HFRI: Hedge Funds Gain 1.85% In February

Mar 9 2015 | 5:55am ET

Hedge fund gained an average of 1.85% in February, according to the HFRI Fund Weighted Composite Index. Meanwhile, fund of hedge funds were up 1.63% for the month.

The HFRI Event Driven Index gained 3% in February, the best monthly return since October 2011, with gains across all sub-strategies led by the HFRI ED: Activist Index, which returned 4.4%. Complementing these gains, other ED sub-strategies also produced strong performance with the HFRI ED: Special Situations Index also gaining 4.4%, while the HFRI ED: Distressed Index advanced 2.1%. Total capital invested in Event Driven strategies increased to $754 billion as of YE 2014, with nearly $120 billion of this in dedicated Activist hedge funds.
           
Equity Hedge strategies also saw significant gains in February, with the HFRI Equity Hedge Index gaining 2.8%, the strongest monthly return since January 2013. EH performance was led the HFRI EH: Multi-Strategy Index, which returned 4.1% for the month, the best performance since October 2011.  The volatile HFRI EH: Energy/Basic Materials Index climbed 2.3% for the month, snapping five consecutive months of losses over which the Index saw a drawdown of 16.5%. Similarly, the HFRI Emerging Markets: Russia/Eastern Europe Index ended a seven-month losing streak by advancing 11.75% in February, and the HFRI EH: Fundamental Value Index, the largest sub-strategy of all HFRI Indices, was up 3.1%, the largest monthly gain since January 2013.
           
Fixed income-based Relative Value Arbitrage strategies also posted the strongest gain since January 2013, despite the sharp increase in yields coming off the prior month’s record lows. The HFRI Relative Value Index gained 1.75% in February, led by Volatility-based and Credit Multi-Strategy exposures. The HFRI RV: Volatility Index gained 4.0% in the month, the strongest gain since Index inception in January 2008, while the HFRI RV: Multi-Strategy Index was up 2.0%, its strongest gain since September 2010.
           
Macro hedge funds were also in positive territory as both quantitative, trend-following and fundamental discretionary strategies adjusted and re-calibrated exposures as a result of reversals in Commodities, Fixed Income and Currencies. The HFRI Macro Index advanced 0.06%, the tenth gain in the trailing 12 months, as gains from Discretionary strategies offset losses in Systematic Macro. The HFRI Macro: Discretionary Thematic Index gained 2.1% in February, the best monthly performance since January 2013, while the HFRI Macro: Systematic Diversified Index declined 0.3%, snapping six consecutive monthly gains in which the Index advanced nearly 16%.  The HFRI Active Trading Index climbed 1.3%, while the HFRI Commodity and Currency Indices fell 0.7 and 0.8%, respectively.


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