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Thursday, April 17, 2014

HFRU Indices Mid-April 2014 performance notes

Global financial markets posted declines through mid-April, as asset volatility increased, geopolitical tension over Ukraine and Russia continued to escalate and the NASDAQ Composite entered a market correction phase. US equity market declines were led by Technology, Biotechnology, Healthcare, Financials, Small Cap and Growth exposures, which were only partially offset by gains in Energy and Commodity related exposures. European equities also posted declines led by Russia, Germany, Switzerland and the Netherlands, while Asian equities posted mixed performance with gains in China, Hong Kong and Emerging Asia partially offset by declines in Japan. US treasury yields fell through mid-April as the curve flattened led by gains longer dated maturities; yields also fell across most European bonds, as Greece was able to complete a 3 Billion Euro bonds offering. The US dollar fell against most currencies, declining against the British Pound Sterling, Euro and Japanese Yen, while also declining against the Brazilian Real and Korean Won, though Russian Ruble continued to slide against the Dollar. Energy & Metals Commodities posted gains through mid-April led by Oil, Natural Gas, Aluminum and Gold, while Agricultural Commodities declined as gains in Coffee and Soybeans were offset by Sugar, Cotton & Hogs. UCITS compliant Hedge funds posted declines with the HFRU Hedge Fund Composite Index declining -0.51% through mid-April.

HFRU Relative Value Arbitrage Index posted a narrow decline of -0.03% through mid-April, with positive contributions from exposure to Fixed-Income and Asset-Backed strategies offset by declines in Global Convertible and Multi-Strategy managers.

HFRU Macro Index posted a modest decline of -0.12% through mid-April, with positive contributions from commodity strategies offset by quantitative, trend following CTA and European equity strategies.

HFRU Event Driven Index posted a decline of -0.45% through mid-April, with negative contributions from European and US Equity Special Situations and Global Merger Arbitrage managers only partially offset by gains in hedged credit strategies.

HFRU Equity Hedge Index posted a decline of -1.13% through mid-April, with losses concentrated in exposure to European, Russian, Healthcare and Technology strategies only partially offset by exposure to Market Neutral, Turkey, Brazil and MENA strategies.

Comments reflect performance figures as of April 16, 2014.

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HFRX Indices Mid-April 2014 performance notes

Global financial markets posted declines through mid-April, as asset volatility increased , geopolitical tension over Ukraine and Russia continued to escalate and the NASDAQ Composite entered a market correction phase. US equity market declines were led by Technology, Biotechnology, Healthcare, Financials, Small Cap and Growth exposures, which were only partially offset by gains in Energy and Commodity related exposures. European equities also posted declines led by Russia, Germany, Switzerland and the Netherlands, while Asian equities posted mixed performance with gains in China, Hong Kong and Emerging Asia partially offset by declines in Japan. US treasury yields fell through mid-April as the curve flattened led by gains longer dated maturities; yields also fell across most European bonds, as Greece was able to complete a 3 Billion Euro bonds offering. The US dollar fell against most currencies, declining against the British Pound Sterling, Euro and Japanese Yen, while also declining against the Brazilian Real and Korean Won, though Russian Ruble continued to slide against the Dollar. Energy & Metals Commodities posted gains through mid-April led by Oil, Natural Gas, Aluminum and Gold, while Agricultural Commodities declined as gains in Coffee and Soybeans were offset by Sugar, Cotton & Hogs. Hedge funds posted declines with the HFRX Global Hedge Fund Index declining -0.91% through mid-month, while the HFRX Absolute Return Index posted a decline of -0.31%.

HFRX Relative Value Arbitrage Index posted a decline of -0.33% through mid-April, with mixed contributions from Multi-Strategy and Convertible Arbitrage managers. The HFRX Multi-Strategy Index posted a narrow decline of -0.12% with mixed contributions from Credit, Equity and Commodity strategies. HFRX Convertible Arbitrage Index declined -1.29% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Fixed Income Credit Index posted a decline of -0.42% while the HFRX MLP Index gained +1.65% through mid-month on continued demand for yield generating energy infrastructure partnerships.

