Opalesque Industry Update - HFRX notes that global financial markets posted gains for the month of October as US lawmakers passed a budget deal, ending the US government shutdown and averting a default on US treasury bonds. Global equity markets posted strong, broad-based gains for the month, with US gains led by large cap, Healthcare, Oil Services, Technology and Financials. European and Asian equities also posted strong gains, with European leadership from Greece, Italy, Spain, Germany and UK, while Asian equities were led by India, Australia and the Philippines; Japan and China both posted declines.|
US yields fell slightly across the curve on continued expectations for maintaining Federal Reserve stimulus measures, yields also declined across most European countries including UK Gilts, German Bunds, France, Italy, Spain and the Netherlands. The Euro rallied against the US Dollar to a 2 year high over 1.38, while the US Dollar gained against the British Pound Sterling and was little changed against the Japanese Yen; the US dollar also declined against the Australian Dollar & Indian Rupee. Commodities posted mixed performance for the month, with gains in Platinum offset by mixed performance in Oil while Gold traded in a wide range to settle with a narrow decline for the month.
Cotton & Coffee led declines across agricultural commodities, declines in Corn & Hogs were partially offset by gains in Cattle and Sugar. Hedge funds posted gains for the month with the HFRX Global Hedge Fund Index posting a gain of +1.20%, the strongest monthly gain since January, while the HFRX Market Directional Index rose +1.73% contributing to a YTD gain of +8.26%.
HFRX Equity Hedge Index posted a gain of +1.92% for October, the strongest gains since January, with gains across Growth, Value and Market Neutral exposures. HFRX Fundamental Value Index rose +2.14% with gains concentrated in US and UK large-cap Financial and Cyclical sectors, the Index posted a 1 day gain of +0.85% on October 10th, the largest 1 day gain since January 2013; the Index leads all EH sub-strategies with a gain of +13.06% YTD. HFRX Fundamental Growth Index gained +1.64%, with contributions from exposure to US small cap equity and Emerging Asia. HFRX Market Neutral Index gained +1.39%, the strongest gain since March 2011, with gains in mean reverting and fundamental, factor-based models.
HFRX Event Driven Index posted a gain of +1.80% for October; the Index leads all hedge fund strategy Indices with a YTD gain of 12.87%. HFRX Special Situations Index gained +2.25% for the month, leading all hedge fund sub-strategies with a gain of 16.76% YTD; the Index had specific contributions from core positioning in Ferro, Penn West, Elan, Chemtura, Tribune Co., AMC, American Realty, Hertz, Dish Network, Dell and Verizon. HFRX Merger Arbitrage Index posted a gain of +0.50%, with contributions from transactions in NYSE/IntercontinentalExchange, Provident/Sterling Bancorp, Akorn/Hi-Tech Pharmacal, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies. HFRX Distressed Index gained +0.69% for the period with contributions from various restructurings across Technology, Cyclical, Financial and Basic Materials sectors.
HFRX Macro Index posted gain of +0.64% for October, with contributions from Currency, Fixed Income and Systematic strategies. HFRX Emerging Markets Index posted a gain of +0.36% with positive contributions from Emerging Asia, Brazil and Currency strategies. The HFRX Macro: Systematic Diversified Index posted a gain of +0.66%, with contributions from equities, fixed income and currency exposures.
HFRX Relative Value Arbitrage Index posted a gain of +0.34% for October as the US Fed maintained its monthly bond purchase program. HFRX Convertible Arbitrage Index gained +0.33%, leading all RV sub-strategies on YTD with a gain of 10.0%. HFRX MLP Index gained +2.31% for the month, leading all indices with a YTD gain of 20.77%. HFRX Fixed Income Credit Index gained +0.64% with contributions from falling yields and tightening credit, HFRX Multi-Strategy Index gained +0.28%.