Sun, Feb 26, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Indices reports hedge funds returned positive gains in each month of the third quarter

Thursday, October 04, 2012
Opalesque Industry Updates - HFRX reports that equities posted gains in September to conclude the 3rd quarter, though gains were pared into month end on renewed European sovereign debt concerns despite stimulus measures by US, European and Japanese central banks. Equity gains were led by Cyclicals, Financials and Commodity sensitive sectors, with regional leadership from Asian and Emerging Markets.

US Treasury yields rose for the month but settled off mid-month highs as the long end of the curve steepened and high yield credit tightened for the month. The Euro settled with monthly gains against the US dollar, with these also pared into month end; the Pound posted similar gains while the Dollar strengthened against the Japanese Yen. Energies and Precious Metal Commodities diverged for the month with losses in Oil and gains across Aluminum and Silver; Natural Gas also posted a sharp increase. Hedge funds were positive in each month of 3rd quarter, with the HFRX Global Hedge Fund Index gaining +0.39% for September, the 3rd consecutive month of gains. The HFRX Market Directional Index gained +0.98%, also posting its 3rd consecutive month of gains.

The HFRX Equity Hedge Index posted a gain of +0.78 for September, the 4th consecutive month of gains, as equity markets rose across most sectors and regions, and positive contributions across Value, Growth, Energy, Technology and Emerging Markets exposures. The HFRX Fundamental Value Index gained +0.83%, with contributions from Consumer, Industrial, Financials and European equities. The HFRX Fundamental Growth Index posted a gain of +0.71% with contributions from Consumer, Telecom, Asian, Emerging Markets and US small cap exposures. The HFRX Market Neutral Index posted a decline of -0.28% for the month, with weakness in trading oriented EMN strategies.

The HFRX Event Driven Index posted a gain of +0.67% for September, the 3rd consecutive month of gains, with contributions from Equity Special Situations, Distressed and Activist strategies only partially offset by weakness in Arbitrage exposure. The HFRX Special Situations Index posted a gain +0.89%, with positive contributions across both equity and credit sensitive exposures; the HFRX Distressed Index posted a smaller gain of +0.30% on idiosyncratic credit improvement. The HFRX Merger Arbitrage Index posted a decline of -0.26% on mixed contributions from core positions in Hertz/Dollar Thrifty, Glencore/Xstrata, Duke Energy/Progress Energy and exposure to the Consumer and Technology sectors.

The HFRX Relative Value Arbitrage Index posted a gain of +0.43% for September, with contributions from Multi-Strategy, Corporate Fixed Income and MLP strategies. The HFRX MLP Index gained +1.94% on continued strong demand across energy infrastructure, transport and storage positions. Credit and commodity tightening again offset rising treasury yields, contributing to a gain of +0.27% for the HFRX RV: Multi-Strategy Index. The HFRX Convertible Arbitrage Index posted a decline of -0.26% as rising yields and falling volatility offset credit gains.

The HFRX Macro CTA Index posted a decline of -0.52% for the period, as weakness in Systematic Macro offset gains in Discretionary Commodity and Fixed Income exposures. The HFRX Systematic Diversified CTA Index posted a decline of -1.75% for the month, with weakness as a function of intra-month reversals in various commodity and equity positions, across both medium to long term trending strategies.

Press release

bc

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. Opalesque Exclusive: Swiss investors take fund seeding and acceleration into their own hands[more]

    Benedicte Gravrand, Opalesque Geneva: Banque Bonhote, a 200-year old Swiss private bank, last year launched a community of investors - heads of Swiss family and advisory offices and wealth managers - with the aim of co-investing in the kind of managers they wanted to invest in, either by way of s

  2. K2 Advisors : Why We Like Activist Hedge Fund Strategies and Some Thoughts on Alpha[more]

    Matthias Knab, Opalesque: Rob Christian, Senior Managing Director, Head of Research K2 Advisors, Franklin Templeton Solutions, writes on Harvest Exchange: When d

  3. Ex-Navy SEAL backed by Mario Gabelli, Jean-Marie Eveillard and other value giants off to strong start[more]

    From Valuewalk.com: Sententia Capital Management is not your average value focused hedge fund. The fund was founded by Michael Zapata, a former Navy Seal Team 6 Officer and has attracted funding from some of the best-known names in the value space. Mario Gabelli, Jean-Marie Eveillard from First Eagl

  4. Europe - 1 trillion euro non-performing loans are clogging EU lending channels[more]

    From Centralbanking.com: As much as 1 trillion euro of non-performing loans (NPLs) are still clogging the lending channel in the European Union. An EU asset management company (AMC) could address market failures in the secondary market for NPLs as part of a suite of measures designed to tackle the b

  5. Investing - Hedge funds' novel approach: investing for longer at lower returns, U.S. hedge fund Delta Partners lifts stake in Bellamy's, Hedge funds stockpile cobalt, electric carmakers on battery alert, Facebook is racking up the likes among the world's biggest hedge funds, Einhorn affirms gold on Trump uncertainty[more]

    Hedge funds' novel approach: investing for longer at lower returns From FNLondon.com: Hedge funds are known for making short-term bets, dipping quickly in and out of markets to take advantage of swings in prices. But, under pressure to innovate, some big-name managers are looking at ways