Sat, Jul 4, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hennessee Hedge Fund Index up 1.79% in May, 7% YTD

Wednesday, June 12, 2013
Opalesque Industry Update – Hennessee Group LLC announced today that the Hennessee Hedge Fund Index advanced +1.79% in May 2013 (+7.00% YTD), while the S&P 500 advanced +2.08% (+14.34% YTD), the Dow Jones Industrial Average increased +1.86% (+15.35% YTD), and the NASDAQ Composite Index climbed +3.82% (+14.45% YTD). Bonds fell, as the Barclays Aggregate Bond Index declined -1.78% (-0.91% YTD).

“Managers reported at month end that it appears that economic data is finally starting to matter to the broad markets in the U.S. and globally as the progressively worse data of the previous three weeks in May were generally ignored with the month ending on a sour note that everyone heard,” commented Charles Gradante, Co-Founder of Hennessee Group. “At month end, managers saw significant increases in volatility, a significant drop in the dollar, especially against the Japanese Yen, the Japanese market experienced a major pull back which were compounded by global GDP, employment, housing, and consumer spending disappointments.”

“Hedge fund managers posted positive performance despite a pickup in volatility,” said Lee Hennessee, Managing Principal of Hennessee Group. “For the year, managers have generated positive performance, capturing a portion of the market rally while remaining cautious about the potential for a market pullback.”

Equity long/short hedge funds were positive in May, as the Hennessee Long/Short Equity Index advanced +2.71% (+8.57% YTD). In the U.S., concerns regarding the tapering of the U.S. Federal Reserve’s asset purchase program caused increased volatility towards the end of the month and led the U.S. markets to sell-off from record highs. Hedge fund managers were able to generate gains during the beginning of the month and protect against losses during periods of volatility. The best performing sectors were financials (+5.88%), industrials (+4.62%), and technology (+4.23%). The worst performing sectors were utilities (-9.58%), telecommunication services (-7.44%) and consumer staples (-2.39%). Managers continue to generate gains on their long portfolios, while shorting remains challenging.

“Economic data remains in 'goldilocks' zone, weak enough to justify continued stimulus but strong enough to keep expectations positive,” stated Charles Gradante.

The Hennessee Arbitrage/Event Driven Index advanced +1.36% in May (+6.04% YTD). During the second half of the month, concerns about a tapering off of quantitative easing in the U.S. resulted in an increase in treasury yields and caused an increase in volatility of the financial markets. The Barclays Aggregate Bond Index declined -1.78% (-0.91% YTD). Yields on Treasuries were up, with the 10 Year Treasury yield increasing from 1.70% to 2.13%. The Merrill Lynch High Yield Master II Index declined -0.53% (+4.25% YTD). High yield spreads declined 1 basis point to 454 basis points over treasuries. The Hennessee Distressed Index increased +1.23% in May (+7.13% YTD). Distressed portfolios benefited from position specific catalysts and the broad market rally. The Hennessee Merger Arbitrage Index advanced +0.14% in May (+4.00% YTD). Managers posted modest positive gains as M&A activity continued. The Hennessee Convertible Arbitrage Index returned +1.52% in May (+3.19% YTD). Despite the sell-off in the U.S. Treasury market, convertible bond valuations in the U.S. strengthened.

“International managers speculated that ECB inflation and unemployment data for May will force ECB to further debase the Euro through monetary expansion making sovereign debt the best play.” commented Charles Gradante. “However, managers have increased concerns about the EUs ability to grow out of their problems as job creation is a socialized economy remains an enigma at this time.”

The Hennessee Global/Macro Index advanced +0.26% in May (+5.34% YTD). The MSCI EAFE Index fell -2.93% (+6.12% YTD). The Hennessee International Index declined -0.797% (+6.45%). Emerging markets were also down, as the MSCI Emerging Market Index decline -2.94% (-4.39% YTD). Emerging market hedge funds also struggled relative to developed market counterparts, as the Hennessee Emerging Market Index advanced +0.13% (+3.26% YTD). The Hennessee Macro Index fell -1.13% for the month (+1.16%). The month was dominated by a sharp reversal in Japanese equities, which hurt many macro managers. In addition, macro managers were hurt by a sharp rise in bond yields globally. Managers also experienced losses in currencies as the Yen strengthened against the dollar and emerging market currencies declined. The Dow Jones-UBS Commodity Index also declined, losing -2.24% (-6.04% YTD).

Press release

www.hennesseegroup.com

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 Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner