HFRX Daily Indices Mid-January 2014 Performance Update

Global financial markets posted mixed performance to begin 2014, as the expectations for continued US economic improvement remained robust, with both Gold and the US Dollar gaining to begin the year, despite the weak employment report. Global equity markets were also mixed, with European gains offsetting Asian and Emerging Market declines while US equities differed across sectors and market caps. European gains were led by strong gains in Italy and Spain, while Switzerland, Germany and the UK also posted gains; China led declines across Asia, with additional declines across Korea, Japan & Australia. US equities were led by Biotechnology, REITs, Healthcare and Commodity sensitive, which were partially offset by declines in Energy and Retail. The US Dollar gained against the British Pound Sterling and Euro to start the year, despite declining against the Japanese Yen. Yields declined across developed markets including the US, Canada, UK, Germany and Japan, with the US curve flattening on gains in long dated maturities, while high yield and investment grade credit tightened. Metals gained led by Gold, Platinum and Silver, while Oil and Energy Commodities declined. Sugar and Wheat led agricultural commodity declines, only partially offset by Cattle and Cocoa. Hedge funds posted gains with the HFRX Global Hedge Fund Index posting a gain of +0.45% through mid-month, while the HFRX Market Directional Index gained +0.73%.

HFRX Equity Hedge Index posted a gain of +0.73% through mid-January, with gains in Market Neutral and Fundamental managers. The HFRX Fundamental Growth Index rose +2.28% from gains concentrated in Global Healthcare and International mid- and small-cap equity. The HFRX Fundamental Value Index gained +0.14% with performance in European exposure partially offset by Consumer large-cap equity. The HFRX Market Neutral Index gained +0.40%, with gains across mean reverting and fundamental, factor-based models.

HFRX Event Driven Index posted a gain of +0.75% through mid-January, with contributions from Distressed/Restructuring and Equity Special Situations strategies. HFRX Special Situations Index gained +0.73% through mid-month from exposure to Financials, Cyclicals and Communications, with core positioning in Cole REIT, McKesson, Penn West, Tribune Co., Hertz, Ferro, North American Energy, American Realty, Time Warner and Life Technologies. The HFRX Distressed Index posted a gain of +0.94% for the period from performance in various restructurings across Consumer, Communications, Industrial and Basic Materials sectors. HFRX Merger Arbitrage Index posted a decline of -0.23%, with contributions from transactions in CapitalSource/PacWest Bancorp, Kroger/Harris Teeter, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies.

HFRX Relative Value Arbitrage Index posted a gain of +0.30% through mid-January with gains across Convertible Arbitrage and Multi-Strategy managers as credit spreads tightened while falling yields were led by gains in longer dated maturities. HFRX Fixed Income Credit Index and the HFRX Convertible Arbitrage Index gained +0.83% and +0.29%, respectively, as credit & yield gains offset volatility declines.

HFRX Macro Index posted a decline of -0.13% through mid-January, with weakness in trend-following CTA and Currency strategies, partially offset by gains in Emerging Markets and Fixed Income exposure. The HFRX Macro: Systematic Diversified Index declined -0.63% with weakness across equity and fixed income exposures, while the HFRX Emerging Markets Index posted a gain of +0.27% with contributions from Emerging Europe, as well as opportunistic Latin America and Currency exposure.


Comments reference performance as published for January 15, 2014.

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