Mon, Jun 27, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index declines -0.14% through mid-November (2.01% YTD)

Thursday, November 22, 2012
Opalesque Industry Update - Global equity markets posted sharp declines through mid-November, 2012, as investors discounted the results of the US Presidential election, the uncertainty surrounding the renewal of US tax incentives and continued uncertainty regarding the European banking and sovereign debt crisis. Equities declined across most sectors, market capitalizations and regions, with steepest losses across certain Technology and Utilities concentrations, small cap equities and Italy, Germany, Australia and China regions, in addition to US weakness. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, as US yields declined for the month across the maturity curve and high yield credit weakened. Commodities posted mixed performance across Agricultural, Energy and Metals, with gains in Cotton, Oil and Aluminum offset by declines in Soybeans, Corn & Coffee. Hedge funds posted declines through mid-month with the HFRX Global Hedge Fund Index declining -0.14% and the HFRX Market Directional Index declining -0.09%.

The HFRX Equity Hedge Index posted a decline of -0.47% through mid-November, with weakness concentrated in US equity and Energy/Basic Material exposure, only partially offset by gains in Emerging Markets and European equity. The HFRX Fundamental Growth Index gained +0.18% from exposure to Technology, Consumer and Brazilian equities. The HFRX Fundamental Value Index declined -0.61% from US large cap equity, partially offset by European positioning. The HFRX Market Neutral Index posted a modest decline of -0.05% with gains in factor-based market neutral strategies, offset by declines in fundamentally-driven market neutral managers.

The HFRX Macro CTA Index posted a gain of +0.14% for the period, as weakness in Systematic Macro strategies was offset by gains in Latin American and European Fixed Income, Discretionary Currency and Multi-Strategy managers. The HFRX Systematic Diversified CTA Index posted a decline of -0.33%, with weakness in medium-term trend following managers partially offset by currencies and fixed income strategies.

The HFRX Relative Value Arbitrage Index posted a decline of -0.11% through mid-November, from mixed performance across Convertible Arbitrage strategies and declines in corporate credit multi-strategies managers. Credit widening and falling equities generated losses while spread trading strategies posted gains; the HFRX RV: Multi-Strategy Index posted a decline of -0.15%. The HFRX Convertible Arbitrage Index posted a gain of +0.17% as declines from falling volatility and credit widening in US exposure were offset by strength in Emerging Markets Asia.

The HFRX Event Driven Index posted a decline of -0.06% with weakness in Equity Special Situations and Activist strategies partially offset by gains in Merger Arbitrage and Distressed managers. Transactions in the M&A space continued as UPS announced its acquisition of TNT Express and activity in the Glencore/Xstrata deal and other Energy, Banking and Pharmaceutical sectors developed. The HFRX Merger Arbitrage Index posted a gain of +0.37% on mixed contributions from core positions in Glencore/Viterra, Eaton/Cooper Industries, Health Care REIT/Sunrise Senior Living, McKesson/PSS World Medical, among others. The HFRX Special Situations Index declined -0.10%, with losses in short Consumer and Communications positioning partially offset by gains in the Energy and Utilities sectors. The HFRX Distressed Index posted a modest gain of +0.03% for the period.

Press release

Comments reference performance as published through November 19, 2012.

Full performance table: www.hedgefundresearch.com/hfrx_reg/index.php?fuse=login_bd

Bg

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 Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Global markets fell, hedge funds gain in mid-June on Brexit, Fed rate concerns[more]

    Komfie Manalo, Opalesque Asia: Global financial markets declined through mid-June, as uncertainty associated with the upcoming Brexit referendum and expected U.S. Fed interest rate hike contributed to increases in volatility across asset classes, data provider