price level of goods and services. These two economic conditions are both in the waiting room. The consensus would like the former to