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Thursday, December 19, 2013

HFRU Indices Mid-December 2013 performance notes

Global financial markets posted declines through mid-December, as investors discounted mixed data on consumer spending and moderate expectations for economic growth in early 2014, as global equity markets posted declines, with weakness led by Europe, Asia and Emerging Markets. European equity market declines were led by France, Italy, Spain, Switzerland and the Netherlands, while Asian declines were led by Australia, China, Japan, Korea & the Philippines. US weakness was concentrated in Financials, Biotechnology, Healthcare and Commodity-sensitive sectors, while Latin America declines were led by Argentina & Brazil. US yields rose as the yield curve flattened led by increases in shorter dated maturities; European yields also rose with increases across UK Gilts, German Bunds, France and the Netherlands. Investment grade credit spreads widened, while high yield credit posted mixed performance. The US dollar also posted mixed performance, rising again the British Pound Sterling, while the Euro again topped the 1.38 level against the Dollar, breaching a 25 month high. Crude Oil & Natural Gas led gains across commodities, as Metals partially recovered steep losses from the prior month, led by gains in Copper & Platinum. Agricultural commodity gains were led by Coffee & Cotton, with these partially offset by declines in Sugar & Wheat. UCITS compliant Hedge funds posted declines, with the HFRU Hedge Fund Composite Index declining -1.06% through mid-December.
  • HFRU Equity Hedge Index posted a decline of -1.43% through mid-December, with positive contributions from European equities offset by declines in exposures to Emerging Markets, with concentration in Brazil and China.

  • HFRU Event Driven Index posted a decline of -0.26% through mid-December, with mixed performance from European Equity Special Situations and Merger Arbitrage managers, while Emerging Markets exposure and credit strategies detracted from performance.

  • HFRU Macro Index posted a decline of -1.19% through mid-December, with declines led by Systematic CTA, Commodity – Metals managers and Emerging Markets exposures.

  • HFRU Relative Value Arbitrage Index posted a decline of -0.56% through mid-December, with gains in Fixed Income, Asset-Backed and Volatility strategies offset by declines in Global Multi-Strategy and Real Estate exposure.

Comments reference performance as published on December 16, 2013.

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HFRX Indices Mid-December 2013 performance notes

Global financial markets posted declines through mid-December, as investors discounted mixed data on consumer spending and moderate expectations for economic growth in early 2014, as global equity markets posted declines, with weakness led by Europe, Asia and Emerging Markets. European equity market declines were led by France, Italy, Spain, Switzerland and the Netherlands, while Asian declines were led by Australia, China, Japan, Korea & the Philippines. US weakness was concentrated in Financials, Biotechnology, Healthcare and Commodity-sensitive sectors, while Latin America declines were led by Argentina & Brazil. US yields rose as the yield curve flattened led by increases in shorter dated maturities; European yields also rose with increases across UK Gilts, German Bunds, France and the Netherlands. Investment grade credit spreads widened, while high yield credit posted mixed performance. The US dollar also posted mixed performance, rising again the British Pound Sterling, while the Euro again topped the 1.38 level against the Dollar, breaching a 25 month high. Crude Oil & Natural Gas led gains across commodities, as Metals partially recovered steep losses from the prior month, led by gains in Copper & Platinum. Agricultural commodity gains were led by Coffee & Cotton, with these partially offset by declines in Sugar & Wheat. Hedge funds posted declines with the HFRX Global Hedge Fund Index posting a decline of -0.48% through mid-month, while the HFRX Absolute Return Index gained +0.17%.

HFRX Equity Hedge Index posted a decline of -0.48% through mid-December, with gains in Market Neutral strategies offset by declines in Fundamental managers. HFRX Market Neutral Index rose +0.70%, with gains across mean reverting and fundamental, factor-based models. HFRX Fundamental Value Index and HFRX Fundamental Growth Index declined -0.22% and -1.23%, respectively, with contributions from Emerging Asia and select European exposure, while exposure to Brazil, Global Healthcare and Consumer sectors experienced losses.

HFRX Event Driven Index posted a decline of -0.63% through mid-December, with positive contributions from Merger Arbitrage exposure offset by declines in Equity Special Situations strategies. HFRX Merger Arbitrage Index posted a gain of +0.34%, with contributions from transactions in Kroger/Harris Teeter, NYSE/Intercontinental Exchange, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies. HFRX Special Situations Index declined -0.86% through mid-month from exposure to Cyclicals, Energy/Basic Materials and Financials, with core positioning in Twitter, Elan, Ferro, North American Energy, Penn West, Cole REIT, American Realty, Tribune Co., Time Warner and Life Technologies. The HFRX Distressed Index posted a modest decline of -0.06% for the period from mixed performance in various restructurings across Consumer, Technology, Industrial and Basic Materials sectors.

HFRX Macro Index posted a decline of -0.64% through mid-December, with weakness across trend-following CTA, Global Equity, Currency and Fixed Income strategies. The HFRX Macro: Systematic Diversified Index declined -0.90% with weakness across equity and fixed income exposures, while the HFRX Emerging Markets Index posted a decline of -1.09% from weakness in Brazil and Currency exposure.

HFRX Relative Value Arbitrage Index posted a decline of -0.22% through mid-December with weakness across Convertible Arbitrage and Multi-Strategy managers as yields rose and credit spreads widened. HFRX RV: Multi-Strategy Index and the HFRX Convertible Arbitrage Index declined -0.33% and -0.70%, respectively, while the HFRX Fixed Income Credit Index declined -0.30%.

Comments reference performance as published for December 16, 2013.

www.hfrx.com

Friday, December 6, 2013

HFRX Indices November 2013 performance notes

HEDGE FUNDS EXTEND 4Q GAINS ON US GROWTH

Global financial markets posted mixed performance through November, with gains in US offset by mixed performance across Europe, Asia and other Emerging Markets; technology IPOs including Twitter posted strong gains while US corporate fixed income issuance remained strong, nearing 2012 record levels. Broad-based US equity gains were led by Technology, Healthcare and small caps, offsetting weakness in Energy, REIT and commodity-sensitive exposures. European equities posted mixed performance, with gains in Germany, Sweden and the Netherlands offset by weakness in the UK, Italy & Russia. Asian equities were also mixed, with strong gains in Japan, China and Hong Kong offset by weakness in Australia, India & the Philippines. US yields rose across most maturities on the improving US economic outlook, though expectations for curtailment of US Federal Reserve stimulus efforts remain unclear and widely varied; European yields were little changed following recent ECB policy action of lowering rates. The US dollar posted mixed performance, gaining against the Japanese Yen while falling against the British Pound Sterling, the Dollar was little changed against the Euro for the month; the Dollar also posted sharp gains against Emerging Market currencies including the Indian Rupee, Australian Dollar and Brazilian Real. Metals commodities posted declines on moderating expectations for inflation, with declines across Silver, Aluminum, Gold & Platinum; Natural Gas posted a sharp gain while Oil was mixed on political developments to ease sanctions on Iranian exports. Agricultural commodity gains were led by Soybeans, Rice and Coffee, which were offset by declines in Sugar, Hogs and Corn. Hedge funds gained in November with the HFRX Global Hedge Fund Index posting a gain of +0.55% for month, while the HFRX Absolute Return Index rose +0.45%.

HFRX Equity Hedge Index posted a gain of +0.96% in November, with gains across both Fundamental and Market Neutral strategies extending YTD gain for the Index to +9.8%. HFRX Fundamental Value Index rose +1.24% with contributions from US large-cap Communications, Financials and Technology sectors as well as European equity; HFRX EH:FV leads all EH sub-strategies with YTD gain of +14.5%. HFRX Market Neutral Index gained +0.64%, with gains in mean reverting and fundamental, factor-based models.

HFRX Event Driven Index posted a gain of +0.60% for the month, with contributions from Equity Special Situations and Merger Arbitrage strategies; HFRX ED leads all strategy indices with a gain of +13.6% YTD. HFRX Special Situations Index gained +0.83% for the month, continuing to lead all sub-strategies with a YTD gain of +17.7%. HFRX ED: Special Situations Index had contributions from core positioning in Twitter, Berry Petroleum, Linn Energy, Elan, Penn West, American Realty, Tribune Co., Ferro and Life Technologies. HFRX Merger Arbitrage Index posted a gain of +0.20%, 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 remained unchanged for the period from mixed performance in various restructurings across Technology, Industrial and Basic Materials sectors.

HFRX Macro Index posted gain of +0.32% for the month, with positive contributions from Systematic CTA strategies offset by weakness in Currency and Fixed Income strategies. HFRX Macro: Systematic Diversified Index posted a gain of +1.60%, the 2nd consecutive monthly gain, with contributions from equities, currencies and commodities exposure. The HFRX Emerging Markets Index posted a decline of -1.00% from declines in Emerging Asia, Brazil and Currency exposure.

