HFR: Global Hedge Fund Index Posts Seventh Straight Gain

Oct 4 2016 | 8:11pm ET

Hedge funds had a good September despite relatively mixed performance on global financial markets, according to new data from Hedge Fund Research. 

The HFRX Global Hedge Fund Index gained +0.55% for the period, the company said, booking its seventh consecutive monthly gain following a barely-positive +0.16% in August. The measure is now up 1.22% for the year to date. 

Meanwhile, HFR’s HFRX Market Directional Index gained a strong +1.97%, pushing its YTD gain to 7.85%. This index selects constituents that exhibit higher volatilities and correlations to directional equity, bond market and hedge fund industry benchmarks.

HFR said that performance among its family of strategy indexes was largely driven by investors discounting moderate rate increases into 2017, rallies in commodities and emerging markets, and mixed equity markets. 

Performance highlights from HFR’s September report:

  • The HFRX Equity Hedge Index posted a gain of +1.53% for September and is now nearly breakeven for the year to date at -0.69%. The HFRX Fundamental Growth Index gained +4.35% for the period, its strongest performance in 18 months, driven largely by contributions from Global Healthcare, Emerging Markets and Japanese equity. The HFRX Fundamental Value Index posted a gain of +0.47%, benefitting from exposures U.S. large-cap in the Energy/Basic Materials and Industrial sectors. The HFRX Market Neutral Index gained +0.36% from mixed contributions from mean reverting, factor based strategies and fundamental managers, HFR said. 
  • The HFRX Relative Value Arbitrage Index posted a gain of +0.50% for September. The HFRX Multi-Strategy Index had a gain of +0.49% with mixed performance of Global Credit strategies and contributions from Mortgage Backed strategies. The HFRX Convertible Arbitrage Index posted a gain of +0.30% as volatility increased while global yields remained subdued, and is up 5.17% YTD. The HFRX MLP Index gained +2.99% for the month on rising Energy prices and is now up a colossal +21.51%.
  • Event driven strategies were largely breakeven despite strong activity in the period. The  HFRX Event Driven Index posted a gain of only +0.05% for September from gains in Merger Arbitrage and Distressed/Restructuring strategies. The HFRX Merger Arbitrage Index gained +0.48% with core exposures to CIBC/PrivateBancorp, NICE Systems/inContact, Avast/AVG Technologies, Apollo/Outerwall and Oracle/NetSuite transactions. The HFRX Distressed Index gained +0.22% for month from exposure to the Basic Materials, Financial and Consumer sectors. 
  • The HFRX Macro/CTA Index posted a decline of -0.15% for September, from mixed performance in systematic trend-following managers and declines in Discretionary Fixed Income strategies. The HFRX Systematic Diversified CTA Index gained +0.07% for the period, as U.S. dollar was mixed against major currencies and Energy and Metals posted gains, while Agricultural commodities traded in a wide range. 
  • The HFX Emerging Markets Composite Index gained +0.99% for September from exposure to Asia ex-Japan, Latin America and the EMEA regions, pushing its YTD gain into the green at +0.94%.

Heading into the final quarter of 2016, the HFRX MLP index is easily the family’s best performer, up the aforementioned +21.51%, followed by the HFRX Distressed/Restructuring Index, which gained +0.22% in the month and sits +13.56%.

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

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