Opalesque Industry Update - Global equity markets posted mixed performance for October 2012, as investors discounted mixed US employment data and earnings reports as well as the uncertainties of the continued European banking crisis, US political election and the economic impact of Hurricane Sandy. US equities posted declines across most sectors, with declines in Technology, Telecom and Energy only partially offset by gains in Financials. European equities posted gains in France, Italy & Netherlands, while Asian equities were mixed, with declines across China, India and Korea offsetting gains in Australia & Hong Kong. US yields rose modestly, with front end weakness contributing to curve flattening as credit tightened; the US dollar continued to decline against the Euro, but gained against the Japanese Yen. Metals posted sharp declines led by Aluminum and Silver, while a sharp decline in Oil was offset by a spike in Natural Gas. Agricultural commodities were also mixed with Coffee and Wheat leading declines. |
Hedge funds posted declines for the month, with gains in Equity Hedge offset by declines in Systematic Macro; the HFRX Global Hedge Fund Index posted a decline of -0.52% while the HFRX Market Directional Index posted a narrow decline of -0.02%.
The HFRX Equity Hedge Index posted a gain of +0.43% for October, the fifth consecutive month of gains, with contributions from fundamental value and market neutral strategies, as exposure to industrial, financial and consumer sectors in large cap US and European equity led gains. The HFRX Fundamental Value Index led all hedge fund strategies with a gain of +0.90% for the month. The HFRX Market Neutral Index posted a gain of +0.17% with gains in fundamentally-driven market neutral managers, offset by declines in factor-based market neutral strategies. Gains in US small cap and Emerging Markets were offset by declines in Technology exposure, with the HFRX Fundamental Growth Index declining -0.85%.
The HFRX Event Driven Index posted a decline of -0.86% with weakness across Equity Special Situations, Distressed and Merger Arbitrage strategies only partially offset by gains in Activist managers. Activity in the M&A space continued with announcements of SoftBank/Sprint Nextel and Random House/Penguin transactions; performance was also impacted by widening in the BAE/EADS deal. The HFRX Special Situations Index posted a decline of -0.35%, with equity-sensitive declines offsetting credit-sensitive gains. The HFRX Merger Arbitrage Index posted a decline of -1.37% on mixed contributions from core positions in Glencore/Viterra, Eaton/Cooper Industries, Bell Media/Astral Media and activity in the Technology and Pharmaceutical sectors.
The HFRX Relative Value Arbitrage Index posted a decline of -0.74% in October, with mixed performance across corporate credit multi-strategies offset by weakness in non-US credit exposure. Credit tightening offset rising treasury yields while spread-trading strategies posted gains; the HFRX RV: Multi-Strategy Index posted a gain of +0.23%. The HFRX Convertible Arbitrage Index posted a decline of -0.50% as gains in US exposure from rising yields and falling volatility were offset by weakness in Emerging Markets Asia.
The HFRX Macro CTA Index posted a decline of -1.06% for the month, as weakness in Systematic Macro strategies offset gains in Fixed Income and Discretionary Macro. The HFRX Systematic Diversified CTA Index posted a decline of -3.01%, with weakness across most sectors including equity, fixed income, currencies and commodities.
Comments reference performance figures for October 31, 2012