Hedge funds have stayed in the plus column through mid-March as global financial markets absorbed a U.S. interest rate hike, saw further gains in global equity markets and dealt with a sharp decline in oil, according to a flash update from Hedge Fund Research.
The company’s widely followed HFRX Global Hedge Fund Index was up +0.11% for the month as of March 16, the company said, while its HFRX Market Directional Index gained +0.29%.
Key highlights from HFR’s interim update:
- The HFRX Equity Hedge Index posted a gain of +0.96% through mid-March as global equity markets were mixed during the period. The HFRX Fundamental Growth Index posted a gain of +1.27% from gains in Emerging Asia, MENA and Global Healthcare exposure. The HFRX Fundamental Value Index posted a gain of +0.85% from exposure to large-cap equity European and U.S. Financial, Industrial and Communications sectors. The HFRX Market Neutral Index gained +0.64% from gains in mean reverting, factor based strategies and fundamental managers.
- The HFRX Event Driven Index posted a decline of -0.11% for the period as gains in Merger Arbitrage and Special Situations equity managers were offset by Distressed/Restructuring strategies. The HFRX Merger Arbitrage Index gained +0.28% for the period with core exposures to SOMPO/Endurance Specialty, Suffolk/People's United Financial, LANXESS/Chemtura and Energy Transfer/Sunoco Logistics transactions. The HFRX Special Situations Index posted a gain of +0.18% from core positioning in Actelion, Yahoo, Alibaba, ClubCorp, Alere and Reynolds American. The HFRX Distressed Index declined -1.10% through mid-month from exposure to the U.S. Financial and Energy sectors.
- The HFRX Relative Value Arbitrage Index posted a decline of -0.20% through mid-March from gains in Mortgage Backed strategies, offset by declines in Convertible and Multi-Strategy managers. The Index HFRX RV: Multi-Strategy Index and the HFRX Convertible Arbitrage Index declined -0.17% and -0.30%, respectively, as yields rose with the Feds announcement while volatility declined.
- The HFRX Macro/CTA Index posted a decline of -0.43% as declines in systematic trend-following managers were only partially offset by gains in Discretionary Fixed Income strategies. The HFRX Systematic Diversified/CTA Index declined -1.16% as Oil and Precious Metals fell, Cocoa and Rice rose while the USD fell against the Euro and the Swiss Franc. The HFRX Emerging Markets Index posted a gain of +0.27% from exposure to Emerging Asia, MENA and Latin America.
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.