Opalesque Industry Update - HFRX Equity Hedge Index posted a gain of +0.38% through mid-November, with gains across Fundamental Value and Market Neutral strategies adding to the YTD gain of +9.1% for the Index. HFRX Fundamental Value Index rose +0.57% with gains concentrated in US large-cap Consumer and Financial sectors, HFRX EH:FV leads all EH sub-strategies with YTD gain of +13.7%. HFRX Market Neutral Index gained +0.53%, with gains in mean reverting and fundamental, factor-based models. |
HFRX Event Driven Index posted a gain of +0.21% through mid-November, with contributions from Merger Arbitrage and Equity Special Situations; HFRX ED leads all strategy indices with a gain of +13.1% YTD. HFRX Special Situations Index gained +0.34% for the month, continuing lead all sub-strategies with a YTD gain of +17.15%; the Index had contributions from core positioning in Elan, American Realty, Tribune Co., Ferro, Chemtura, Penn West and Life Technologies. HFRX Merger Arbitrage Index posted a gain of +0.21%, with contributions from transactions in NYSE/IntercontinentalExchange, Capital Source/Pacwest Bancorp, Akorn/Hi-Tech Pharmacal, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies. The HFRX Distressed Index declined -0.17% for the period from various restructurings across Technology, Industrial and Basic Materials sectors.
HFRX Relative Value Arbitrage Index posted a decline of -0.10% through mid-November with modest declines across various fixed income strategies, including Convertible Arbitrage and Multi-Strategy managers. HFRX Convertible Arbitrage Index posted a decline of -0.87%, paring the YTD gain of the Index to +9.0%, with negative contribution from volatility and gamma positions. HFRX MLP Index gained +0.53% for the month, while the HFRX Fixed Income Credit Index posted a modest decline of -0.06% for the period.
HFRX Macro Index posted decline of -0.31% through mid-November, with positive contributions from Fixed Income & Systematic CTA strategies offset by weakness in Currency and Emerging Markets strategies. HFRX Macro: Systematic Diversified Index posted a gain of +0.09%, with contributions from equities, commodities and fixed income exposure. The HFRX Emerging Markets Index posted a decline of -0.95% from declines in Brazil and Currency exposure.