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Wednesday, February 19, 2014

HFRX Indices Mid-February 2014 performance notes

Global financial markets posted gains through mid-February, as corporate earnings results continued to be favorable and the transition in US Federal Reserve leadership proceeded without significant modifications to existing policies. Global equity markets posted gains through mid-February, recovering early month losses and paring losses for FY 2014, with US leadership from Technology, Commodity-sensitive, Cyclicals and Healthcare sectors. European and Asian equities also posted gains through mid-month, with leadership from France, Germany, Italy and Switzerland, while Asian equities were led by China, Australia and Thailand. US yields rose as the curve steepened, with increases concentrated in longer dated maturities; European yields were little changed through mid-month as high yield credit tightened and overall asset volatility fell, despite an early month increase. The US dollar fell against the British Pound Sterling, Swiss Franc and Euro, while also declining against Emerging and Commodity currencies including Canadian Dollar, Australian Dollar, South African Rand and New Zealand Dollar. Commodities posted gains across Metals, Energy and Agriculturals, led by Oil, Natural Gas, Gold, Silver, Coffee and Soybeans. Hedge funds posted gains with the HFRX Global Hedge Fund Index gaining +0.62% through mid-month, while the HFRX Market Directional Index gained +1.45%.

HFRX Equity Hedge Index posted a gain of +1.56% through mid-February, the best gains since January '13, with contributions from Fundamental and Market Neutral managers. HFRX Fundamental Growth Index rose +2.04%, with gains concentrated in Global Healthcare and European mid- and small-cap equity. HFRX Fundamental Value Index gained +1.44% with performance in Financials, Consumer and European large-cap equity. The HFRX Market Neutral Index gained +0.61%, with gains across mean reverting, factor-based models as volatility declined and dispersion narrowed.

HFRX Event Driven Index posted a gain of +1.21% through mid-February, with contributions from Equity Special Situations and Distressed/Restructuring strategies. HFRX Special Situations Index gained +1.54% through mid-month with contributions from exposure to Energy and Industrials and Financial sectors, with core positioning in Cole REIT, Time Warner, Sensient Technologies, Apple, Herbalife and American Airlines. HFRX Distressed Index posted a gain of +0.41% through mid-month, with contributions from restructurings across Communications, Financials and Technology sectors in the US and Europe. HFRX Merger Arbitrage Index was narrowly changed through mid-month, with mixed contributions from transactions in Suntory/Beam, CapitalSource/PacWest Bancorp, Avago Technologies/LSI and Tower Financial/Old National Bancorp.

HFRX Relative Value Arbitrage Index posted a gain of +0.57% through mid-February with contributions across Convertible Arbitrage and Multi-Strategy managers as credit tightening offset rising yields. HFRX Convertible Arbitrage Index gained +0.64%, as credit gains offset volatility declines, while HFRX RV: Multi-Strategy Index and HFRX Fixed Income Credit Index posted gains of +0.55% and +0.54%, respectively. HFRX MLP Index gained +1.84% on strong demand for energy infrastructure partnerships, leading all Indices with a +3.45% YTD gain.

HFRX Macro Index posted a decline of -1.31% through mid-February, with weakness in trend-following CTA and Discretionary Macro partially offset by gains in Emerging Markets exposure. HFRX Macro: Systematic Diversified Index declined -2.02% with weakness across currency, commodity equity and fixed income exposures, while the HFRX Emerging Markets Index posted a gain of +0.09% with contributions from Asian convertible strategies, paring prior month losses.

Comments reference performance as published through February 14, 2014.

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HFRU Indices Mid-February 2014 performance notes

Global financial markets posted gains through mid-February, as corporate earnings results continued to be favorable and the transition in US Federal Reserve leadership proceeded without significant modifications to existing policies. Global equity markets posted gains through mid-February, recovering early month losses and paring gains for FY 2014, with US leadership from Technology, Commodity-sensitive, Cyclicals and Healthcare sectors. European and Asian equities also posted gains through mid-month, with leadership from France, Germany, Italy and Switzerland, while Asian equities were led by China, Australia and Thailand. US yields rose as the curve steepened, with increases concentrated in longer dated maturities; European yields were little changed through mid-month as high yield credit tightened and overall asset volatility fell, despite an early month increase. The US dollar fell against the British Pound Sterling, Swiss Franc and Euro, while also declining against Emerging and Commodity currencies including Canadian Dollar, Australian Dollar, South African Rand and New Zealand Dollar. Commodities posted gains across Metals, Energy and Agriculturals, led by Oil, Natural Gas, Gold, Silver, Coffee and Soybeans. UCITS compliant Hedge funds posted gains, with the HFRU Hedge Fund Composite Index gaining +0.82% through mid-February, the strongest gain since October 2013.

HFRU Equity Hedge Index posted a gain of +1.30% through mid-February, the strongest gain since October 2013, with positive contributions from regional exposures to European equity with concentration in Eastern Europe and Turkey, as these partially recovered prior month losses.

HFRU Event Driven Index posted a gain of +0.60% through mid-February, with contributions from European Equity Special Situations and Emerging Markets Fixed Income strategies, while Global Merger Arbitrage exposure posted mixed performance.

HFRU Macro Index posted a gain of +0.66% through mid-February, with positive contributions from Commodity: Metals and Agriculturals exposure, which were partially offset by declines in Discretionary Macro & CTA managers.

HFRU Relative Value Arbitrage Index posted a gain of +0.33% through mid-February, with gains in Real Estate and Emerging Markets Credit strategies, which were partially offset by declines in Volatility exposure.

Comments reflect performance figures as of February 17, 2014.

