HFRX Daily Indices Mid-October 2013 Performance Update

Global equity markets posted gains through mid-October, recovering early-month losses through mid-month as financial markets attempted to discount the impact of US fiscal budget impasse, including both the possibilities for resolution, as well as the consequences of failure to resolve. Gains were steady across US caps and sectors, with leadership from Healthcare, Technology and Oil Services. European equities also posted gains led by Spain, Russia and Italy, while Asian equity gains were led by China, India and the Philippines; Emerging Markets were led by gains across the BRIC economies. US yield posted modest increase as some institutions reduced holdings for short dated treasuries on increased default risk, government bond yields were modestly higher across UK Gilts, France, German Bunds, though yields declined across Italy and Spain; though both were narrowly changed, high yield credit tightened while investment grade spreads widened through mid-month. The US dollar traded in a narrow range through mid-month, essentially unchanged against the Euro & Japanese Yen, gaining against the British Pound Sterling while falling against the Brazilian Real & Australian Dollar. Oil & Natural Gas gained through mid-month while Gold & Platinum declined. Agricultural commodities also traded in a narrow range with trading volumes low as a result of the US government shutdowns limiting the release of many reports, gains in Sugar were offset by declines in Lean Hogs. Hedge funds posted gains through mid-month with the HFRX Global Hedge Fund Index posting a gain of +0.50%, including a gain of +0.39% on October 10th, the largest 1 day gain in almost 2 years, while the HFRX Market Directional Index rose +1.07%.

HFRX Equity Hedge Index posted a gain of +0.97% through mid-October, with gains across Growth, Value and Market Neutral exposures. HFRX Fundamental Value Index rose +1.01% with gains concentrated in European and US large-cap equity, the Index posted a one day gain of +0.85% on October 10th, the largest one day gain since January 2013. HFRX Fundamental Growth Index gained +0.93%, with contributions from exposure to Emerging Asia and small cap US. HFRX Market Neutral Index gained +0.78% with gains as factor-based & trading oriented model captured powerful mean reverting trends.

HFRX Event Driven Index posted a gain of +0.64% through mid-October, led by gains in Special Situations and Merger Arbitrage strategies. HFRX Special Situations Index gained +0.82% for the month, with specific contributions from core positioning in Ferro, Chemtura, Tribune Co., Time Warner, AMC, Hertz, Dish Network, Elan, Dell, Apple, Verizon and Kabel. HFRX Merger Arbitrage Index posted a gain of +0.46%, with contributions from transactions in American Safety/Fairfax, Akorn/Hi-Tech Pharmacal, FNB/BCSB Bancorp, Verizon/Vodafone, Koch/Molex and Thermo Fisher/Life Technologies. HFRX Distressed Index gained +0.17% for the period with contributions from various restructurings across Communications, Energy and Financial sectors.

HFRX Macro Index posted gain of +0.39% through mid-October, with contributions of Currency, Emerging Markets and Fixed Income strategies. HFRX Emerging Markets Index posted a gain of +0.93% with positive contributions from Emerging Asian and Currency strategies. The HFRX Macro: Systematic Diversified Index was essentially unchanged through mid-month, with mixed contributions from equities, fixed income and commodity exposures.

HFRX Relative Value Arbitrage Index posted a modest decline of -0.01% through mid-October as yields rose as investors reduced holdings of short dated treasury securities on continued market uncertainty related to the raise of the debt ceiling and the government shutdown. HFRX Convertible Arbitrage Index gained +0.38% on high yield credit tightening, while the HFRX Fixed Income Credit Index gained +0.26% through mid-month.


Comments reference performance as published through October 14, 2013.

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UCITS HFRU Indices: Mid-October Performance Update

UCITS compliant Hedge funds posted gains through mid-October, with the HFRU Hedge Fund Composite Index gaining +0.48% through mid-October.

• HFRU Equity Hedge Index posted a gain of +0.88% through mid-October, with positive contributions from Emerging Markets with gains concentrated in India, Brazil, China, Emerging Europe and Turkey equity offset by declines in Western Europe and Renewable Energy exposure.
  
• HFRU Event Driven Index posted a gain of +0.47% through mid-October, with positive contributions from European and Asian Equity Special Situations, Merger Arbitrage strategies and Emerging Markets credit exposure.
  
• HFRU Relative Value Arbitrage Index posted a gain of +0.22% through mid-October, with gains in Multi-Strategy, Asset-Backed, Emerging Markets, Convertible Arbitrage and Real Estate strategies.
  
• HFRU Macro Index posted a gain of +0.16% through mid-October, with positive contributions from Emerging Market and Global Discretionary strategies which were offset by declines in Commodity Metals exposure.
  
  

Comments reflect performance figures as of October 14, 2013.