HFRX Event Driven Index posted a decline of -0.49% through mid-April, with positive contributions from Merger Arbitrage strategies offset by declines in Equity Special Situations and Distressed/Restructuring managers. HFRX Merger Arbitrage Index posted a gain of +0.10%, with positive contributions from transactions in Facebook/Oculus VR, Suntory/Beam, Actavis/Forest Labs, ATMI/Entegris, and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.54%, with contributions from core positioning in American Realty, Hertz, Lamar, McKesson, Sensient Technologies, Vivendi and Athabasca Oil. HFRX Distressed Index declined -0.38% from restructurings across Consumer and Communications sectors in the US.

HFRX Macro Index posted a decline of -0.56% through mid-April, as volatility in Emerging Markets and Commodities increased, Russian equities fell sharply and the Rubble continued to decline on uncertainty over Ukraine. HFRX Macro: Systematic Diversified Index and HFRX Emerging Markets Index declined -0.73% and -1.86%, respectively, with contributions from equities and currencies.

HFRX Equity Hedge Index posted a decline of -2.08% through mid-April, with gains in Equity Market Neutral only partially offsetting declines in directional strategies. HFRX Market Neutral Index posted a gain of +0.12%, with positive contributions across factor-based models as well as fundamental and trading oriented strategies. HFRX Fundamental Value Index declined -2.03% with declines concentrated in exposures to European and Financials equities. HFRX Fundamental Growth Index posted a decline of -2.53% from exposure to European, Emerging Asia and Global Healthcare small-cap equities.

Comments reference performance as published through April 16, 2014.

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Monday, April 7, 2014

HFRI Indices- March 2014 performance notes

HEDGE FUNDS CONCLUDE VOLATILE 1Q14 WITH MIXED PERFORMANCE IN MARCH
Macro losses offset Relative Value gains to end quarter; RVA, Event Driven top equity markets, lead all hedge fund strategies through 1Q14

 
CHICAGO, (April 7, 2014) – Hedge funds posted mixed performance in March as investor uncertainty over secular unrest in Ukraine and Syria, as well as mixed macroeconomic outlooks for China, Europe and the U.S., contributed to increased volatility across equity, currency, commodity and fixed income markets. Hedge funds posted a narrow decline for the month, with the HFRI Fund Weighted Composite (FWC) Index falling -0.3 percent, as losses in Macro and CTA strategies offset gains in Relative Value Arbitrage strategies, according to data released today by HFR®, the established global leader in indexation, analysis and research for the global hedge fund industry.  For the first quarter, the HFRI FWC gained +1.1 percent, with a strong February gain offsetting declines in both January and March.
March gains were led by fixed income based Relative Value Arbitrage strategies, with the HFRI Relative Value Index gaining +0.6 percent for the month and +2.4 percent for 1Q14, leading all hedge fund strategies in the quarter. With positive performance in each month of the quarter, Relative Value Arbitrage strategies have posted gains in 55 of 63 months since January 2009, with an average annualized gain of +10.7 percent over that period. While all sub-strategies posted gains for March, gains were led by Sovereign and Asset Backed Strategies, with the HFRI RV: Sovereign Index gaining +1.1 percent and the HFRI RV: Asset Backed Index up +1.3 percent. HFRI RV: Yield Alternative Index gained +1.0 percent for the month and +3.7 percent for 1Q14, while HFRI RV: Volatility Index gained +0.5 percent in March and +2.0 for 1Q14.
Event Driven strategies extended strong 2013 performance through 1Q14, despite posting a narrow decline for March. The HFRI Event Driven Index declined -0.1 percent in March but gained +1.8 percent for the quarter, led by a continuation of the powerful M&A, IPO and shareholder activist trends that dominated 2013. The HFRI ED: Activist Index gained +2.1 percent in March and +3.3 percent for 1Q14, the leading area of ED performance, while the HFRI ED: Distressed Index and Credit Arbitrage strategies gained +2.3 and +2.7 percent, respectively, for 1Q14. The HFRI: ED Special Situations Index gained +1.7 percent for 1Q14, despite posting a decline of -0.5 percent for March.
The HFRI Equity Hedge Index posted gain of +1.4 percent for 1Q14 despite a decline of -0.2 percent for March. Most Equity Hedge sub-strategies were narrowly changed for March, led by a gain of +0.3 for the HFRI EH: Energy/Basic Materials Index, while HFRI Quantitative Directional Index posted the weakest performance with a decline of -0.8 percent. For the 1Q14, funds specializing in Technology and Energy led EH performance, with the HFRI EH: Technology/Healthcare Index gaining +5.7 percent, and the HFRI EH: Energy/Basic Materials Index up +6.0 percent for the quarter.
Macro strategies were the only area of hedge fund performance to post a decline for 1Q14, with a March drop of –1.1 percent for the HFRI Macro Index offsetting February gains and bringing first quarter performance to a decline of -0.5 percent. The HFRI Macro: Currency Index gained +0.74 percent for March, leading Macro sub-strategy performance for the month, while HFRI Macro: Commodity Index led Macro sub-strats for the first quarter with a gain of +2.4 percent.  Quantitative, trend following CTA strategies led declines for both the month and the quarter, with the HFRI Macro: Systematic Diversified/CTA Index falling -1.9 percent for March and -1.8 percent for 1Q14.
“Hedge funds posted gains for the first quarter, effectively navigating volatility from macroeconomic, geopolitical and corporate sources despite escalation of international tension regarding Russia’s annexation of Crimea and continued commitment by the US Federal Reserve to deliberate extraction of stimulus measures, impacting not only the US but the global economy,” stated Kenneth J. Heinz, President of HFR. “The choppy financial market environment of 1Q14 contrasts sharply with the equity beta driven gains for 2013, contributing to an increased dispersion of performance and increased traction for hedge fund strategies offering low correlation to equity markets, including not only Event Driven and RV Arbitrage, but also Currency, Commodity, Volatility, and Technology strategies. Hedge fund investors continue to actively position in strategies offering positive optionality inherent in specialized, focused exposures which allow them to participate in continued gains across these asset classes, but also afford portfolio protection from rising yields, credit deterioration and equity corrections which may occur through 2014.”
 

Thursday, April 3, 2014

HFRU Indices: March 2014 Performance notes

Global financial markets posted mixed performance for the month of March, as investors discounted the impact of rising geopolitical tension and economic sanctions surrounding the annexation of Crimea by Russia. Global equity markets also posted mixed performance as US equities pulled back from record valuation levels on continued tapering of stimulus measures by US Federal Reserve and mixed forward guidance by corporations. US sector gains were led by Energy, Financials and Semiconductors, which offset declines in small cap, Biotechnology, Healthcare and Cyclical exposures. European equities were also mixed, with gains in Italy, Spain and the Netherlands offset by declines in the UK, Germany and Russia, while Asian equities were narrowly changed for the months, with declines in China and Hong Kong offset by gains in India and Singapore. US yields rose slightly as high yield credit tightened and the yield curve flattened, with shorter dated yields rising relative to longer dated; yields declined in Italy and Spain, though European yields were only modestly changed elsewhere. Energy and Metals commodities posted broad based declines led by Copper, Silver and Natural Gas, while Agricultural commodities gained, led by Corn, Hogs, Sugar and Wheat. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, though declined against the Australian Dollar, New Zealand dollar and Brazilian Real. UCITS compliant Hedge funds posted declines with the HFRU Hedge Fund Composite Index posting a modest decline of -0.15% in March.

HFRU Equity Hedge Index posted a decline of -0.21% in March, with positive contributions from regional exposures to Turkey and Latin American equities offset by declines concentrated in Russian, Chinese and Healthcare exposure.

HFRU Event Driven Index posted a decline of -0.59% in March, with contributions from Emerging Markets Fixed Income exposures which were offset by declines in Global Merger Arbitrage and European Equity Special Situations strategies.

HFRU Macro Index posted a decline of -0.28% in March as exposure to systematic trend-following managers and Commodity – Metals led to declines which were only partially offset by Multi-Strategy and Agricultural commodities strategies.

HFRU Relative Value Arbitrage Index posted a gain of +0.12% in March, with positive contributions from exposure to Emerging Markets Fixed Income and Asset-Backed managers.

Comments reference performance as posted on April 1, 2014

www.hfru.eu

HFRX Indices: March 2014 Performance Notes


Global financial markets posted mixed performance for the month of March, as investors discounted the impact of rising geopolitical tension and economic sanctions surrounding the annexation of Crimea by Russia. Global equity markets also posted mixed performance as US equities pulled back from record valuation levels on continued tapering of stimulus measures by US Federal Reserve and mixed forward guidance by corporations. US sector gains were led by Energy, Financials and Semiconductors, which offset declines in small cap, Biotechnology, Healthcare and Cyclical exposures. European equities were also mixed, with gains in Italy, Spain and the Netherlands offset by declines in the UK, Germany and Russia, while Asian equities were narrowly changed for the months, with declines in China and Hong Kong offset by gains in India and Singapore. US yields rose slightly as high yield credit tightened and the yield curve flattened, with shorter dated yields rising relative to longer dated; yields declined in Italy and Spain, though European yields were only modestly changed elsewhere. Energy and Metals commodities posted broad based declines led by Copper, Silver and Natural Gas, while Agricultural commodities gained, led by Corn, Hogs, Sugar and Wheat. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, though declined against the Australian Dollar, New Zealand dollar and Brazilian Real. Hedge funds posted mixed performance with the HFRX Market Directional Index posting a gain of +0.19% and the HFRX Equal Weighted Strategies posting a gain of +0.03%,while the HFRX Global Hedge Fund Index posted a decline of -0.23%.

 
HFRX Event Driven Index posted a decline of -0.13% in March, with positive contributions from Distressed/Restructuring and Merger Arbitrage strategies offset by Equity Special Situations managers. HFRX Distressed Index posted a gain of +0.64% with contributions from restructurings across Technology, Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted a gain of +0.29%, with contributions from transactions in Facebook/Oculus VR, Suntory/Beam, Actavis/Forest Labs, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.40%, with contributions from core positioning in American Realty, Hertz, Sensient Technologies, McKesson, Apple, Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.

 
HFRX Relative Value Arbitrage Index posted a decline of -0.18% in March with mixed contributions from Convertible Arbitrage and Multi-Strategy managers. HFRX Fixed Income Credit Index posted a gain of +0.43% on gains in European credit and Distressed exposures, while the HFRX MLP Index gained +2.04% on continued demand for yield generating energy infrastructure partnerships. HFRX Convertible Arbitrage Index posted a modest decline of -0.02% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Multi-Strategy Index declined -0.22%, as gains from Corporate Credit managers was offset by Global Fixed Income strategies.

 
HFRX Macro Index posted a decline of -0.22% in March with contributions from discretionary Currency, Fixed Income and Emerging Markets strategies offset by declines in systematic trend-following managers. HFRX Emerging Markets Index -0.32% with declines in Asian and select Emerging European equities; while discretionary fixed income exposure had a partially offsetting gain. HFRX Macro: Systematic Diversified Index declined -1.75% from exposure to Fixed Income, Commodity and Equity trend-following strategies.

 
HFRX Equity Hedge Index posted a decline of -0.37% in March with gains in market neutral strategies offset by mixed performance across directional strategies. HFRX Market Neutral Index gained +0.63%, with gains across both factor-based models and fundamental, trading oriented strategies. HFRX Fundamental Value Index declined -0.25% with positive contributions from exposures to large cap Financials and Consumer sectors offset by declines in European equities. HFRX Fundamental Growth Index posted a decline of -0.88% with positive contributions from Global Healthcare and Consumer sectors offset by declines in Japanese and Emerging Asian exposure.
 
 

Tuesday, March 18, 2014

HFRX Daily Indices Mid-March 2014 Performance Update

Financial markets posted declines through mid-March, as geopolitical uncertainty associated with the Ukraine and the Crimean Peninsula increased, while weak economic data on Chinese growth also raised investor concerns. Global equity markets declined through mid-March, with declines across most regional and sector exposures led by Emerging Markets, with the Russian equity market falling over -16% through mid-March. Declines in European equities were led by declines in Germany, France, UK, Switzerland and the Netherlands, while Asian equity market declines were led by Hong Kong, Korea, Japan and China. US equities also posted declined through mid-March, with sector weakness led by Technology, Energy, Telecom and Healthcare, which were partially offset by sharp gain in Commodity sensitive equities. The Russian Ruble collapsed against the US dollar, falling to historical record lows; the US Dollar posted mixed performance against other currencies, rallying to an 4-week high against the British Pound Sterling while falling to a 28-month low against the Euro. The US Dollar also declined against the Indonesian Rupiah, Australian Dollar and New Zealand dollar. Global fixed income yields were narrowly unchanged through mid-month, with small declines across UK Gilts, German Bunds, France and Spain, with investment grade credit spreads widening as overall asset volatility increased sharply. Commodity prices were mixed through mid-month, with gains in Gold, Wheat, Coffee and Live Hogs offset by declines in Copper, Oil and Natural Gas. Hedge funds posted declines with the HFRX Global Hedge Fund Index declining -0.48% through mid-month, while the HFRX Absolute Return Index posted a narrow decline of -0.07%.

HFRX Equity Hedge Index posted a decline of -0.39% through mid-March with tactical short exposure mitigating volatility. HFRX Market Neutral Index declined -0.13%, with gains across fundamental, trading oriented strategies offset by declines in factor-based models, as volatility increased and dispersion widened. HFRX Fundamental Value Index declined -0.32% with positive contributions from exposures to Financials and Consumer sectors offset by declines in European small cap equities. HFRX Fundamental Growth Index posted a decline of -0.63% with positive contributions from Global Healthcare offset by declines in Emerging Asian exposure.

HFRX Event Driven Index posted a decline of -0.35% through mid-March, with positive contributions from Distressed/Restructuring managers offset by Equity Special Situations strategies. HFRX Distressed Index posted a gain of +0.14%with contributions from restructurings across Technology, Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted a modest gain of +0.04%, with mixed contributions from transactions in Suntory/Beam, Actavis/Forest Labs, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.53%, with contributions from core positioning in American Realty, Hertz, Time Warner, Sensient Technologies, Apple, Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.

HFRX Macro Index posted a decline of -0.80% through mid-March as EM volatility increased, Russian equities fell sharply and the Rubble collapsed on uncertainty over Ukraine. HFRX Macro: Systematic Diversified Index and HFRX Emerging Markets Index declined -1.39% and -1.49%, respectively, from losses in equities and currencies; while discretionary fixed income exposure had a partially offsetting gain.

HFRX Relative Value Arbitrage Index posted a decline of -0.46% through mid-March with mixed contributions from Convertible Arbitrage offset by Multi-Strategy managers. HFRX Convertible Arbitrage Index declined -0.76% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Fixed Income Credit Index posted a narrow decline of -0.18% while the HFRX MLP Index gained +1.76% through mid-month on continued demand for yield generating energy infrastructure partnerships.

