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Hennessee: Hedge funds lost -0.34% in November

Thursday, January 10, 2019
Opalesque Industry Update - Hennessee Group LLC announced today that the Hennessee Hedge Fund Index decreased -0.34% for the month (+0.13% YTD), while the S&P 500 was up +1.80% (+3.50% YTD), the Dow Jones Industrial Average increased +1.7% (+2.71% YTD), and the NASDAQ Composite Index gained +0.34% (+6.37% YTD). Bonds were positive for the month, as the Barclays Aggregate Bond Index increased by +0.60% (-1.81% YTD).

The top three strategies for the month were Latin America (+1.64%), Event Driven (+1.59%) and Convertible Arbitrage (+1.02%). While, the bottom three strategies for the month were Short Biased (-3.94%), Distressed (-3.31%) and Macro (-1.45%). For the year, Short Biased (+20.71%) leads all strategies while Distressed (-22.05%) brings up the rear.

Equity long/short hedge funds were negative for the month, as the Hennessee Long/Short Equity Index declined -0.51% (+1.26% YTD). The better performing sectors were Healthcare (+5.76%), Materials (+5.33%) and Industrials (+4.40%). While underperforming sectors were Information Technology (-3.70%), Utilities (-1.52%) and Telecommunication Services (+0.29%).

The Hennessee Arbitrage/Event Driven Index increased +0.45% for the month (+0.16% YTD). The Barclays Aggregate Bond Index increased +0.60% for the month (-1.81% YTD) as interest rates increased for the month. The Merrill Lynch High Yield Master II Index increased +11.19% for the month, and high yield spreads increased 48 basis points to end the month 429 basis points over treasuries. The Hennessee Distressed Index was negative for the month by -3.31% (-22.05% YTD).

The Hennessee Merger Arbitrage Index increased +0.95% for the month (+3.77% YTD). The MSCI ACWI Index increased +1.30% (-4.32% YTD) and the MSCI EAFE Index decreased -0.31% (-11.87% YTD). The Hennessee International Index decreased -0.83% for the month (-4.77% YTD). The MSCI Emerging Market Index increased +4.01% for the month (-14.13% YTD), while hedge fund managers outperformed the index, as the Hennessee Emerging Market Index decreased -1.10% for the month (+9.37% YTD).

The Hennessee Global/Macro Index decreased -0.93% for the month (-1.09% YTD). The Hennessee Macro Index decreased -1.45% for the month (-1.03% YTD). Fixed income managers were positive for the month with the 10-Year U.S. Treasury ending the month at +3.01%, down 14 basis point from +3.15% in the previous month. WTI oil decreased by -22.25% in November while natural gas decreased by -1.74%.

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