Industry Updates

HFRU figures show 0.86% return to mid-March, 2.26% year to date

Tuesday, March 19, 2013

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Opalesque Industry Update - HFRU Hedge Fund Composite Index gained +0.86% through mid-March, with leading contributions from Equity Hedge strategies.

HFRU Equity Hedge Index gained +1.09% through mid-March, with contributions from exposure to European Financials, Japan, Emerging Eastern European and US small cap equities.

HFRU Event Driven Index gained +0.71% through mid-March, with contributions from European M&A and US Special Situations exposures.

HFRU Macro Index gained +0.69% through mid-March, with contributions from Emerging Markets, tactical currency and trend-following quantitative CTA exposures.

HFRU Relative Value Index gained +0.68% through mid-March, with contributions from convertible arbitrage, pairs trading and real estate exposures.

HFRX writes: Financial markets extended early 2013 gains into mid-March, as both US and European equities and the US dollar gained through mid-month. European equities posted broad-based gains through mid-month as most European currencies fell against the dollar, with equity gains led by Spain, Germany, France, Switzerland and the Netherlands. Asian equities were mixed through mid-month, with another strong gain in Japanese equities complemented by gains in India & Thailand offsetting declines in China, Hong Kong and Australia. US equities eclipsed record highs as the DJIA rose through mid-March, with the S&P 500 approaching a record level while the Nasdaq also posted gains. Broad-based gains were led by sector strength in Financials, Cyclicals, Technology and Telecom; small cap equities also posted strong gains. The US dollar gained to a 45 month high against the Japanese yen on continued Bank of Japan stimulus, while rising to 32 month high against the British Pound, and also gaining against the Euro and Swiss Franc. US yields rose as the yield curve steepened; yields fell across Spain, Italy and France but with little change across Germany, Netherlands or the UK, while commodities gains were led by Natural Gas and Cotton. M&A remained active as credit remained tight, with contribution from positioning in Liberty Global /Virgin Media, Sprint Nextel/Clearwire and the Dell buyout.

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