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Macro Currency Funds Tumble

Currency funds are down 1.68% this year, after losing 1.1% last year and dropping 3.2% in 2011, according to data-tracker HFR. Assets in hedge-fund strategies dedicated to currency trading have fallen to $21.6 billion, down nearly 50% from a peak of $40.4 billion in 2007.

More information on this topic was recently published in the Wall Street Journal:

FX Concepts Closing Asset-Management Business

The investor retreat from the once-lucrative currency-trading arena passed a milestone Wednesday with the closure of a firm that once was the largest of its sort, FX Concepts.

The New York firm, whose assets under management shriveled to $660 million last month, from $14 billion at the dawn of the financial crisis, will close its asset-management business over the next few weeks and return money to investors, the company said in a statement.
Full Article:

http://online.wsj.com/article/SB10001424052702304520704579125522664769310.html


HFRI Indices: www.hedgefundresearch.com

HEDGE FUNDS POST SEPTEMBER GAINS AS FED MAINTAINS STIMULUS

Equity Hedge, Event Driven lead gains as funds position for US government shutdown; German elections add to increasing investor risk tolerance, IPO activity builds

 

CHICAGO, (October 7, 2013) – Hedge funds posted strong gains in September, as the US Federal Reserve maintained current bond purchase stimulus measures, German elections produced favorable results and investors prepared for the US government to shut down over the budget bill impasse. The HFRI Fund Weighted Composite Index gained +1.6 percent for the month, the strongest performance since January 2013 and the second highest gain in the last 19 months, as reported today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry.

September performance was led by Equity Hedge strategies, with the HFRI Equity Hedge Index gaining +2.6 percent, also the strongest month since January and bringing performance for the first three quarters of 2013 to a gain of +9.2 percent, leading all hedge fund strategy indices. Growth areas including Technology, Healthcare and Emerging Markets all had strong contributions to performance, with the HFRI EH: Technology/Healthcare Index up +4.4 percent for the month, and +17.4 percent for the year through September 30, making it the top performing index for the period. Fundamental Growth hedge funds gained +3.3 percent for the month, while the HFRI Emerging Markets Index also gained +3.3 percent.

Event Driven strategies posted strong performance with the HFRI Event Driven Index gaining +2.0 percent for the month, driven by record corporate bond issuance, successful IPO issuance and increasing investor risk tolerance. Event Driven narrowly trails EH as the leading area of strategy performance for 2013, with a YTD gain of +9.0 percent. Event Driven performance was fueled by the dynamic environment for strategic and financial transactions and shareholder activism, with the HFRI ED: Special Situations Index climbing +3.2 percent for the month, contributing to a YTD gain of +11.2 percent. Activist strategies also gained +3.2 percent in September and have gained +11.9 percent in the first three quarters of 2013.

Fixed Income-based Relative Value Arbitrage strategies posted gains for the month, with the HFRI Relative Value Index gaining +1.4 percent. RV gains were broad-based across Sovereign, Corporate and Volatility strategies, with FI: Sovereign gaining +2.6 percent for the month, while RV: Volatility and FI: Corporate gained +1.9 and +1.5 percent, respectively.

Macro funds posted a decline for the month, with gains in Discretionary Macro funds offsetting declines in Commodity and Systematic strategies. The HFRI Macro Index declined by -0.2 percent for the month, while positive contributions from Sovereign fixed income and Emerging Markets exposure contributing to a gain of +1.2 percent for Discretionary Macro managers. The HFRI Systematic Diversified Index declined by -0.5 percent, with weakness in Commodity exposures. The HFRI Fund of Hedge Funds gained +1.9 percent for the month, bringing YTD performance to +5.6 percent, in line with the HFRI Fund Weighted Composite Index.

“Hedge funds were well positioned for the dynamic environment which materialized in September, from the equity gains and falling yields on the Fed no taper decision, through the significant German elections, the Healthcare stock leadership on Affordable Care Act and into the equity market selloff on the US budget deliberations into month end,” stated Kenneth J. Heinz, President of HFR. “Equity Hedge and Event Driven funds are on pace for the strongest gains since 2009 and these continue to attract investor interest through the evolving macro political environment. Despite low volatility of hedge funds relative to equity markets, institutional investors are likely to continue increasing their exposure to hedge funds as ED & EH strategy gains accelerate and investor risk tolerance continues to normalize through the current period of uncertainty, driving industry growth through year end and into 2014.”

