Mon, Jul 6, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRX Global Hedge Fund Index fell -0.88% in July (+0.87% YTD)

Tuesday, August 05, 2014
Opalesque Industry Update - Global financial markets declined for the month of July as the US Federal Reserve Bank continued to taper stimulus measures, with equities pulling back from intra-month record levels into month end as commodities posted steep losses, credit spreads widened and Argentina defaulted on its debt for the 2nd time in 13 years.

Global equity markets posted mixed declines across most sectors and regions, with steep losses across small cap, Oil Services, Energy and developed European equities only partially offset by gains in Emerging Markets. European equity losses were led by declines in France, Germany, Italy and Russia, while Asian and Emerging Markets equities posted partially offsetting gains led by the Middle East, Brazil, China, Japan and Hong Kong.

Commodities posted steep losses on continued Fed tapering and expectations for excess agricultural harvest, with steep losses led by Natural Gas, Oil, Gold, Corn, Cotton, Hogs and Soybeans. Interest Rates were mixed on the Argentina default and continued Fed tapering, though the US curve flattened with rising yields in shorter dated maturities while long dated yields fell; European yields fell as high yield credit widened.

The US dollar posted gains for the month on safe haven buying, gaining against the Euro, Japanese Yen and British Pound Sterling, as well as against Chilean Peso, Swedish Krona, New Zealand Dollar and Russian Ruble. Hedge funds posted mixed performance as the HFRX Macro Index gain of +0.52% was offset by equity & credit declines, with the HFRX Equal Weighted Index declining -0.52%, while the HFRX Global Hedge Fund Index declined by -0.88%.

HFRX Macro Index posted a gain of +0.52% for the month of July, as Argentina defaulted on sovereign bonds, with positive contributions from Discretionary Fixed Income, FX and Emerging Markets strategies. Macro Discretionary strategies posted gains with contributions from Fixed Income and Developed Markets strategies.

The HFRX Emerging Markets Composite Index posted a gain of +0.39%, with gains concentrated in Emerging European and Asian equity exposure. HFRX Macro: Systematic Diversified Index posted a decline of -0.35% from mixed performance in fixed income, equity and currency exposures with short-term trend following managers outperforming medium-trend strategies.

HFRX Event Driven Index posted a decline of -0.96% for the month of July, with mixed contributions from Distressed/Restructuring managers offset by declines in Equity Special Situations and Merger Arbitrage strategies. HFRX Distressed Index declined -0.21% with contributions from restructurings in Energy sectors in the US offset by exposure to Financials. HFRX Merger Arbitrage Index declined -0.59% for the period, with mixed contributions from transactions in Southside Bank /OmniAmerican Bank, Rockwood/Albemarle, Time Warner, Hillshire/Pinnacle Foods and Tower Financial/Old National Bancorp. HFRX Special Situations Index posted a decline of -1.23%, with contributions from core positioning in American Realty, Hertz, Time Warner, Actavis, Innophos, Comcast, Astrazeneca and Athabasca Oil.

HFRX Relative Value Arbitrage Index posted a decline of -1.09% for the month of July as Argentina defaulted on sovereign bonds, with positive contributions from Convertible Arbitrage exposure offset by declines in Fixed Income and Credit Multi-Strategy exposures. The HFRX Convertible Arbitrage Index posted a gain of +0.06% for the month, as gamma, short equity exposure and volatility gains into month end offset credit losses. HFRX Fixed Income Credit Index and the HFRX Equity Hedge Index posted a decline of -1.55% for the month of July, with positive contributions from Market Neutral strategies offset by fundamental managers. HFRX Market Neutral Index gained +0.22%, with gains across factor-based models as well as fundamental and trading oriented strategies. HFRX Fundamental Value Index and the HFRX Fundamental Growth Index posted declines of -1.50% and -1.93%, respectively, with negative contributions from exposure to small cap global equity and large cap European exposure.

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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner