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Alternative Market Briefing

Hedge funds survive November with wide dispersion resulting in flat average weighted performance

Monday, December 10, 2018

Laxman Pai, Opalesque Asia:

The HFRI Fund Weighted Composite Index posted a minor decline of -0.16% in November, as hedge funds experienced a mixed recovery from October declines in the month of November. Gains across arbitrage, credit and emerging markets were offset by exposures to energy and basic materials.

According to a report from Hedge Fund Research (HFR), the top decile of HFRI constituents posted an average gain of +5.4% for the month, while the bottom decile lost -6.6%.

Industry-wide performance was led by Arbitrage and Multi-Strategy exposures, including both fixed income-based Relative Value (RV) and Equity Multi-Strategy, as the HFRI Relative Value (Total) Index advanced +0.2% in November and leads all hedge fund strategies with a YTD return of +2.1%, said the the global hedge fund industry research report.

It said that Credit Multi-strategy and Volatility funds led RV sub-strategy performance for the month, with the HFRI RV: Multi-Strat Index gaining +1.13%, while the HFRI RV: Volatility Index added +1.06%.

Equity-focused hedge funds produced mixed performance in November, with wide exposure and sub-strategy dispersion within the Equity Hedge (EH) sector, as the HFRI Equity Hedge (Total) Index fell -0.07% for the month.

Fundamental Growth and Fundamental Value sub-strategies showed extreme divergence in November, with the HFRI EH: Fundamental Growth Index gaining +1.1%, while the HFRI EH: Fundamental Value Index fell -0.7%.

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