HFRX Indices Mid-September 2013 performance notes

HEDGE FUNDS POST MID-SEPTEMBER GAINS AS POLITICAL, ECONOMIC TENSIONS EASE

Global financial markets posted broad based gains through mid-September, as investor concerns regarding both US military involvement in Syria, as well as near term significant extraction of stimulus measures, subsided. Equities across the US, Europe and Asia posted strong gains through mid-month, with leadership from Technology, Financials , Oil Services and Cyclicals; gains were broad based across growth and value, as well as across large, small and mid-cap equities. Emerging market equities posted strong gains through mid-month, rebounding from August declines, with leadership from Russia, China, Thailand, India, Brazil and Argentina. European equities also posted strong gains led by Spain, Italy, Germany & France. Asian equities also gained, with leadership from China, Japan, Hong Kong, Thailand and Singapore. US yields rose through mid-month across mid-to-longer dated maturities, as US yield curve steepened on expectations for moderate stimulus extraction and high yield credit tightened. European yields were mixed with increases in the UK, Germany & Switzerland offset by declines in Spain, Turkey, Russia and the Netherlands. Reversing prior month gains, the US dollar fell against most currencies, including the Euro, British Pound Sterling, as well as falling against EM currencies, including the Brazilian Real, New Zealand Dollar and South African Rand. Energy & Metals commodities declined as supply concerns subsided, with Oil, Gold, Platinum and Silver leading declines. Agricultural commodities were mixed thought mid-month, with gains in Sugar & Cocoa offset by declines in Soybeans & Corn. Hedge funds posted gains for the month with the HFRX Global Hedge Fund Index posting a gain of +1.04% while the HFRX Market Directional Index rose +1.85%.

HFRX Event Driven Index posted a gain of +1.66% through mid-September, with positive contributions concentrated in Equity Special Situations exposure. The HFRX Special Situations Index gained +2.21% with contributions from exposure to transactions in Energy / Basic Materials and Non-Cyclical sectors and specific contributions from core positioning in Tribune Co., American Airlines, Dell, Dish Network, Apple, Kabel, and Chemtura. The HFRX Merger Arbitrage Index posted a gain of +0.34%, with contributions from transactions in Microsoft/Nokia, Verizon/Vodafone, Koch/Molex, Akorn/Hi-Tech Pharmacal and Thermo Fisher/Life Technologies. The HFRX Distressed Index gained +0.29% for the period with contributions from various restructurings across Communications, Consumer Cyclical and Industrial exposures.

HFRX Equity Hedge Index posted a gain of +1.53% through mid-September, with gains distributed across Growth and Value exposures. The HFRX Fundamental Value Index and the HFRX Fundamental Growth Index gained +1.61% and +1.63%, respectively, with broad based contributions from exposure to large and small cap US, European and Emerging Asian equities. The HFRX Market Neutral Index posted a gain of +0.36% with contribution from fundamental-driven managers, partially offset by quantitative factor-model strategies.

HFRX Macro Index posted a gain of +0.46% through mid-September, with positive contributions of Fixed Income, Currency and Emerging Markets managers partially offset by mixed performance of quantitative Systematic CTA strategies. The HFRX Emerging Markets Index posted a gain of +0.72% with positive contributions from Emerging Asian and Currency strategies. The HFRX Macro: Systematic Diversified Index declined -0.12% with positive contributions from equities and medium-term trend following models offset by Fixed Income, Currency & Commodity exposures.

HFRX Relative Value Arbitrage Index posted a gain of +0.40% through mid-September, with contributions from Convertible and Global Fixed Income strategies. The HFRX RV Multi-Strategy Index posted a gain of +0.40% as gains in Credit strategies were offset by Commodity Arbitrage exposures. The HFRX RV: Convertible Arbitrage Index gained +0.51% on credit tightening, low delta convertibles and gamma positions, while the HFRX Fixed Income Credit Index gained +0.70% as credit tightened and interest rate hedging contributed to gains.


Comments reference performance as published through September 16, 2013.

Learn more at WWW.HFRX.COM

HFRU Indices Mid-September 2013 performance notes

UCITS compliant Hedge funds posted a decline for the month but outperformed the broader hedge fund industry, with the HFRU Hedge Fund Composite Index gaining +1.34% through mid-September.

• HFRU Equity Hedge Index posted a gain of +2.60% through mid-September, with positive contributions from Emerging Markets with gains concentrated in Emerging Europe, Turkey, India, Brazil and Latin America equity offset by declines in Middle East and North Africa exposure.
  
  
• HFRU Event Driven Index posted a gain of +0.96% through mid-September, with positive contributions from European Equity Special Situations and Emerging Markets Fixed Income strategies, while Global & European M&A had mixed contribution to Index performance.
  
  
• HFRU Relative Value Arbitrage Index posted a gain of +0.47% through mid-September, with gains in Emerging Markets Fixed Income, Real Estate and Japanese Convertibles exposures offset by declines in Volatility strategies.
  
