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