Sat, May 23, 2015
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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  5. New market regime has created more dispersion between managers[more]

    Komfie Manalo, Opalesque Asia: The month of April has marked the transition toward a new market regime, Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented in the May 5's Weekly Briefing. "The first quart

 

banner