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HFRX Global Hedge Fund Index down -0.72% in November (-2.34% YTD)

Thursday, December 03, 2015
Opalesque Industry Update - Global financial markets posted mixed performance in November, as investors discounted the impact of both US Fed interest rate increases and ECB stimulus measures in coming months. Global equity markets also posted mixed performance as with gains across US, Europe and China, while other Asian and Emerging Markets posted declines; small cap & technology sectors led gains, while energy & commodity sensitive led declines.

In anticipation of US Fed interest rate increased, US bond yields increased across all maturities as the yield curve flattened led by increases in shorter dated maturities, while high yield credit widened. Commodities extended decline with additional sharp declines, led by Oil, Platinum, Gold, Silver and Wheat, while the US dollar gained in anticipation of higher US interest rate, with the Dollar hitting an nearly 13-year high against the Euro and a 64-month high against Swiss Franc. Hedge funds posted mixed performance for November with the HFRX Absolute Return Index declining -0.51% for the month, while the HFRX Global Hedge Fund Index posted a decline of -0.72%.

HFRX Macro/CTA Index posted a gain of +1.97% for November, from gains in quantitative, trend-following, systematic CTAs and Discretionary Fixed Income strategies. The HFRX Macro Systematic Diversified/CTA Index gained +2.54% as trend-following models benefitted from gains in the US Dollar and the continued declines in Energy, Precious Metals and Agricultural Commodities. Emerging Markets strategies also contributed to performance.

HFRX Equity Hedge Index posted a narrow gain of +0.04% for November as equity markets rose in the US, Europe and Japan, while Emerging Markets fell. The HFRX Fundamental Growth Index posted a gain of +1.23% from exposure to Asian equities only partially offset by Global Healthcare strategies. The HFRX Fundamental Value Index declined -0.39% from exposure to large-cap Financial and Energy sectors, partially offset by gains in Industrials. The HFRX Market Neutral Index posted a decline of -0.53% from mixed performance in mean reverting, factor based strategies and fundamental managers.

HFRX Event Driven Index posted a decline of -1.85% for November, as yields increased and high yield credit widened. The HFRX Merger Arbitrage Index gained +0.30% in November with core exposures to FNB/Metro Bancorp, Berkshire/Precision Castparts, Microsemi/PMC-Sierra and Chubb/ACE transactions. The HFRX Special Situations Index declined -1.38% from positioning in Perrigo, Altera, Time Warner, Diamond Resorts and Akorn. The HFRX Distressed Index posted a decline of -3.68% from exposure to the Energy, Consumer and Industrial sectors as credit spreads widened.

HFRX Relative Value Arbitrage Index posted a decline of -2.25% for November, as high yield credit and arbitrage deal spreads widened. The HFRX Convertible Arbitrage Index posted a decline of -1.12%, as declines in credit positions were partially offset by gains in implied volatility. The HFRX Multi-Strategy Index declined -2.31% for the period, with declines concentrated in Communications, Consumer and Industrial sectors.

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