Sun, Feb 14, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index decline -0.48% through mid-march (+0.86%)

Wednesday, March 19, 2014
Opalesque Industry Update - Financial markets posted declines through mid-March, as geopolitical uncertainty associated with the Ukraine and the Crimean Peninsula increased, while weak economic data on Chinese growth also raised investor concerns. Global equity markets declined through mid-March, with declines across most regional and sector exposures led by Emerging Markets, with the Russian equity market falling over -16% through mid-March.

Declines in European equities were led by declines in Germany, France, UK, Switzerland and the Netherlands, while Asian equity market declines were led by Hong Kong, Korea, Japan and China. US equities also posted declined through mid-March, with sector weakness led by Technology, Energy, Telecom and Healthcare, which were partially offset by sharp gain in Commodity sensitive equities.

The Russian Ruble collapsed against the US dollar, falling to historical record lows; the US Dollar posted mixed performance against other currencies, rallying to an 4-week high against the British Pound Sterling while falling to a 28-month low against the Euro. The US Dollar also declined against the Indonesian Rupiah, Australian Dollar and New Zealand dollar. Global fixed income yields were narrowly unchanged through mid-month, with small declines across UK Gilts, German Bunds, France and Spain, with investment grade credit spreads widening as overall asset volatility increased sharply.

Commodity prices were mixed through mid-month, with gains in Gold, Wheat, Coffee and Live Hogs offset by declines in Copper, Oil and Natural Gas. Hedge funds posted declines with the HFRX Global Hedge Fund Index declining -0.48% through mid-month, while the HFRX Absolute Return Index posted a narrow decline of -0.07%.

HFRX Equity Hedge Index posted a decline of -0.39% through mid-March with tactical short exposure mitigating volatility. HFRX Market Neutral Index declined -0.13%, with gains across fundamental, trading oriented strategies offset by declines in factor-based models, as volatility increased and dispersion widened. HFRX Fundamental Value Index declined -0.32% with positive contributions from exposures to Financials and Consumer sectors offset by declines in European small cap equities. HFRX Fundamental Growth Index posted a decline of -0.63% with positive contributions from Global Healthcare offset by declines in Emerging Asian exposure.

HFRX Event Driven Index posted a decline of -0.35% through mid-March, with positive contributions from Distressed/Restructuring managers offset by Equity Special Situations strategies. HFRX Distressed Index posted a gain of +0.14%with contributions from restructurings across Technology, Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted a modest gain of +0.04%, with mixed contributions from transactions in Suntory/Beam, Actavis/Forest Labs, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.53%, with contributions from core positioning in American Realty, Hertz, Time Warner, Sensient Technologies, Apple Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.

HFRX Macro Index posted a decline of -0.80% through mid-March as EM volatility increased, Russian equities fell sharply and the Rubble collapsed on uncertainty over Ukraine. HFRX Macro: Systematic Diversified Index and HFRX Emerging Markets Index declined -1.39% and -1.49%, respectively, from losses in equities and currencies; while discretionary fixed income exposure had a partially offsetting gain.

HFRX Relative Value Arbitrage Index posted a decline of -0.46% through mid-March with mixed contributions from Convertible Arbitrage offset by Multi-Strategy managers. HFRX Convertible Arbitrage Index declined -0.76% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Fixed Income Credit Index posted a narrow decline of -0.18% while the HFRX MLP Index gained +1.76% through mid-month on continued demand for yield generating energy infrastructure partnerships.

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. Asia - Hedge fund manager Kyle Bass estimates China's foreign reserves below critical level[more]

    From Nasdaq.com: Investor Kyle Bass stepped up his attack on China's currency, arguing in an investor letter distributed Wednesday that the second-largest economy's foreign reserves are "already below a critical level." The comments mark the latest effort by hedge funds and other investors to raise

  2. Investing - Some hedge funds want to make subprime auto loans next big short, 11 hedge funds that are “all in” on the FANG stocks, Hedge funds short London luxury homes, Cynet raises $7 million from U.S. hedge fund[more]

    Some hedge funds want to make subprime auto loans next big short From Bloomberg.com: A group of hedge funds, convinced they have found the next Big Short, are looking to bet against bonds backed by subprime auto loans. Good luck finding a bank willing to do the trade. Money manage

  3. Investing - Hedge funds see selloff in European bank stocks as buying opportunity[more]

    From WSJ.com: The massive selloff in European bank stocks and bonds is overdone and presents a “phenomenal” buying opportunity, according to some of Europe’s top hedge-fund managers. Despite a 28% slump in European bank stocks this year, including a 38% fall in Deutsche Bank AG and a 34% drop in Soc

  4. Legal - Carlyle accused of fraud by ex-employee, Hedge funds win CDS breach of contract suit against Deutsche Bank, Hedge fund asks for OK on $27.5m Goldman CDO deal, SFO examines Barclays hedge fund profits[more]

    Carlyle accused of fraud by ex-employee From AI-CIO.com: A former portfolio manager claims he was fired for blowing the whistle on “crazy” and “irresponsible” investments. Carlyle Group has been sued by a former portfolio manager for one of its hedge funds, who accused the firm of “knowi

  5. Illiquid assets are all the rage for hedge funds[more]

    From Valuewalk.com: …Institutional investors are increasingly turning to illiquid assets and active management strategies to combat macroeconomic trends, anticipated market volatility and diverging monetary policy, according to a new survey by Blackrock. And this week, Bloomberg has reported that at