Fri, Mar 29, 2024
A A A
Welcome Guest
Free Trial RSS pod
Get FREE trial access to our award winning publications
Industry Updates

Macro, emerging markets hedge funds lead mixed January declines

Monday, February 10, 2014
Opalesque Industry Update - Hedge funds posted declines to begin 2014 in a volatile month for both developed and emerging market equities and currencies. The HFRI Fund Weighted Composite Index posted a decline of -0.6 percent for January, with concentrated weakness in Emerging Market and CTA/Systematic Macro strategies leading the decline, according to data released today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry.

The HFRI Macro Index declined by -1.1 percent for the month, snapping three consecutive months of gains and following a decline of -0.4 percent in 2013. The decline was led by Emerging Markets strategies, with HFRI Emerging Markets Index declining -2.6 percent, the first monthly decline since August. Quantitative Macro strategies also declined, with HFRI Macro: Systematic Diversified/CTA Index posting a decline of -1.8 percent. Mixed performance in high frequency Macro strategies offset losses in both quant CTA and fundamental Macro, with HFRI Macro: Active Trading Index posting a narrow gain of +0.01 percent, the fifth consecutive monthly gain, while HFRI Macro: Discretionary Thematic Index posted a narrow decline of -0.1.

Fixed Income-based Relative Value Arbitrage strategies posted gains in January as volatility increased and bond yields declined, with HFRI Relative Value Arbitrage Index gaining +0.5 percent. RVA gains were again led by Asset Backed, Corporate and Convertible fixed income strategies, as these benefitted from low net exposure, falling yields and tactical portfolio adjustment intra-month, with each respective HFRI strategy index gaining +1.2 percent for the month. Highlighting strong performance over past 2 years, the January gain for HFRI Asset Backed was the 25th in past 26 months.

HFRI Event Driven Index declined -0.4 percent January, with mixed performance across ED sub-strategies. Credit Arbitrage and Distressed strategies posted gains for the month, with HFRI Distressed Index gaining +0.02 percent. Following a gain of +16.0 percent in 2013, HFRI ED: Activist Index declined -0.7 percent for January. HFRI Equity Hedge posted a decline of -0.7 percent for January, following an industry leading gain of +14.3 percent in 2013. EH declines were led by HFRI Energy/Basic Materials Index which declined -2.1 percent, while Fundamental Value strategies declined by -1.3 percent. Offsetting these declines, HFRI EH: Technology/Healthcare Index gained +1.9 percent for the month, following a gain of + 22.5 percent in 2013, while HFRI EH: Equity Market Neutral Index rose +0.7 percent, the fifth consecutive advance for the Index.

"Risk and volatility quickly returned to complacent global financial markets to begin 2014, contributing to and highlighting significant strategic, intra-strategy and exposure-specific categorical performance disparities and correlation deviations," stated Kenneth J. Heinz, President of HFR. "While beta-oriented Emerging Markets, Equity Hedge and quant CTA strategies led declines, fundamentally-based RVA, Technology and quantitative Equity Market Neutral posted gains.

Hedge fund managers have quickly adjusted and adapted to more volatile market conditions in early 2014, providing powerful diversification to beta-driven gains of 2013. Managers are actively positioning for additional volatility in coming months and maintaining flexible, tactical portfolio exposures to monetize opportunities created by the volatility."

km

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1