Mon, Feb 8, 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 0.51% in August (+2.29% YTD)

Thursday, September 06, 2012
Opalesque Industry Update - Global equity markets posted gains for the 3rd consecutive month in August, with significant sector contributions from Energy and Telecom and geographic contributions from Italy and Spain; Asian equities experienced mixed performance. Trading volumes declined throughout the month, as implied volatility declined despite an early month spike associated with a trading loss at a large US executing broker dealer. US yields rose and the yield curve steepened as investors discounted optimism with regard to the resolution of the European sovereign debt crisis; the US dollar declined against the Euro and Pound, despite rising against the Japanese Yen. Oil, Gold and most precious metals posted gains while Agricultural Commodities posted declines on drought relief. Hedge funds also posted the 2nd consecutive month of gains, with the HFRX Global Hedge Fund Index gaining +0.51% with contributions from Equity Hedge and Event Driven strategies; the HFRX Market Directional Index gained 0.82% for the month.

The HFRX Event Driven Index posted a gain of +0.92% in August, with contributions from Equity Special Situations, Activist and Credit Arbitrage strategies only partially offset weakness in Distressed exposure. The HFRX ED Special Situations Index had the strongest contribution to ED performance, gaining +1.21% on positive developments in transactions in the Consumer, Technology/Media and Energy sectors. The HFRX Merger Arbitrage Index posted a gain of +0.16% for the month with contributions from core positions in Hertz/Dollar Thrifty, Glencore/Xtrada, Glencore/Viterra and Duke Energy/Progress Energy. The HFRX Distressed Index declined -0.34% despite improving credit markets, with negative contributions from idiosyncratic positions in US and Emerging Markets.

The HFRX Equity Hedge Index posted a gain of +0.84% in August, with core contributions across both Value & Growth sub-strategies. The HFRX Fundamental Value Index gained +0.71%, with significant contributions from exposure to Energy, Telecom, Financials and European equities. The HFRX Fundamental Growth Index posted a gain of +0.52% with contributions from Asian, Technology and Renewable Energy areas. Gains in fundamental market neutral managers were offset by weakness in trading oriented strategies, with the HFRX Market Neutral Index posting a modest decline of -0.08% for the month.

The HFRX Relative Value Arbitrage Index posted a gain of +0.20% in August, with contributions from Convertible, Corporate Credit and MLP strategies as US yields rose and credit tightened. The HFRX Convertible Arbitrage Index gained +0.67% as spread tightening offset rising yields and falling volatility and with core contribution from Japanese exposure; YTD the Index has gained +5.89%. The HFRX MLP Index gained +1.77% on strong demand for transport and storage across Energy commodities as weather considerations raised production/supply concerns. The HFRX Fixed Income Credit also employed effective hedging to offset rising yields, posting a gain of +0.52%.

The HFRX Macro CTA Index posted a modest decline of -0.02% in August with positive contributions from Discretionary Commodity and Multi-strategy exposures offset by weakness in trend following CTA strategies. Discretionary Macro managers benefitted from tactical positioning in Commodities and short Fixed Income positioning, which were only partially offset by Currency exposures. Systematic Macro strategies also experienced weakness in Currency exposures, with declines in Agricultural Commodities also contributing to weakness; the HFRX Systematic Diversified CTA Index posted a decline of -1.54% for the month. Full performance table: Source

fg

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. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Computer-driven hedge funds make money during January’s selloff[more]

    Komfie Manalo, Opalesque Asia: Commodity trading advisers (CTAs) that use computer programs to guide how they trade, made millions of dollars during last month’s market selloff on the back of declining oil prices and global equities and big moves in currencies. Data provider