Fri, Oct 21, 2016
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


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p