Sat, May 30, 2020
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Macro hedge fund saw strong performance in March, led by Macro CTA strategies

Wednesday, April 08, 2020

Laxman Pai, Opalesque Asia:

Macro hedge fund saw strong performance in March, led by Macro CTA strategies, tracked by the HFRI Macro: Systematic Diversified Index, which was up 2.9% in March.

The HFRI Macro (Total) Index gained +2.1 percent for the month, with significant contributions from quantitative, trend-following Macro CTA strategies.

CTA gains were attributed to trading long and short positions across fixed income, equity, currencies, metals, and energy commodities. Discretionary Commodity and Currency Macro strategies also gained for the month, with the HFRI Macro: Commodity Index returning +3.1 percent, while the HFRI Macro: Currency Index added +2.9 percent.

According to the report, fixed income-based Relative Value Arbitrage (RVA) strategies posted mixed gains in March on with long volatility exposures offsetting arbitrage spread widening.

The investable HFRI 500 Relative Value Index gained +0.7 percent driven by the HFRI 500 RVA: Volatility Index, which surged +8.9 percent.

The HFRI Relative Value (Total) Index declined by -3.6 percent, with credit multi-strategy funds posting a wide disparity in performance, resulting in the RVA: Multi-Strategy falling -3.3 percent.

HFRI Fund Weighted Composite Index down -5.9% for March

HFRI Fund Weighted Composite Index (HFR's proxy for the global hedge fund industry) was down -5.9% for March and -8.31% YTD, far outpacing the broad equity markets.

The HFRI 500 Hedge Fund Composite I......................

To view our full article Click here

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. Tiger Global tops the list US-based venture capital market[more]

    Laxman Pai, Opalesque Asia: Tiger Global Management holds on to its position as market-leader in US-based venture capital, said a study. According to Preqin, the closure of tech-focused Tiger Global Private Investment Partners XII in January means the New York-based firm has raised more than

  2. Study: Emerging market bond issuers take hit as global recession deepens, The coronavirus pandemic could cost the global economy a nightmarish $82tn over 5 years, a Cambridge study warns[more]

    Emerging market bond issuers take hit as global recession deepens Increasing credit stress evident amongst many high-yield EM non-financial corporates as coronavirus disruption takes its toll, says Moody's. 74 out of 106 rated EM sovereigns have a stable outlook as of 30 April 2020 (compa

  3. Investing: Singer bets on Europe, emerging markets, Britain's unhealthy appetite for financial risk in essential services, How Stan Druckenmiller shook up his portfolio[more]

    Singer bets on Europe, emerging markets From Investment Magazine: William Blair's Brian Singer is looking to invest in Europe and the emerging markets as the recovery from the global economic shutdown to contain the pandemic will likely take longer than what the market has priced in.

  4. PE/VC: How Covid-19 could reshape private equity fundraising, The private equity bet that coronavirus cut short[more]

    How Covid-19 could reshape private equity fundraising From Asian Investor: The pandemic looks may have led to greater use of remote capital-raising but might it also encourage investors to establish more overseas offices? The coronavirus outbreak has inevitably hit the amount of mo

  5. Investing: Millennium hedge fund ups bet against Bank of Ireland, Value rotation was the last thing big funds thought would happen, Al Gore's firm sold Amazon and Microsoft stock. Here's what it bought.[more]

    Millennium hedge fund ups bet against Bank of Ireland From Independent: US hedge fund Millennium International Management has raised its bet against Bank of Ireland's shares. It comes as Davy says 2020 will be a write-off for banks, with losses across Irish lenders of €4bn. M