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HFRX Indices September 2013 performance notes

HEDGE FUNDS GAIN IN SEPTEMBER AS FED CONTINUES STIMULUS

Financial markets gained in September as the US Federal Reserve elected not to taper its bond purchases, while into month end, investors prepared for US government shutdown over the budget bill impasse. Global equity markets posted broad-based gains for September, recovering August losses despite declining into month end, with gains across US, European, Asian & Emerging Markets regions. Sector gains were led by Technology, Cyclicals, Energy & Financials, with leadership also from small cap & growth equities. German election results contributed favorably to investor risk tolerance, with European equities led by gains in Germany, Spain, France, Russia & Italy. Asian and Emerging Markets also gained for the month, with leadership from Japan, China, Brazil, Hong Kong, Korea & Thailand. US yields fell as the yield curve steepened on continuation of Fed bond purchases, yields also declined across France, Germany, Spain & the Netherlands. US corporate issuance reached record level in September, highlighted by Verizon, as issuers positioned for higher future borrowing costs. The US dollar posted sharp declines against most currencies including the British Pound and the Euro; the Dollar also declined again the Brazilian Real, Australian Dollar and Korean Won. Commodities posted declines for the month as global tensions over supply concerns related to Syria & Iran eased, with declines led by Oil, Gold, Platinum & Silver. Agricultural commodities were mixed for the month, with sharp declines in Corn & Soybeans offset by gains in Sugar & Wheat. Hedge funds posted gains for the month with the HFRX Global Hedge Fund Index gaining +0.96% while the HFRX Market Directional Index rose +2.23%.

HFRX Event Driven Index posted a gain of +2.10% for September, led by gains in Special Situations and Activist exposures; the Index leads all strategy indices with a YTD gain of 10.87%. The HFRX Special Situations Index gained +2.96% for the month, the strongest gain since January and leading all sub-strategy indices with a YTD gain of +14.2%. The Index had specific contributions from core positioning in Ferro, Chemtura, Dish Network ,Tribune Co., American Airlines, Elan, Dell, Apple, Verizon and Kabel. HFRX Distressed Index gained +0.52% for the period with contributions from various restructurings across Communications, Consumer Cyclical and Non-Cyclical exposures. HFRX Merger Arbitrage Index posted a gain of +0.41%, with contributions from transactions in American Safety/Fairfax, FNB/BCSB Bancorp, Verizon/Vodafone, Koch/Molex, Akorn/Hi-Tech Pharmacal and Thermo Fisher/Life Technologies.

HFRX Equity Hedge Index posted a gain of +1.36% for September, the 14th monthly gain in the last 16 months, with gains distributed across Growth and Value exposures. HFRX Fundamental Growth Index & HFRX Fundamental Value Index gained +2.11% and +1.10%, respectively, with broad based contributions from exposure to large and small cap US, Global Healthcare, European and Emerging Asian equities. HFRX Fundamental Value Index leads all EH sub-strategy indices through September with a YTD gain of +10.7%.

HFRX Relative Value Arbitrage Index posted a gain of +0.42% for September, as the US Fed continued monthly bond purchases and US corporate issuance reached record levels, as issuers positioned for higher future borrowing costs. HFRX Fixed Income Credit Index gained +0.53% with contributions from falling yields, tightening credit and new corporate issuance, such as the Verizon bond offering. HFRX Convertible Arbitrage Index gained +0.46% on credit tightening, falling yields and strong issuance trends; the Index leads RV sub-strategy indices with YTD gain of +9.6%. HFRX MLP Index gained +0.89% for the month of strong demand for yield & energy infrastructure partnerships, leading all indices through September with a YTD of +18.0%.

HFRX Macro Index posted a decline of -0.26% for September, with positive contributions of Currency and Emerging Markets managers offset by mixed performance of quantitative Systematic CTA strategies. The HFRX Emerging Markets Index posted a gain of +0.28% with positive contributions from Emerging Asian and Currency strategies. The HFRX Macro: Systematic Diversified Index declined -0.59 % with mixed contributions from long equities, while short fixed income and long commodity positions detracted from performance.

Comments reference performance figures as posted for September 30, 2013

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September 2013 HFRU Indices Performance Notes

UCITS compliant Hedge funds posted rose in the month, with the HFRU Hedge Fund Composite Index gaining +1.02% for September.

• HFRU Equity Hedge Index posted a gain of +2.21% for September, the strongest gain since July 2012, with contributions from Emerging Markets with gains concentrated in Turkey, India, Brazil and Emerging Europe equities. Exposure to US, Japan and Technology also contributed to gains.

• HFRU Event Driven Index posted a gain of +0.90% for September, with positive contributions from European Equity Special Situations and Emerging Markets Fixed Income strategies; Global & European M&A also had Index performance as credit tightened, a number of IPOs received strong investor interest and US corporate issuance set a monthly record.

• HFRU Relative Value Arbitrage Index posted a gain of +0.47% for September, with gains in Emerging Markets Fixed Income, European and Japanese Convertibles and Real Estate exposures, as yields fell on continued US fed bond purchases and record US corporate issuance contributed to gains.

• HFRU Macro Index posted a modest decline of -0.07% for September, with positive contributions from Currency, Global Discretionary and Emerging Markets strategies offset by declines in Systematic & Commodity exposures on commodity weakness and short fixed income exposures.

Comments reference performance as posted on October 2, 2013

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