Sun, Feb 14, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFR: Hedge funds extend summer gains on euro optimism

Monday, September 10, 2012
Opalesque Industry Update: Hedge funds posted gains for the 3rd consecutive month in August, as the Euro advanced on optimism for a resolution of the European sovereign debt crisis. The HFRI Fund Weighted Composite Index posted a gain of +0.8 percent for the month, with leadership across Equity Hedge, Event Driven and Relative Value strategies, with each of these also posting their 3rd consecutive monthly gain, reported HFR today, the global leader in the indexation, analysis and research of the global hedge fund industry.

Equity Hedge funds had the strongest contribution to overall industry performance, with the HFRI Equity Hedge Index gaining +1.2 percent for the month. Gains were broad-based across the strategy, with Quantitative Directional, Fundamental Value and Fundamental Growth all gaining between +1.25 and +1.6 percent. Other EH strategies had positive contributions to August gains, with Equity Market Neutral, Energy and Technology-focused funds gaining between +0.6 and +1.2 percent; Short Bias funds detracted from performance. Event Driven funds posted gains similar to those of Equity Hedge, with the HFRI Event Driven Index gaining +1.1 percent. ED gains were led by the equity-sensitive Special Situations and credit-sensitive Distressed sub-strategies, with both gaining over +1.0 percent in August.

Fixed income-based Relative Value Arbitrage posted a gain despite rising yields, with spread tightening and effective hedging contributing to the HFRI Relative Value Index gaining +0.9 percent; the August gain is the 8th in the last 9 months and RVA has posted positive performance in 37 of 44 months since December 2008. Relative Value sub-strategies of Volatility, Yield Alternatives and Asset-Backed had significant contributions to RVA performance. Macro hedge funds posted a decline for the month, partially offsetting strong July performance, with the HFRI Macro Index declining by -0.16 percent. Macro performance also reflected dispersion across various sub-strategies; the HFRI Macro: Systematic Diversified/CTA Index declined by -0.9 percent and Currency strategies declined by -0.6 percent on the Euro advance; however, Macro Discretionary strategies gained over +1.0 percent while Commodity funds gained +1.9 percent.

Fund of Funds advanced for the 2nd consecutive month, with the HFRI Fund of Funds Composite Index gaining +0.64 percent in August. Emerging Markets hedge funds also had positive contribution to industry performance, with the HFRI Emerging Markets Index gaining +1.06 percent.

"Hedge funds were tactically positioned for the equity, fixed income and commodity developments in August, with many funds having strategically increased equity net exposure, reduced short Euro currency positions and appropriately hedged fixed income exposure through mid-summer," stated Kenneth J. Heinz, President of HFR. "While funds remain cognizant of the potential for an adverse market reaction in the ongoing European banking and sovereign debt crisis, recent developments have been constructive. As a result, hedge funds have modified defensive positioning to consider a continuum of positive and negative scenarios, increased optionality and volatility implications of the Euro sovereign debt crisis, as well as a broadening of focus to include the US elections and Chinese growth considerations."

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. Asia - Hedge fund manager Kyle Bass estimates China's foreign reserves below critical level[more]

    From Nasdaq.com: Investor Kyle Bass stepped up his attack on China's currency, arguing in an investor letter distributed Wednesday that the second-largest economy's foreign reserves are "already below a critical level." The comments mark the latest effort by hedge funds and other investors to raise

  2. Investing - Some hedge funds want to make subprime auto loans next big short, 11 hedge funds that are “all in” on the FANG stocks, Hedge funds short London luxury homes, Cynet raises $7 million from U.S. hedge fund[more]

    Some hedge funds want to make subprime auto loans next big short From Bloomberg.com: A group of hedge funds, convinced they have found the next Big Short, are looking to bet against bonds backed by subprime auto loans. Good luck finding a bank willing to do the trade. Money manage

  3. Investing - Hedge funds see selloff in European bank stocks as buying opportunity[more]

    From WSJ.com: The massive selloff in European bank stocks and bonds is overdone and presents a “phenomenal” buying opportunity, according to some of Europe’s top hedge-fund managers. Despite a 28% slump in European bank stocks this year, including a 38% fall in Deutsche Bank AG and a 34% drop in Soc

  4. Legal - Carlyle accused of fraud by ex-employee, Hedge funds win CDS breach of contract suit against Deutsche Bank, Hedge fund asks for OK on $27.5m Goldman CDO deal, SFO examines Barclays hedge fund profits[more]

    Carlyle accused of fraud by ex-employee From AI-CIO.com: A former portfolio manager claims he was fired for blowing the whistle on “crazy” and “irresponsible” investments. Carlyle Group has been sued by a former portfolio manager for one of its hedge funds, who accused the firm of “knowi

  5. Illiquid assets are all the rage for hedge funds[more]

    From Valuewalk.com: …Institutional investors are increasingly turning to illiquid assets and active management strategies to combat macroeconomic trends, anticipated market volatility and diverging monetary policy, according to a new survey by Blackrock. And this week, Bloomberg has reported that at