HFRX Indices: March 2014 Performance Notes
Global
financial markets posted mixed performance for the month of March, as investors
discounted the impact of rising geopolitical tension and economic sanctions
surrounding the annexation of Crimea by Russia. Global equity markets also
posted mixed performance as US equities pulled back from record valuation levels
on continued tapering of stimulus measures by US Federal Reserve and mixed
forward guidance by corporations. US sector gains were led by Energy,
Financials and Semiconductors, which offset declines in small cap,
Biotechnology, Healthcare and Cyclical exposures. European equities were also
mixed, with gains in Italy, Spain and the Netherlands offset by declines in the
UK, Germany and Russia, while Asian equities were narrowly changed for the months,
with declines in China and Hong Kong offset by gains in India and Singapore. US
yields rose slightly as high yield credit tightened and the yield curve
flattened, with shorter dated yields rising relative to longer dated; yields
declined in Italy and Spain, though European yields were only modestly changed
elsewhere. Energy and Metals commodities posted broad based declines led by
Copper, Silver and Natural Gas, while Agricultural commodities gained, led by
Corn, Hogs, Sugar and Wheat. The US dollar gained against the Euro, British
Pound Sterling and Japanese Yen, though declined against the Australian Dollar,
New Zealand dollar and Brazilian Real. Hedge funds posted mixed performance
with the HFRX Market Directional Index posting a gain of +0.19% and the HFRX
Equal Weighted Strategies posting a gain of +0.03%,while the HFRX Global Hedge Fund Index posted a decline
of -0.23%.
HFRX
Event Driven Index posted a decline of -0.13% in March,
with positive contributions from Distressed/Restructuring and Merger Arbitrage
strategies offset by Equity Special Situations managers. HFRX Distressed Index posted
a gain of +0.64% with contributions from restructurings across Technology,
Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted
a gain of +0.29%, with contributions from transactions in Facebook/Oculus VR, Suntory/Beam,
Actavis/Forest Labs, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua
Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp. HFRX
Special Situations Index declined -0.40%, with contributions from core
positioning in American Realty, Hertz, Sensient Technologies, McKesson, Apple,
Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.
HFRX
Relative Value Arbitrage Index posted a decline of -0.18% in March with
mixed contributions from Convertible Arbitrage and Multi-Strategy managers. HFRX
Fixed Income Credit Index posted a gain of +0.43% on gains in European credit
and Distressed exposures, while the HFRX MLP Index gained +2.04% on continued
demand for yield generating energy infrastructure partnerships. HFRX
Convertible Arbitrage Index posted a modest decline of -0.02% as gains in
volatility positions were offset by exposure to Asian and Japanese
convertibles. HFRX Multi-Strategy Index declined -0.22%, as gains from
Corporate Credit managers was offset by Global Fixed Income strategies.
HFRX
Macro Index posted a decline of -0.22% in March with
contributions from discretionary Currency, Fixed Income and Emerging Markets
strategies offset by declines in systematic trend-following managers. HFRX
Emerging Markets Index -0.32% with declines in Asian and select Emerging
European equities; while discretionary fixed income exposure had a partially
offsetting gain. HFRX Macro: Systematic Diversified Index declined -1.75% from
exposure to Fixed Income, Commodity and Equity trend-following strategies.
HFRX
Equity Hedge Index posted a decline of -0.37% in March with
gains in market neutral strategies offset by mixed performance across
directional strategies. HFRX Market Neutral Index gained +0.63%, with gains across
both factor-based models and fundamental, trading oriented strategies. HFRX
Fundamental Value Index declined -0.25% with positive contributions from
exposures to large cap Financials and Consumer sectors offset by declines in
European equities. HFRX Fundamental Growth Index posted a decline of -0.88%
with positive contributions from Global Healthcare and Consumer sectors offset
by declines in Japanese and Emerging Asian exposure.
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