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HFRU Hedge Fund Composite Index down -2.58% in January

Thursday, February 04, 2016
Opalesque Industry Update - Global financial markets posted sharp losses in January led by declines in Oil and global equities, though steep intra-month losses in both were narrowed by strong gains in final trading days of the month. Global equities posted steep declines for the month led by Biotechnology, Energy, Financial, Energy, Healthcare, small caps, China, Italy and Germany. Oil also posted steep losses for the month on investor concern regarding over supply, removal of Iran sanctions and weak demand from slowing Chinese economy, though losses were pared into month-end by strong gains in final trading days of the month.

Other commodities posted mixed performance, with gains in Gold, Silver and Lean Hogs offset by declines in Sugar, Copper and Cocoa. Interest rates fell on equity and commodity weakness, as high yield credit widened, the US yield curve steepened, the Bank of Japan lowered interest rates on the final trading day of the month. The US Dollar gained against the Chinese Reminbi, the British Pound Sterling and Russian Ruble while declined against the Japanese Yen. UCITS compliant Hedge Funds posted declines for January with the HFRU Hedge Fund Composite Index declining -2.45%.

HFRU Macro Index posted a decline of -0.42% for January from declines in Discretionary Fixed Income and Commodity strategies only partially offset by quantitative, trend-following, systematic CTAs and Volatility managers. Energy continued to decline during the month and the US Dollar strengthened against the Chinese Reminbi, the British Pound Sterling and Russian Ruble and declined against the Japanese Yen while equities ended the month with widespread losses.

HFRU Event Driven Index posted a decline of -1.48% for January from declines in Global Special Situations equity and Distressed/Restructuring strategies as high yield credit widened and equities posted broad declines. Merger Arbitrage managers posted mixed performance.

HFRU Relative Value Arbitrage Index posted a decline of -1.76% for January, as high yield credit and arbitrage deal spreads widened. Losses were concentrated in Yield Alternatives - Energy Infrastructure, Global Convertible and Credit strategies and Emerging Markets exposure, only partially offset by Volatility managers.

HFRU Equity Hedge Index posted a decline of -3.89% for January, as global equity markets experienced widespread losses across geographies and sectors. Declines were led by Emerging Markets, with concentration in China, Brazil and Turkey, while Global Healthcare exposure also experienced sharp declines, only partially offset by Market Neutral strategies.

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