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Alternative Market Briefing

Macro hedge funds surge in August as global equities decline

Tuesday, September 10, 2019

Laxman Pai, Opalesque Asia:

Macro hedge funds surged in August while the broader industry posted mixed performance as equity markets declined while the global supply of negative-yielding bonds swelled to over $16 trillion, with gains led by both fundamental and quantitative Macro strategies.

The HFRI Fund Weighted Composite Index posted a narrow gain of +0.05% for the month, as gains in Macro strategies were offset by declines across Equity Hedge, Event-Driven, and RVA strategies, as reported by HFR.

The August gain extends the HFRI record Net Asset Value (NAV) to 14,439, the 3rd consecutive record level. The HFRI 500 Fund Weighted Composite Index, an investible index of 500 leading hedge funds, declined -0.45% in August.

Risk Premia produced strong gains across trend-following/momentum strategies in August, led by the HFR BSRP Multi-Asset Momentum Index, which gained +8.0 % for the month, bringing YTD performance to +44.8%.

Sub-strategy gains in Risk Premia were driven primarily by trends in rates and precious metals, with the HFR BSRP Commodities Momentum Index surging +20.5% and the HFR BSRP Rates Momentum Index adding +7.6%.

Risk Parity strategies also advanced for the month, with the HFR Risk Parity (Volatility 15) Index gaining +1.5%, bringing the YTD gain to +26.4%.

HFRI Macro (Total) Index up +10.5% leading all hedge fund strategies

Macro strategies led HFRI performance in August, as interest rates fell sharply and the s......................

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