Opalesque Industry Update - Global financial markets posted gains through mid-December 2012, as reflecting cautious optimism and improved investor sentiment with regard to political and macroeconomic uncertainty of the US fiscal cliff and the European banking and sovereign debt crisis. Equity markets posted gains across most regions, including US, European and Asian, with equities in China, other Emerging Markets and small cap posting the most significant gains. Most sectors also posted positive performance through mid-month, with gains in Financials and Telecom offsetting declines in Energy and Commodity related exposure. US treasury yields rose as the curve shifted upward across most maturities, while Gold posted declines, consistent with most other Metals. The Euro and British Pound gained against the US dollar on positive developments with regard to European bank risk oversight framework, however the Japanese Yen fell against the US dollar following Japanese elections and in expectation of additional BoJ stimulus. Oil and Natural Gas declined through mid-month, however most Agricultural commodities rose, with Cotton and Lumber leading gains. |
Hedge funds posted 5th gain in the past 6 months, with the HFRX Global Hedge Fund Index gaining +0.75% through mid-month, while the HFRX Market Directional Index gained +0.63%.
The HFRX Relative Value Arbitrage Index posted a gain of +0.92% through mid-December, with positive contributions from Corporate Credit, Commodity Arbitrage and Convertible strategies. The HFRX RV: Multi-Strategy Index posted a gain of +0.90%, with positive contributions from US credit, commodity spread arbitrage and Emerging Markets exposure. The HFRX Convertible Arbitrage Index posted a gain of +0.18% with gains in Japanese credit and mixed performance from US exposure.
The HFRX Macro CTA Index posted a gain of +0.76% for the period, with gains in systematic strategies, global fixed income, Emerging Markets exposure partially offset by global multi-strategy managers. The HFRX Systematic Diversified CTA Index posted a gain of +1.35%, with medium term trending models and pattern-recognition strategies posting gains, only partially offset by systematic currency managers. Global discretionary macro strategies experienced gains from exposure to Emerging Markets fixed income and currencies, while commodities exposure had mixed performance.
The HFRX Event Driven Index posted a gain of +0.71% through mid-December, with gains across all ED strategies. Activity in the M&A space continued with deal announcements of Sprint/Clearwire and Delta/Virgin Atlantic and approvals of the Glencore/Viterra deal. The HFRX Merger Arbitrage Index posted a gain of +1.10% on contributions from core positions in Glencore/Viterra, Duke Energy/Progress Energy, Health Care REIT/Sunrise Senior Living and Eaton/Cooper Industries. The HFRX Special Situations Index posted a gain of +0.70% as corporate transaction activity and special dividends continued at a robust pace, with positive contributions across both equity and credit sensitive exposures with gains concentrated in the financial, utilities and energy sectors; the HFRX Distressed Index posted a gain of +0.25% for the period.
The HFRX Equity Hedge Index posted a gain of +0.63%, as growth oriented strategies posted gains followed by value and market neutral strategies exposures. Following the strong performance of the prior month, the HFRX Fundamental Growth Index gained +1.31% through mid-month from exposure to Latin American equity, US mid/small cap, communications and technology sectors. The HFRX Fundamental Value Index posted a gain +0.50%, with contributions from US large cap in the consumer and telecom sectors, partially offset by European exposure. The HFRX Market Neutral Index posted a gain of +0.09% for the period.