HFR: HFRI Index Books Third Consecutive Monthly Record

Mar 7 2017 | 9:22pm ET

Continued rallies in global equity markets during February brought Hedge Fund Research’s broadest benchmark index to its third consecutive monthly record and its eleventh gain in twelve months. 

HFR’s HFRI Fund Weighted Composite Index advanced +1.0 percent for the month, bringing YTD 2017 performance to +2.2 percent, according to a flash update from HFR. Meanwhile, the company’s HFRI Asset Weighted Composite Index posted a slightly higher return of +1.2 percent in February, increasing its YTD gain to +1.9 percent. 

HFRI indices are broadly constructed indices designed to capture the breadth of hedge fund performance trends across all strategies and regions. HFR’s other broad hedge fund measure, the HFRX Global Hedge Fund Index, gained +1.12 percent for February.

All four main strategy areas produced broad-based gains, HFR said, as Equity Hedge narrowly topped Fixed Income-based Relative Value Arbitrage strategies. Key highlights from HFR’s HFRI Monthly Indices Performance report.

  • The HFRI Equity Hedge (Total) Index gained +1.2 percent in February and leads all strategy indices YTD with a +3.1 percent return; the EH Index has climbed +14.5 percent in the trailing 12 months. EH sub-strategy performance was led by Healthcare and Technology exposures, with the HFRI EH: Sector-Healthcare Index gaining +3.0 percent in February and bringing 2017 performance to +5.3 percent, which tops the MSCI World and matches the DJIA. The HFRI EH: Sector-Technology Index advanced +2.8 percent for the month, increasing its YTD return to +5.2 percent. 
  • Hedge funds focused on Emerging Markets (EM) also strongly contributed to February performance, as the HFRI EM: Latin America Index surged +3.6 percent, bringing its YTD gain to +9.0 percent, while the HFRI EM: Asia ex-Japan Index added +2.7 percent for the month. Partially offsetting these, the HFRI EH: Sector-Energy/Basic Materials Index declined -2.8 percent, while the HFRI EH: Short Bias Index fell -3.4 percent. 
  • Lifted by exposure to corporate bonds and credit multi-strategies, Fixed Income-based Relative Value Arbitrage (RVA) also gained in February, with the HFRI Relative Value (Total) Index adding +1.1 percent, bringing YTD performance to +2.5 percent and marking the 12th consecutive monthly gain for the index. RVA performance in February was led by the HFRI RV: Yield Alternatives Index, which advanced +1.6 percent and increased its RVA sub-strategy leading YTD return to +5.0 percent. RVA funds with Corporate and Credit Multi-Strategy exposures also positively contributed for the month, as the HFRI RV: Corporate Index climbed +1.4 percent and the HFRI RV: Multi-Strategy Index added +1.3 percent. 
  • The HFRI Event-Driven (Total) Index gained +0.8 percent in February, led by Activist and Special Situations funds, and increased its YTD return to +2.3 percent. The HFRI ED: Activist Index advanced +1.0 percent for the month, recovering its January decline, while the HFRI ED: Special Situations Index added +0.9 percent, expanding its YTD return to +3.1 percent. All ED sub-strategies produced positive performance in February, as the Index received contributions from Multi-Strategy, Distressed/Restructuring, Merger Arbitrage, and Credit Arbitrage funds. 
  • The HFRI Macro (Total) Index also advanced +0.8 percent in February, recovering the prior month's decline, led by gains in quantitative, trend-following CTA strategies. The HFRI Macro: Systematic Diversified/CTA Index gained +1.8 percent, with positive contributions from equities, fixed income and commodities. The HFRI Macro: Currency Index added +0.7 percent, while the HFRI Macro: Commodity Index fell -0.4 percent.

"Hedge funds extended the record HFRI level in February with broad-based gains across most sub-strategies, led by a diverse exposure group including Healthcare, Technology, Emerging Markets, and quant CTA strategies," stated Ken Heinz, president of HFR. "While recent hedge fund performance has been positively correlated to equity and credit markets, managers remain focused on, and sensitive to, near-term macroeconomic and geopolitical risks, including new U.S. trade policies, increasing U.S. interest rates, and upcoming EU elections.” 

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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