Fri, Feb 12, 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 up 0.41% in November (+2.57% YTD)

Wednesday, December 05, 2012
Opalesque Industry Update - Global equity markets reversed intra-month losses in the final week of the month to post narrow gains for the month of November. Equity markets fell sharply following the US Presidential election as investors discounted adverse implications of the fiscal cliff, including higher taxes and reduced spending. Most equity sector and regions posted gains for the month, with leadership from Telecom, Technology and Cyclicals; Chinese equities posted declines for the month. US yields declined as the curve steepened led by a rally in the short end; high yield credit continued to tighten and implied equity volatility declined. The US dollar posted gains against the British Pound Sterling and Japanese Yen, despite weakening against the Euro. Commodities were also mixed for the month, with gains in Copper, Aluminum and Oil offset by declines in Gold, Natural Gas and Soybeans. Hedge funds posted gains ahead of fiscal cliff concerns, as the HFRX Global Hedge Fund Index gained +0.41% with positive contributions across all main strategies; as the HFRX Absolute Return Index gained +0.62%.

The HFRX Event Driven Index posted a gain of +0.58% for November, as corporate transaction activity and special dividends continued at a robust pace. The HFRX Special Situations Index posted a gain of +0.92%, with positive contributions across both equity and credit sensitive exposures with gains concentrated in the communications and industrial sectors; the HFRX Distressed Index posted a modest gain. The HFRX Merger Arbitrage Index posted a gain of +0.52% on mixed contributions from core positions in IBM/Kenexa, Duke Energy/Progress Energy and Eaton/Cooper Industries; activity in the M&A space continued with announcements of ConAgra/Ralcorp and Siemens/Invensys transactions.

The HFRX Equity Hedge Index posted a gain of +0.49%, notching the 6th consecutive month of positive returns for the first time since January 2007, as growth oriented strategies posted strong gains complemented by value and market neutral strategies exposures. The HFRX Fundamental Growth Index gained +1.83%, as exposure to US mid/small cap, technology, consumer and emerging markets sectors contributed to gains. The HFRX Fundamental Value Index posted a gain +0.34%, with contributions from European large cap and US consumer and telecom sectors, the November gain is also the 6th consecutive for the EH: FV Index and the Index has posted gains in 10 of 11 month for 2012. The HFRX Market Neutral Index posted a gain of +0.50%, with gains concentrated across factor-based and trading oriented strategies.

The HFRX Macro CTA Index posted a gain of +0.31% for the period, with gains in global fixed income, emerging markets, currency and long term trend following strategies offsetting declines in other systematic Macro strategies. The HFRX Systematic Diversified CTA Index posted a decline of -0.61%, underlying a wide disparity between diversified, longer term trending models, which posted gains for the month, and shorter duration models which produced mixed performance across Equity and Currency exposures, while Commodities exposure detracted from Macro performance.

The HFRX Relative Value Arbitrage Index posted a gain of +0.26% for November, with positive contributions from Commodity Arbitrage, Corporate Credit, Convertible strategies. The HFRX Convertible Arbitrage Index posted a gain of +0.93% as falling yields and tightening credit yields offset falling volatility, with gains concentrated in Japanese exposure. The HFRX RV: Multi-Strategy Index posted a gain of +0.15%, with positive contributions from European credit, commodity spread arbitrage and opportunistic spread tightening. Full performance table: Source

fg

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. Credit Suisse cherry picks hedge fund ideas[more]

    From FT.com: Credit Suisse Asset Management plans to cherry pick profitable concepts from hedge funds with the launch in Europe of a “best ideas” strategy. The investment arm of the Swiss bank said the strategy will separate it from other funds blighted by “overcrowding problems”. It comes at a time

  2. Investing - Hedge funds bet on risks in U.S. blue-chip debt, Hedge funds bets against bank credit risk paying off, Tiger Global still likes Internet names, gets pointers from Jeter[more]

    Hedge funds bet on risks in U.S. blue-chip debt From WSJ.com: Hedge funds are betting the next bond sector to crack will be the $4.5 trillion market for the safest U.S. corporate debt. New York’s Perry Capital has placed a $1 billion wager against investment-grade bonds issued by 10 comp

  3. Short Selling - Hedge fund manager Kyle Bass is shorting real estate—again, Top US hedge fund has €80m short position in Paddy Power Betfair[more]

    Hedge fund manager Kyle Bass is shorting real estate—again From Fortune.com: He also predicted the mortgage crisis in 2008. Hedge fund manager Kyle Bass, who runs Dallas-based Hayman Capital, tanked the stock of a little-known real estate financier Friday by revealing that he is shorting

  4. Investing - Real estate secondaries sole 'bright spot' in 2015, As hedge funds stumble, one firm prepares to buy illiquid stakes[more]

    Real estate secondaries sole 'bright spot' in 2015 From IPE.com: The secondary market for property was the sole “bright spot” over the course of 2015, as hedge fund secondaries saw deals fall by two-thirds, according to a wide-ranging survey of the market. Setter Capital said 2015 saw th

  5. 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