Opalesque Industry Update - Global financial markets posted mixed performance for the month of March, as investors discounted the impact of rising geopolitical tension and economic sanctions surrounding the annexation of Crimea by Russia. Global equity markets also posted mixed performance as US equities pulled back from record valuation levels on continued tapering of stimulus measures by US Federal Reserve and mixed forward guidance by corporations.|
US sector gains were led by Energy, Financials and Semiconductors, which offset declines in small cap, Biotechnology, Healthcare and Cyclical exposures. European equities were also mixed, with gains in Italy, Spain and the Netherlands offset by declines in the UK, Germany and Russia, while Asian equities were narrowly changed for the months, with declines in China and Hong Kong offset by gains in India and Singapore. US yields rose slightly as high yield credit tightened and the yield curve flattened, with shorter dated yields rising relative to longer dated; yields declined in Italy and Spain, though European yields were only modestly changed elsewhere.
Energy and Metals commodities posted broad based declines led by Copper, Silver and Natural Gas, while Agricultural commodities gained, led by Corn, Hogs, Sugar and Wheat. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, though declined against the Australian Dollar, New Zealand dollar and Brazilian Real. Hedge funds posted mixed performance with the HFRX Market Directional Index posting a gain of +0.19% and the HFRX Equal Weighted Strategies posting a gain of +0.03%,while the HFRX Global Hedge Fund Index posted a decline of -0.23%.
HFRX Event Driven Index posted a decline of -0.13% in March, with positive contributions from Distressed/Restructuring and Merger Arbitrage strategies offset by Equity Special Situations managers. HFRX Distressed Index posted a gain of +0.64% with contributions from restructurings across Technology, Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted a gain of +0.29%, with contributions from transactions in Facebook/Oculus VR, 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 -0.40%, with contributions from core positioning in American Realty, Hertz, Sensient Technologies, McKesson, Apple, Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.
HFRX Relative Value Arbitrage Index posted a decline of -0.18% in March with mixed contributions from Convertible Arbitrage and Multi-Strategy managers. HFRX Fixed Income Credit Index posted a gain of +0.43% on gains in European credit and Distressed exposures, while the HFRX MLP Index gained +2.04% on continued demand for yield generating energy infrastructure partnerships. HFRX Convertible Arbitrage Index posted a modest decline of -0.02% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Multi-Strategy Index declined -0.22%, as gains from Corporate Credit managers was offset by Global Fixed Income strategies.
HFRX Macro Index posted a decline of -0.22% in March with contributions from discretionary Currency, Fixed Income and Emerging Markets strategies offset by declines in systematic trend-following managers. HFRX Emerging Markets Index -0.32% with declines in Asian and select Emerging European equities; while discretionary fixed income exposure had a partially offsetting gain. HFRX Macro: Systematic Diversified Index declined -1.75% from exposure to Fixed Income, Commodity and Equity trend-following strategies.
HFRX Equity Hedge Index posted a decline of -0.37% in March with gains in market neutral strategies offset by mixed performance across directional strategies. HFRX Market Neutral Index gained +0.63%, with gains across both factor-based models and fundamental, trading oriented strategies. HFRX Fundamental Value Index declined -0.25% with positive contributions from exposures to large cap Financials and Consumer sectors offset by declines in European equities. HFRX Fundamental Growth Index posted a decline of -0.88% with positive contributions from Global Healthcare and Consumer sectors offset by declines in Japanese and Emerging Asian exposure.