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Laxman Pai, Opalesque Asia: Defensive Macro hedge funds and quantitative, trend-following CTA strategies posted gains in the volatile month of December as global equities and many commodities suffered steep losses.
According to a press release from Hedge Fund Research, Inc. (HFR), the HFRI Macro Index (asset weighted) gained +2.1% for December with positive contributions from both quantitative, trend-following strategies, complemented by other Macro strategies to lead HFRI strategy performance.
The HFRI Fund Weighted Composite Index (FWC) declined -1.97% for December, topping U.S. equities and most global/regional equity indices by over 700 basis points. This represents the largest relative outperformance since February 2009, as 93% of HFRI constituents beat the S&P 500 for the month.
Led by larger Macro hedge funds and credit multi-strategy funds, the HFRI Asset Weighted Composite Index (AWC) declined only -0.6 % in December, also topping the decline in U.S. equities, which ranged between -8.5 and -12.0% for the month; the HFRI AWC Index also posted a narrow decline of -0.8% for the full year of 2018. Driven by strong December performance, both the HFRI FWC and AWC indices outperformed US and global equities for the FY 2018, the strongest outperformance of equity markets for a calendar year since 2008.
HFRI Macro (Total) Index gained +1.0 %
The HFRI Macro (Total) Index gained +1.0% for the month with positive contributions from both quantitative,...................... To view our full article Click here
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