Thu, Jan 19, 2017
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. The Big Picture: The case for emerging market debt in 2017[more]

    Benedicte Gravrand, Opalesque Geneva: Emerging market (EM) assets outperformed in 2016 mainly because of stronger fundamentals and an improving international environment, with GDP picking up speed, leading to positive earnings revisions for the first time in five years,

  2. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  3. Short Selling - Long-short hedge funds are ditching the shorts to focus on longs[more]

    From Bloomberg.com: What happens when you take the "short" out of a long-short trading strategy? Some hedge funds are about to find out. Equity long-short fund managers, the biggest category in hedge funds, hold the fewest bearish stock bets on record, data compiled by Credit Suisse Group AG s

  4. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  5. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee