HFRX Interim Update: Hedge Funds Mixed Through Mid-May

May 19 2016 | 7:50pm ET

Hedge funds have dipped, albeit slightly, through mid-May due to a mixed earnings picture, some weaker-than-expected economic data and continued uncertainly surrounding the Brexit vote and Asian economic growth, according to an interim update from Hedge Fund Research. 

The company’s widely-followed HFRX Global Hedge Fund Index declined -0.25% for the period, HFR said in a statement. At the same time, the HFRX Market Directional Index, whose components typically have higher volatilities and correlations with equity market benchmarks, gained +0.31%.

Other highlights from HFR’s update:

  • HFRX Event Driven Index posted a gain of +0.96% through mid-May, as large acquisition deals continued to be announced during the period. The HFRX Distressed Index posted a gain +0.97% through mid-month, extending its strong gains of the prior month, with contributions from exposure to the Non-cyclical, Basic Materials and Financial sectors. The HFRX Special Situations Index gained +0.98%, while the HFRX Merger Arbitrage Index had a gain of +0.25%.
  • HFRX Relative Value Arbitrage Index posted a decline of -0.35% through mid-May, with contribution from yield-alternative managers while convertible and credit strategies had mixed performance. The HFRX MLP Index gained +2.24% through mid-month, as energy infrastructure strategies extended the gains from the prior month. The HFRX Convertible Arbitrage Index posted a narrow decline of -0.09%, as gains in credit were offset by declines in implied volatility. The HFRX Multi-Strategy Index, meanwhile, declined -0.45% with mixed performance from global credit strategies. 
  • HFRX Equity Hedge Index posted a decline of -0.79% through mid-May as U.S., European and Asian equity markets had mixed performance. The HFRX Market Neutral Index posted a gain of +1.17% from gains in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index declined -0.54% with declines in exposure to large-cap consumer, financial and energy sectors only partially offset by gains in Industrials. 
  • HFRX Macro/CTA Index posted a decline of -0.93% through mid-May, with mixed contributions from Emerging Markets & Discretionary Fixed Income managers, offset by declines in and systematic strategies. The HFRX Emerging Markets Index posted a narrow decline of -0.12% from exposure to Emerging Asia and MENA regions, while the HFRX Systematic/CTA Index declined -1.06%. 

Established in 1992, HFR produces the HFRI, HFRX and HFRU Indices, industry benchmarks for global hedge fund performance. HFR calculates over 100 indices of hedge fund performance ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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