HFRX Relative Value Arbitrage Index posted a gain of +0.27% in November with gains in Corporate & Multi-Strategy managers offsetting weakness in Convertible Arbitrage as yields rose for the month and corporate bond issuance remained strong. HFRX RV: Multi-Strategy Index gained +0.22% for the month with contributions from capital structure arbitrage positions and effective interest rate hedging. HFRX Convertible Arbitrage Index posted a decline of -0.73%, paring the YTD gain of the Index to +9.2%, with a negative contribution from volatility positions. HFRX MLP Index gained +1.06% for the month, posting a YTD gain of +22.0%.

Comments reference performance as published for November 29, 2013.

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EQUITY HEDGE LEADS HEDGE FUND GAINS INTO YEAR END


HFRI Fund Weighted Composite posts 11th gain in 13 months;

Macro bids to turn positive for 2013, snap two year decline

 

CHICAGO, (December 6, 2013) – Hedge funds extended 2013 gains in November, with positive contributions across all strategy areas led by Equity Hedge, as the HFRI Fund Weighted Composite Index posted its 11th gain in the past 13 months, as reported today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry. The HFRI Fund Weighted Composite Index gained +1.0 percent for November, the third consecutive monthly gain, bringing year-to-date (YTD) performance to +8.3 percent.

Equity Hedge (EH) funds led industry gains for November with the HFRI Equity Hedge Index climbing +1.2 percent, extending the YTD gain to +12.9 percent, putting EH on course for the best calendar year since climbing +24.6 percent in 2009. EH gains were led by funds concentrated in Technology, Healthcare and Fundamental Value strategies, with the HFRI EH: Technology/Healthcare Index gaining +2.3 percent for November and +19.7 percent YTD, while the HFRI Fundamental Value Index gained +1.5 percent for November and +18.0 percent YTD.  EH gains were partially offset by dedicated Short Bias funds, which declined -1.3 percent in the month and have declined -15.9 percent YTD.

Macro strategies posted gains for the 2nd consecutive month despite the negative influence of declines in underlying Emerging and Commodity Markets. The HFRI Macro Index rose +1.1 percent in November, narrowing the YTD decline to -0.2 percent, putting Macro within striking distance of avoiding a third consecutive calendar year decline. Macro Multi-strategy funds and CTA’s led gains for the month, with these up +1.9 and +1.3 percent, respectively. Discretionary Commodity funds gained of +0.4 percent, narrowing the YTD loss to -4.2 percent while Currency funds declined -0.1 percent. The HFRI Emerging Markets Index posted mixed performance, declining -0.2 percent for November, with gains in Emerging Asia and the Middle East partially offsetting declines in Russia and Latin America.

Event Driven (ED) funds also posted strong returns for the month, as shareholder activism continued to drive performance across ED strategies. The HFRI Event Driven Index gained +0.9 percent in November and +11.0 percent YTD, with leading contributions from Special Situations and Distressed strategies. The HFRI ED: Special Situations Index gained +1.1 percent for November and +13.0 percent YTD, while HFRI ED: Distressed Index gained +1.0 percent for November and +12.3 percent YTD. Activist strategies have led ED performance for 2013 with a gain of +14.4 percent YTD.

Relative Value Arbitrage (RVA) strategies posted gains for November, despite an increase in U.S. yields and negative contributions across several interest rate-sensitive RVA sub-strategies. The HFRI Relative Value Arbitrage Index gained +0.4 percent for the month, bringing the YTD return to +6.1 percent. RVA gained were led by Asset-Backed, Volatility and Multi-Strategy exposures, which climbed +1.3, +1.0 and +0.7 percent, respectively, for November. These were partially offset by a decline in Fixed Income: Corporate and Sovereign sub-strategies, which fell -0.5 and -0.7 percent, respectively, for the month.

 “Hedge funds have extended gains in recent months, with Equity Hedge and Event Driven funds leading industry returns as investor risk tolerance continues to normalize, supported by U.S.-centric equity market gains, but despite lack of clarity on reduction of U.S. stimulus measures contributing to mixed performance across global and emerging equity markets,” stated Kenneth J. Heinz, President of HFR. “Through this improving but transitional environment, Macro and trend-following CTA funds have only recently begun to experience improved performance, following calendar year declines in both 2011 and 2012.  We expect a continuation of improved Macro returns to drive overall hedge fund industry gains into early 2014, as investors return to Macro strategies offering low equity and fixed income correlation, flexible commodity and currency exposures and thematic approaches through this fluid macroeconomic environment.”






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