Comments reference performance as published through March 17, 2014.

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Friday, March 7, 2014

HFRI Monthly Indices perfromance notes: February 2014

EQUITY, COMMODITY HEDGE FUNDS LEAD STRONG FEBRUARY PERFORMANCE GAINS

Energy, Technology, Distressed and Growth among top performers;
All strategies positive as HFRI posts best gain since January 2013


CHICAGO, (March 7, 2014) - Hedge funds posted strong gains in February as equity, commodity and fixed income markets recovered from the prior month's volatility, despite continued turbulence in Emerging Markets. The HFRI Fund Weighted Composite Index advanced +2.1 percent for the month, the best monthly gain in over a year, benefitting from significant and broad-based contributions across a diverse range of strategies, according to data released today by HFR®, the established global leader in the indexation, analysis and research of the global hedge fund industry. The HFRI Fund of Funds Index gained +1.8 percent for the month, also the strongest gain since January 2013.

Industry gains were led by Equity Hedge strategies, with the HFRI Equity Hedge Index climbing +2.9 percent in February, the best monthly performance since the Index returned +2.51 percent in January 2013. Within EH sub-strategies, the volatile HFRI EH: Energy/Basic Materials Index gained +4.4 percent, its best performance since January 2012. The HFRI EH: Technology/Healthcare Index extended the strong recent performance, up +4.3 percent; the Index led all strategies with a gain of +22.5 percent in 2013 and leads 2014 with a YTD return of +7.0 percent. The HFRI Fundamental Growth Index gained +3.2 percent for the month, while the HFRI Fundamental Value Index was up +2.6 percent.

Benefitting from continuing improvement of investor risk tolerance and a strong transactional M&A environment, Event Driven funds also posted strong gains in February, led by Distressed/Restructuring. The HFRI Event Driven Index was up +2.1 percent, posting its 18th gain in the past 21 months, while the HFRI ED: Distressed Index climbed +3.0 percent for the month, the 19th gain in the past 21 months. Activist, Merger Arbitrage and Special Situations funds also contributed to ED performance for the period.

Strong performance across Commodity, Emerging Markets, CTA and Discretionary Macro strategies drove the HFRI Macro Index to a gain of +1.4 percent for the month, its best performance since July ’12. The HFRI Macro: Commodity Index gained +2.7 percent for the period, led by contributions across Energy and Agriculture exposures. The HFRI Emerging Markets Index gained +2.6 percent, led by regional exposures to the Middle East and recovery in funds focused on Latin America, with the HFRI EM: Latin America Index up +3.2 percent for the month. The HFRI Macro Discretionary Index gained +1.7 percent, the strongest gain since January ’13, while the HFRI Systematic Diversified Index advanced +1.6 percent, the strongest gain since April '13.

Fixed income based Relative Value strategies also posted gains for the month, with the HFRI Relative Value Arbitrage Index adding +1.2 percent for the month, the 53rd gain in the past 62 months. RVA gains were led FI: Corporate strategies, with the HFRI FI: Corporate Index gaining +1.4 percent, though all RVA sub-strategies has positive contributions to Index performance for the month.

"The sharp reversal of investor risk tolerance from the January bottom contributed to strong performance gains in February across a broad range of strategies which categorically exhibit high levels of volatility, including commodities, emerging markets, energy, technology and distressed bonds," stated Kenneth J. Heinz, President of HFR. "In contrast to the powerful equity beta trend which dominated 2013, the EM-centric volatility which has characterized early 2014 has contributed to an opportunity-rich environment for funds which have the fundamental expertise and trading acumen to monetize these shifting volatility paradigms. In this way, hedge funds comprise a sophisticated portfolio mechanism for investors to access these volatile areas and a valuable portfolio complement to traditional exposures for institutional investors."

Comments reference Flash Update performance figures as posted on March 7, 2014.

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