Fri, Jan 19, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFR Indices down across the board for June (-1.33%), still positive year-to-date (+3.16% )

Tuesday, July 02, 2013
Opalesque Industry Update: Global financial market volatility persisted throughout June as investors positioned for a reduction of stimulus efforts and bond purchases by the US Federal Reserve. US Treasury bonds posted sharp declines as yields rose sharply for the 2nd consecutive month, with 10 year bond yields topping 2.5 percent, an increase of over 80 basis point in 2 months. Government bonds yields also rose across UK, France, Germany, Italy, Spain and Switzerland; high yield credit also posted declines, with yields rising approximately 200 basis points for the month of June. Gold and other Metals posted steep declines on expectations for reduced stimulus by the US Federal Reserve; Gold & Silver declined over -12 percent for the month. Global equities posted declines led by European, Asian and Emerging Markets exposures; China, Italy and Brazil posted the steepest declines, while Hong Kong, France, UK, Germany, Spain, Argentina, Turkey and the Netherlands all posted significant declines. US equities posted more moderate declines, with the S&P 500 falling -1.5 percent, with declines in Commodity sensitive and Technology partially offset by gains in Energy. Following May's sharp gains, the US dollar was mixed against global currencies, posting narrow declines against the Euro, Japanese Yen & British Pound Sterling while gaining against commodity currencies including Australian Dollar, Brazil Real and New Zealand Dollar. Hedge funds posted declines for the month, with the HFRX Global Hedge Funds Index falling -1.33%, the first decline in 8 months. The HFRX Absolute Return Index was narrowly changed for the month, posting a decline of -0.02%.

HFRX Macro Index posted a decline of -0.66% in June, with contributions from quantitative Systematic CTA strategies, tactical Fixed Income and Currency strategies only partially offset by Multi-Strategy managers and Emerging Markets exposure. The HFRX Emerging Markets Index posted a decline of -0.82% with mixed contributions from Emerging Asian and Latin American exposures. The HFRX Macro: Systematic Diversified Index posted a decline of -0.90% from losses in Fixed Income and Commodities exposure partially offset by Currency strategies.

HFRX Event Driven Index posted a decline of -1.14% in June, with contributions from Distressed, Special Situations & Activist strategies. The HFRX Merger Arbitrage Index declined by -0.21%, with contributions from transactions in GE/Lufkin, KKR/Gardner Denver, Thermo Fisher/Life Technologies, First M&F/Renasant. The HFRX Special Situations Index declined -0.97% from exposure to transactions in the Energy/Basic Materials, Cyclical and Financial sectors, as well as Dell, AIG, Yahoo, Berkshire & Smithfield Foods, Sprint Nextel, Vodafone while the HFRX Distressed Index posted a decline of -1.30%.

The HFRX Relative Value Arbitrage Index posted a decline of -1.46% in June, with contributions from in US Convertible, Commodity, Multi-Strategy and Corporate Fixed Income strategies. The HFRX RV: Convertible Arbitrage Index declined -0.46% with gains concentrated in Japanese convertibles and volatility gains, offset by declines in US exposure. The HFRX Fixed Income Credit Index declined -0.74% as bond yields rose across the yield curve and credit spreads widened, with losses only partially offset by Japanese and Emerging Markets credit exposure. The HFRX RV: Multi-Strategy Index posted a decline of -1.70% with declines in Commodity and US & European credit strategies only partly offset by Energy exposure.

HFRX Equity Hedge Index posted a decline of -1.89% in June, from losses concentrated in small cap and Emerging Markets equity. The HFRX Fundamental Value Index posted a decline of -0.57% with hedged European exposure offsetting fundamental US exposure. The HFRX Market Neutral Index posted a decline of -0.63% as short exposure in fundamental strategies failed to offset pairs widening. The HFRX Fundamental Growth Index declined -4.72%, with losses concentrated in Emerging Markets, US small cap.

HFR

Press Release

BM

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. Legal - Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says, Hedge fund blasts defense of Puerto Rico restructuring law[more]

    Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says From CNBC.com: A former hedge fund executive faces federal charges for defrauding a UK-based charity over investments in Africa, according to a grand jury indictment made public Wednesday.

  2. U.S. economy, inflation and alternative investments to dominate 2018 markets, says family office Wilmington Trust[more]

    Komfie Manalo, Opalesque Asia: The emergence of a late-cycle economy in the U.S., the mystery of inflation and growth from a domestic and global perspective, and the potential for alternative investments to prosper against a backdrop of rich valuations, low yields, and higher volatility are the t

  3. Performance - Some hedge funds deliver double-digit gains for 2017, Brevan Howard's hedge fund suffers biggest annual loss in 2017, Crispin Odey's flagship hedge fund plummeted about 20% in 2017, Profits fall 90% at ex-Morgan Stanley banker's hedge fund, Fannie-Freddie overhaul might mint hedge fund riches, losses[more]

    Some hedge funds deliver double-digit gains for 2017 From Reuters/Investing.com: A handful of hedge funds ended 2017 with double digit returns, their investors said, at a time the $3 trillion industry took in fresh money and posted its best returns in years, industry data show. Act

  4. Investing - Hedge funds start 2018 with record $19 billion bet on the euro, Hedge fund Kora Management invests in Satin Creditcare[more]

    Hedge funds start 2018 with record $19 billion bet on the euro From Reuters.com: Hedge funds have kicked off 2018 with their biggest bet ever on the euro rising, a clear vote of confidence in the single currency but, with positioning so stretched, one which could backfire in the near ter

  5. News Briefs - Mobius to retire from Franklin Templeton, Authorities decrypt smart phone of Princeton grad charged with killing Manhattan hedge fund dad, Investigators seize (more) antiques from hedge-fund billionaire Michael Steinhardt's collection[more]

    Mobius to retire from Franklin Templeton Emerging markets pioneer Mark Mobius will be stepping down as executive chairman of the Templeton Emerging Markets Group (TEMG) and formally retire from Franklin Templeton on 31 January. He will also be relinquishing his post as portfolio manager