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HFRX Global Hedge Fund Index up 0.87% in November, 1.63% YTD

Saturday, December 03, 2016
Opalesque Industry Update - US equities surged in November in response to the surprise victory by Donald Trump and the Republicans in the US Presidential election. The US equity surge was led by small cap exposures, which posted the strongest monthly gains since October 2011; large cap exposures also posted strong gains led by Financials, Oil Services and Cyclicals. Global equities posted more muted & mixed performance in response to the US election, with gains in China, Japan and Russia offset by declines in UK, Italy, Spain and Brazil. US government bond yields also surged for the month as the US curve steepened led by price declines in longer dated maturities, also driving increases in European and Asian yields. The US Dollar also surged on higher US yields, with the Dollar posting sharp gains against the Mexican Peso, Brazilian Real and Japanese Yen. Energy commodities posted sharp gains, not only in response to the US election but an anticipated OPEC supply cut, with commodity gains led by Natural Gas, Oil and Copper.

Hedge funds posted gains for November 2016 with the HFRX Market Directional Index posting a gain of +1.83% and the HFRX Global Hedge Fund Index gaining +0.87%.

HFRX Event Driven Index posted a gain of +1.82% for November and +8.99% YTD, the strongest strategy so far this year, from gains in Special Situations equity and Distressed/Restructuring managers. The HFRX Special Situations Index posted gain of +1.89% for the month, +6.63% YTD, from core positioning in LinkedIn, Alibaba, St. Jude, Yahoo, Penn West, ClubCorp, Abbot Labs, Autoparts and Alere. The HFRX Distressed Index gained +1.77% for the period and +17.53% YTD, the top strategy within Event Driven so far, from exposure to the Energy/Basic Materials and Financial sectors. The HFRX Merger Arbitrage Index gained +0.49% with core exposures to CIBC/PrivateBancorp, Suffolk/People's United Financial and Danone/WhiteWave Foods transactions.

HFRX Equity Hedge Index posted a gain of +1.47% for November as US equity markets surged, while European and Asian markets were mixed and Latin American markets declined for the period. The HFRX Fundamental Value Index posted a gain of +3.19% from gains in US large-cap in the Financial, Consumer and Industrial sectors. The HFRX Market Neutral Index was basically unchanged for the period from mixed contributions from mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -2.00% from exposure to Emerging Markets, only partially offset by gains in Global Healthcare strategies.

HFRX Relative Value Arbitrage Index posted a gain of +0.45% for November from gains in Fixed Income and Yield Alternative strategies. Yield Alternative – Energy Infrastructure managers gained +5.97% as Energy rose for the month. The HFRX Multi-Strategy Index gained +0.51% from Global Credit managers, while the HFRX Convertible Arbitrage Index declined -0.62% as gains in volatility were offset by rising global yields.

HFRX Macro/CTA Index posted a decline of -0.69% for November from mixed performance of systematic trend-following managers. The HFRX Systematic Diversified CTA Index declined -0.34%, as Energy commodities rose sharply by month-end retracing earlier losses, Gold and Silver declined while Copper rallied, Grains posted declines and the USD gained against most currencies, except the British Pound Sterling.

Comments reference performance figures for November 30, 2016

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