HFRX Daily Indices Mid-November 2013 Performance Update

Global financial markets posted mixed performance through mid-November, with a contrast between increased investors risk tolerance in US contributing to equity market gains and favorable response to technology IPOs while weak European economic growth data and interest rate cut contributed to equity market declines and currency weakness. US equity gains were led by Healthcare, Technology and Cyclical sectors, as technology IPOs posted substantial gains on strong investor demand. European equities were mixed through mid-November, with declines in Spain, Italy & UK partially offset by gains in Germany & the Netherlands. Emerging Asian equities posted declines led by the Philippines, Taiwan and India, while the Japanese Nikkei posted a partially offsetting gain. US yields rose as the yield curve steepened, with accommodative comments by incoming FOMC Chair contrasting with investor expectations of near term stimulus tapering, while European government bond yields were essentially unchanged through mid-November despite downward pressure on yields by ECB policy action. The Euro declined from a 24 month high against the US dollar on weak EU growth data, while the US dollar also gained against the Japanese Yen and EM currencies led by the Brazilian Real. Metals declined through mid-month, though pared losses on FOMC comments, with declines led by Copper, Aluminum and Silver; agricultural commodities posted declines across Sugar, Wheat and Hogs, partially offset by gains in Rice. Hedge funds posted gains month with the HFRX Global Hedge Fund Index posting a gain of +0.07% through mid-month, while the HFRX Absolute Return Index rose +0.32%.

HFRX Equity Hedge Index posted a gain of +0.38% through mid-November, with gains across Fundamental Value and Market Neutral strategies adding to the YTD gain of +9.1% for the Index. HFRX Fundamental Value Index rose +0.57% with gains concentrated in US large-cap Consumer and Financial sectors, HFRX EH:FV leads all EH sub-strategies with YTD gain of +13.7%. HFRX Market Neutral Index gained +0.53%, with gains in mean reverting and fundamental, factor-based models.

HFRX Event Driven Index posted a gain of +0.21% through mid-November, with contributions from Merger Arbitrage and Equity Special Situations; HFRX ED leads all strategy indices with a gain of +13.1% YTD. HFRX Special Situations Index gained +0.34% for the month, continuing lead all sub-strategies with a YTD gain of +17.15%; the Index had contributions from core positioning in Elan, American Realty, Tribune Co., Ferro, Chemtura, Penn West and Life Technologies. HFRX Merger Arbitrage Index posted a gain of +0.21%, with contributions from transactions in NYSE/IntercontinentalExchange, Capital Source/Pacwest Bancorp, Akorn/Hi-Tech Pharmacal, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies. The HFRX Distressed Index declined -0.17% for the period from various restructurings across Technology, Industrial and Basic Materials sectors.

HFRX Relative Value Arbitrage Index posted a decline of -0.10% through mid-November with modest declines across various fixed income strategies, including Convertible Arbitrage and Multi-Strategy managers. HFRX Convertible Arbitrage Index posted a decline of -0.87%, paring the YTD gain of the Index to +9.0%, with negative contribution from volatility and gamma positions. HFRX MLP Index gained +0.53% for the month, while the HFRX Fixed Income Credit Index posted a modest decline of -0.06% for the period.

HFRX Macro Index posted decline of -0.31% through mid-November, with positive contributions from Fixed Income & Systematic CTA strategies offset by weakness in Currency and Emerging Markets strategies. HFRX Macro: Systematic Diversified Index posted a gain of +0.09%, with contributions from equities, commodities and fixed income exposure. The HFRX Emerging Markets Index posted a decline of -0.95% from declines in Brazil and Currency exposure.


Comments reference performance as published through November 15, 2013.

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