Sat, Sep 5, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hennessee Hedge Fund Index posts first monthly loss of 2013, declines -1.30% in June (+4.76% YTD)

Thursday, July 11, 2013
Opalesque Industry Update - Hennessee Group LLC announced today that the Hennessee Hedge Fund Index declined -1.30% in June 2013 (+4.76% YTD), while the S&P 500 declined -1.50% (+12.63% YTD), the Dow Jones Industrial Average decreased -1.36% (+13.78% YTD), and the NASDAQ Composite Index fell -1.52% (+12.71% YTD). Bonds were also negative, as the Barclays Aggregate Bond Index declined -1.55% (-2.45% YTD).

“Hedge funds posted their first monthly loss of the year in June,” commented Charles Gradante, Co-Founder of Hennessee Group. “While June saw the return of a ‘risk-on, risk-off’ trading environment, many managers maintained portfolio exposures, viewing the correction as technical in nature and not reflective of a change in underlying fundamentals.”

“In June, investors adopted a ‘risk-off’ sentiment amid concerns about the ‘tapering’ of stimulus by the U.S. Federal Reserve, resulting in increased volatility,” said Lee Hennessee, Managing Principal of Hennessee Group. “Most hedge funds strategies posted losses, but interest rate-sensitive and emerging market funds were most negatively affected.”

Equity long/short hedge funds were negative in June, as the Hennessee Long/Short Equity Index declined –0.75% (+7.98% YTD). The best performing sectors were telecommunication services (+1.86%), consumer discretionary (+0.75%), and utilities (+0.60%). The worst performing sectors were materials (-4.50%, information technology (-3.70%) and energy (-2.09%). Short portfolios provided some benefit as the equity markets sold off. Despite the increased volatility, most managers maintained exposure levels, expecting the correction to be short lived.

“Despite Wall Street's biggest concern regarding the eventual phasing out of QE program, the steepening of the yield curve in June reminded the Hennessee Group of rising bond yields in 1995, which resulted in money flows out of bonds and into stocks. This ignited one of the greatest stock market rallies from 1995 to 1999,” stated Charles Gradante.

The Hennessee Arbitrage/Event Driven Index declined –1.13% in June (+4.15% YTD). The Barclays Aggregate Bond Index declined -1.55% (-2.45% YTD) as interest rates increased. High yield also declined as the Merrill Lynch High Yield Master II Index declined -2.64% (+1.50% YTD). High yield spreads widened 59 basis points to 521 basis points over treasuries. The Hennessee Distressed Index decreased –1.58% in June (+6.95% YTD). Distressed portfolios were negatively affected by both a significant widening of credit spreads and equity market losses. The Hennessee Merger Arbitrage Index declined –0.31% in June (+3.74% YTD). Managers posted losses as deal spreads widened amid greater volatility. The Hennessee Convertible Arbitrage Index returned –1.17% in June (+2.26% YTD). Convertible arbitrage managers experienced losses amid higher interest rates and wider credit spreads.

“The Hennessee Group notes that an analysis of the technicals indicate the emerging markets are oversold and the S&P 500 is overbought, concluding that we are likely to see the beginning of a reversal in the long S&P 500 and short emerging markets trade.” commented Charles Gradante. “Global and macro managers are likely to go long emerging markets and short the S&P 500.”

The Hennessee Global/Macro Index declined –1.93% in June (+1.45% YTD). The MSCI EAFE Index fell -3.72% (+2.18% YTD). The Hennessee International Index declined –2.01% (+3.03%). Emerging markets were also down, as the MSCI Emerging Market Index decline -6.79% (-10.89% YTD). Emerging Markets posted losses across equity, sovereign bond and currency markets. The Hennessee Emerging Market Index fell -1.95% (+2.73% YTD). The Hennessee Macro Index increased +0.17% for the month of June (-1.40% YTD). Managers experienced losses in fixed income as bond yields increased significantly in June as the 10 Year Treasury yield increased 57 basis points to 2.73%. Commodities also declined in the “risk off” environment. A stronger dollar and uncertainty about Chinese demand added to the negative pressure. Precious metals were the worst-performing sector, down -12.3% MTD and -29.6% YTD. Natural gas lost -11.2% for the month and -1% for the year, giving back all the gains it had accrued for the year. The U.S. Dollar Index increased +0.70% in June, benefiting macro managers, with significant gains against emerging market currencies.

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 Detroit-based CTA seeks to take advantage of coming volatility[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging manager has just set up his one-man shop in the city of Detroit. Synchronicity Futures,

  2. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  5. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

 

banner