  
• HFRU Macro Index posted a gain of +0.41% through mid-September, with positive contributions from Global Discretionary, Systematic and Emerging Markets strategies which were offset by declines in Commodity Metals exposure.
  

Comments reflect performance figures as of September 16, 2013.

Learn more at WWW.HFRU.EU

Hedge Fund Launches Steady As US Eases Marketing Restrictions

HFR Releases New Report:

Average management, incentive fees continue decline through 2Q; Fund performance dispersion increases as top decile improves

CHICAGO, (September 12, 2013) - Hedge fund launches and liquidations both declined modestly in the second quarter, as US regulators eased restrictions on the marketing of hedge funds. A total of 288 new hedge funds launched in 2Q13, a slight decline from the 297 funds launched in 1Q13 but representing a year over year increase from the 245 funds launched in 2Q12, according to the latest HFR Market Microstructure Industry Report, released today by HFR, the established global leader in the indexation, research and analysis of the global hedge fund industry. Total hedge fund launches in the trailing 4 quarters ending 2Q totaled 1144, the highest total since nearly 1200 funds launched in the trailing 4 quarters ending 1Q08.

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Learn more at www.hedgefundresearch.com

HFR: Hedge Funds Post August Declines As Political Tensions Rise

Risks rise over Emerging Markets, Syria, Fed stimulus extraction; Mixed performance in Event Driven, Relative Value Arbitrage as HFRI posts 2^nd decline for 2013

CHICAGO, (September 9, 2013) – Hedge funds declined in August while US equity markets posted the largest decline of 2013 as investors reduced risk in reaction to weakness in Emerging Market equities and currencies, expectations for the end of tapering by the US Federal Reserve, and uncertainty regarding US and international involvement in Syria. The HFRI Fund Weighted Composite declined by -0.70 percent for the month with mixed performance across various Equity Hedge, Event Driven and Relative Value Arbitrage strategies offsetting weakness in Macro strategies, as  reported today by HFR, the established global leader in the indexation, research and analysis of the global hedge fund industry.

            The HFRI Event-Driven (ED) Index posted a narrow decline of -0.04 percent for the month, paring the 2013 gain for ED to +6.9 percent, as the market for corporate transactions remained robust despite the equity market declines. Credit Arbitrage hedge funds gained +0.8 percent and Distressed funds advanced +0.08 percent in August, while Merger Arbitrage and Special Situations saw narrow declines of -0.11 and -0.24 percent, respectively.

            The HFRI Relative Value Arbitrage Index fell -0.46 percent for the month, with equity and fixed income hedges reducing volatility across RVA sub-strategies. The HFRI RV: Fixed Income – Asset Backed and Convertible Arbitrage Indices posted gains of +0.15 and +0.22 percent, respectively, for the month, while Volatility funds fell -0.20 percent.  The HFRI Equity Hedge Index declined -0.7 percent in August, as gains across HFRI Energy/Basic Materials (+0.26 percent), Technology/Healthcare (+0.3 percent) and Short Bias (+0.6 percent) were offset by declines in Fundamental Value and Growth, which dropped -1.3 percent and -0.6 percent, respectively.

            The HFRI Macro Index declined -1.2 percent in August, the fourth consecutive monthly decline, with weakness across most sub-strategy and Emerging Market exposures. The HFRI Emerging Markets (Total) Index declined -0.77 percent, with weakness across all EM regions concentrated in Latin America, the Middle East and India. The HFRI EM: Latin America Index declined -1.3 percent, while HFRI: Multiple Emerging Markets fell -1.3 percent.  The HFRI EM: Asia ex-Japan Index posted a narrow gain of +0.02 percent in August, with gains in many China-focused funds pared by mixed performance across other Emerging Asian regions. Quantitative, trend-following CTAs also experienced losses, with the HFRI Macro: Systematic Diversified Index declining -1.8 percent. While QE tapering, Syria, and Emerging Market risk affected Macro performance, other risks including fed leadership transition and US debt ceiling debate also impacted Macro performance.     

            “Volatility and uncertainty increased in August across both economic and political forums, contributing to mixed sub-strategy performance, wide dispersion and Macro-centric weakness across hedge fund strategy performance,” stated Kenneth J. Heinz, President of HFR. “While the geopolitical environment has remained fluid and unpredictable through month end, many funds entered August with conservative positioning in regard to expectations for US Federal Reserve stimulus extraction, reducing exposure to rising bond yields through effective portfolio hedging, composition and duration management. Recent Emerging Markets weakness has created opportunities in EM equity and currency markets for hedge funds to provide liquidity and position for growth across various EM regions.  Both of these trends are likely to contribute to strong performance in coming months as the joint economic and political uncertainties continue to evolve,” Heinz added.

Comments reference Flash Update performance figures as posted on September 9, 2013.

