Fri, Sep 17, 2021
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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.

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
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. SPACs: The fall of the SPAC market has digital media companies in disagreement about best path forward, Cannae Holdings: SPAC bloodbath provides a good entry point, British car startup Cazoo raises $1bn from SPAC merger, Europe's incoming SPAC boom will create a demand for talent[more]

    The fall of the SPAC market has digital media companies in disagreement about best path forward From CNBC: The digital media industry has reached a strategic crossroads. Earlier this year, special purpose acquisition vehicles (SPACs) appeared to be the long-awaited savior of digital me

  2. Property: Real estate's new moneymaker is not design-driven, it's alternative, Two Sigma building quant tools to hunt real estate bargains[more]

    Real estate's new moneymaker is not design-driven, it's alternative From Forbes: There has been a recent shift of attention in the real estate market as to the types of investments which make the strongest returns. In the past, it's always been a combination of good design, prim

  3. PE/VC: Private equity GPs, LPs alike working on diversity and inclusion, Chinese regulator vows to crack down on private equity, venture capital funds, The VC playbook for portfolio companies: learning from the Covid-19 crisis[more]

    Private equity GPs, LPs alike working on diversity and inclusion From PIonline.com: Private equity general partners and limited partners are doing more to increase diversity in private markets, according to a report released Tuesday by the Institutional Limited Partners Association.

  4. PE/VC: Private equity continues to lead fund closings, Venture capital firms are fighting to throw money at cleantech[more]

    Private equity continues to lead fund closings From PIonline.com: Among private fund closings, private equity funds have led the pack starting in 2011, based on data collected by Pensions & Investments. During those years, private equity's share has ranged from 56% to 72% of the total

  5. PE/VC: Climate tech is hot, but VCs can't forget about water, Five top trusts to tap into the private equity boom[more]

    Climate tech is hot, but VCs can't forget about water From Crunch Base: "It is unequivocal that human influence has warmed the atmosphere, oceans, and land." These fiery words come from the latest landmark U.N. report detailing intensifying, universal climate change impacts. They cover