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Tuesday, February 4, 2014

HFRU Indices: January 2014 Performance

Global financial markets declined as volatility spiked in January, as Emerging Market currency weakness and further reduction of US Federal Reserve stimulus measures contributed to reduction in investor risk tolerance. Global equity markets posted broad based declines, with US declined led by large cap, Consumer Durables, Retail and Telecom sectors. Asian & European equities also declined, with Asian losses led by Japan & Hong Kong, European losses led by Russia and the Netherlands; Emerging Markets posted steep losses led by Brazil, Turkey and Mexico. Government bond yields declined as investors on the investor flight to quality, with US yields falling across all maturities as the curve flattened, European yields also fell across UK Gilts, German Bunds, France and Spain. Emerging markets currencies posted steep declines against the US dollar, led by the Argentine Peso and South African Rand; the US dollar gained against most currencies including the Euro, British Pound Sterling and Canadian Dollar. Commodity gains were led by Gold, Natural Gas & Cattle, which were offset by declines in Oil, Copper & Wheat. UCITS compliant Hedge funds posted mixed performance, with the HFRU Hedge Fund Composite Index declining -0.16% for January.

HFRU Event Driven Index posted a gain of +0.13% for January, with contributions from European Equity Special Situations, Merger Arbitrage and Capital Structure Arbitrage managers, which were only partially offset by Emerging Markets exposure.

HFRU Equity Hedge Index posted a decline of -0.50% for January, with positive contributions from Global Healthcare and developed Europe offset declines in Emerging Markets positioning concentrated in Eastern Europe, Turkey, Russia and Latin America.

HFRU Macro Index posted a decline of -0.38% for January, with positive contributions from Commodity- Metals and fixed income strategies, which were offset by declines in equity and Emerging Markets exposure; Systematic CTA managers had mixed performance.

HFRU Relative Value Arbitrage Index posted a gain of +0.44% for January, with gains from falling yields and credit hedging contributing to gains in Fixed Income, Asset-Backed, Volatility and Convertible strategies only partially offset by declines in Emerging Markets exposure.

Comments reference performance as posted on February 4, 2014

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HFRX Indices January 2014 performance notes

Global financial markets declined as volatility spiked in January, as Emerging Market currency weakness and further reduction of US Federal Reserve stimulus measures contributed to reduction in investor risk tolerance. Global equity markets posted broad based declines, with US declined led by large cap, Consumer Durables, Retail and Telecom sectors. Asian & European equities also declined, with Asian losses led by Japan & Hong Kong, European losses led by Russia and the Netherlands; Emerging Markets posted steep losses led by Brazil, Turkey and Mexico. Government bond yields declined as investors on the investor flight to quality, with US yields falling across all maturities as the curve flattened, European yields also fell across UK Gilts, German Bunds, France and Spain. Emerging markets currencies posted steep declines against the US dollar, led by the Argentine Peso and South African Rand; the US dollar gained against most currencies including the Euro, British Pound Sterling and Canadian Dollar. Commodity gains were led by Gold, Natural Gas & Cattle, which were offset by declines in Oil, Copper & Wheat. Hedge funds posted mixed performance with the HFRX Global Hedge Fund Index posting a decline of -0.24% for the month, while the HFRX Absolute Return Index gained +0.68% and the HFRX Equal Weighted Strategies Index gained +0.14%.

HFRX Event Driven Index posted a gain of +0.39% in the month of January, extended 2013 gains with contributions from Distressed/Restructuring and Equity Special Situations strategies. HFRX Distressed Index gained +1.08% for the period from performance in various restructurings across Communications, Basic Materials and Consumer sectors. HFRX Special Situations Index gained +0.17% for the month from exposure to Financials, Energy, Consumer Cyclicals and Utilities, with core positioning in Cole REIT, McKesson, Hertz, Ferro, American Airlines, North American Energy, American Realty, Time Warner and Life Technologies. HFRX Merger Arbitrage Index posted a narrow gain of +0.09%, with contributions from transactions in Suntory/Beam, CapitalSource/PacWest Bancorp, Avago Technologies/LSI, Kroger/Harris Teeter, FNB/BCSB Bancorp and Thermo Fisher/Life Technologies.

HFRX Macro Index posted a narrow decline of -0.07% in the month of January, with wide dispersion in performance across trend-following CTA, Currency and Emerging Markets strategies. HFRX Macro: Systematic Diversified Index gained +0.20% with gains across commodity, fixed income & currency exposures. In a volatile month for Emerging Market currencies and equities, HFRX Emerging Markets Index posted a decline of -0.87%, mitigating sharp EM equity losses with effective hedging and tactical positions, with declines concentrated in Latin America and the Middle East.

HFRX Relative Value Arbitrage Index posted a decline of -0.20% in the month of January, with gains across Convertible Arbitrage offset by declines in Multi-Strategy managers as credit widening offset falling yields as volatility increased. HFRX Fixed Income Credit Index and the HFRX Convertible Arbitrage Index gained +0.60% and +0.64%, respectively, with contributions from falling yields, volatility positions and effective credit hedging. HFRX RV Multi-Strategy Index declined -0.38% from mixed performance in global credit exposure, while yield-alternative strategies posted gains, with the HFRX MLP Index leading all sub-strategies with a gain of +1.58%.

HFRX Equity Hedge Index posted a decline of -1.01% in the month of January, with gains in Market Neutral and Fundamental Growth managers offset by declines in Fundamental Value managers. HFRX Market Neutral Index gained +0.72%, with gains across mean reverting and fundamental, factor-based models. HFRX Fundamental Growth Index rose +0.36% with contributions from Global Healthcare only partially offset by declines in Japan and UK mid- and small-cap equity. HFRX Fundamental Value Index declined -1.73% from exposure to Consumer and Global large-cap equity.

Comments reference performance figures for January 31, 2014


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