View HFRI Index performance at www.hedgefundresearch.com

HFRU Indices August 2013 performance notes

UCITS compliant Hedge funds posted a decline for the month but outperformed the broader hedge fund industry, with the HFRU Hedge Fund Composite Index declining -0.20% in August.
HFRU Relative Value Arbitrage Index posted a modest decline of -0.04% in August, with gains in Volatility strategies and hedged Fixed Income exposure, offset by declines in Emerging Markets, Real Estate and Japanese Convertibles exposures.

HFRU Event Driven Index posted a narrow decline of -0.06% in August, with positive contributions from European Equity Special Situations and Asian Credit strategies offset by declines in Emerging Markets Fixed Income exposure; Global & European M&A had mixed contribution to Index performance.

HFRU Macro Index posted a narrow decline of -0.08% in August, with positive contributions from Systematic Commodity managers which were offset by declines in Global Discretionary, Currency and Emerging Markets strategies.

HFRU Equity Hedge Index posted a decline of -0.40% in August, with positive contributions from European and Chinese equity exposure offset by declines in Emerging Markets concentrated in Turkey, India, Brazil and Latin America.

Comments reference performance as posted on September 4, 2013.

www.hfru.eu

HFRX Indices August 2013 performance notes

Global financial markets declined in August as Emerging Market equities and currencies extended prior month declines, and investors positioned for volatility associated with reduction of stimulus by the US Federal Reserve and uncertainty over possible military conflict in the Middle East. US equities posted the worst monthly decline for 2013, with declines across most sectors led by Large Cap, Financials, Real Estate, Technology and Healthcare. European equities also declined, led by the UK, France & Germany, while Asian equities were mixed with losses in Japan offset by gains in China & Australia. Losses across Emerging Markets were widespread across the Middle East, Turkey, Egypt, India, Russia & Thailand, while Brazil and China posted gains partially offsetting prior month losses. Despite the weakness, US government bond yields rose with increases concentrated in shorter maturities as the yield curve flattened. Yields also rose across UK Gilts, German Bunds, the Netherlands and France, while both investment grade and high yield credit widened. The US Dollar was mixed against developed market currencies, rising against the Euro while falling against the British Pound Sterling, however Emerging Market currencies continued to fall against the US Dollar, with declines led by the Indian Rupee, Mexican Peso, Brazilian Real and South African Rand. Energy and Metals commodities gained on the prospects of supply disruptions, led by gains in Oil, Natural Gas, Silver, Gold and Platinum, while Agricultural commodities generally posted declines led by Coffee, Sugar, and Wheat & Live Hogs. Hedge funds posted declines for the month with the HFRX Global Hedge Fund Index posting a decline of -0.86% while the HFRX Equal Weighted Strategies Index declined -0.71%.

HFRX Relative Value Arbitrage Index declined -0.13% in August, with contributions from Commodity Arbitrage and Convertible strategies offset by weakness in Global Fixed Income exposure. The HFRX RV Multi-Strategy Index posted a modest decline of -0.08% as gains in Commodity Arbitrage strategies were offset by Credit exposures. The HFRX RV: Convertible Arbitrage Index and the HFRX Fixed Income Credit Index both declined -0.49% as credit spreads widened, with weakness in credit, interest rate sensitive positions & Asian convertibles only partially offset by volatility and gamma positions.

HFRX Event Driven Index posted a decline of -0.54% in August, with positive contributions from Distressed strategies offset by weakness in equity and credit strategies. The HFRX Distressed Index gained +0.09% for the period with contributions from various restructurings across Energy, Industrial & Consumer Durable exposures, while the HFRX Merger Arbitrage Index posted a modest decline of -0.03%, with contributions from transactions in Sprint/Clearwire, Akorn/Hi-Tech Pharmacal, MAA/Colonial Properties, First M&F/Renasant, and Thermo Fisher/Life Technologies. The HFRX Special Situations Index declined -0.78% with contributions from exposure to transactions in Industrial and Non-Cyclical sectors and specific contributions from core positioning in Apple, J.C. Penney, Tribune Co., American Airlines, US Airways, and Penn West Petroleum.

HFRX Macro Index posted a decline of -0.84% in August, with positive contributions of Multi-Strategy managers offset by mixed performance of quantitative Systematic CTA and Emerging Market exposures. The HFRX Macro: Systematic Diversified Index declined -0.08% with positive contributions from Commodity exposure offset by Currencies and Fixed Income exposures. The HFRX Emerging Markets Index posted a decline of -1.80% with weakness across Currencies, Emerging Asia and Latin America.

HFRX Equity Hedge Index posted a decline of -1.89% in August, with weakness concentrated in US and European equities. The HFRX Fundamental Value Index and the HFRX Fundamental Growth Index declined -2.10% and -1.55%, respectively, with weakness from exposure to large and small cap US, European and Emerging Markets equities only partially offset by short exposures.


Comments reference performance as of August 30, 2013.