HFRX Global Hedge Fund Index Essentially Flat In March, Up + 1.66% YTD

Apr 4 2017 | 6:51pm ET

Broad measures of hedge fund performance stayed in the winning column in March – albeit barely – despite an interest rate hike by the Federal Reserve and mixed performance on global financial markets, according to recent data from Hedge Fund Research.

The company’s widely-followed HFRX Global Hedge Fund Index rose +0.03% for the month following a +1.12% gain in February, the company reported. The essentially breakeven result leaves the measure up +1.66% for the year to date.

Other broad HFRX indexes also ended March in the green; the HFRX Absolute Return Index rose +0.25% to stand up +0.65% YTD, while the HFRX Equal Weighted Strategies Index gained +0.05% and is up +1.50% YTD. The company’s HFRX Market Directional Index, meanwhile, rose +0.19% in March and is up +3.17% so far this year. 

Highlights of HFR’s March performance report:

  • The HFRX Equity Hedge Index posted a gain of +0.66% for March as global equity markets were mixed during the period. The HFRX Fundamental Growth Index posted a gain of +1.23% from gains in Emerging Asia, Europe and Latin America exposure. The HFRX Market Neutral Index gained +0.74% from gains in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a gain of +0.41% from exposure to large-cap equity European and U.S. Financial, Industrial and Consumer sectors. 
  • The HFRX Event Driven Index gained +0.33% during the month on gains in Special Situations equity and Merger Arbitrage managers, which were partially offset by Distressed/Restructuring strategies. The HFRX Special Situations Index posted a gain of +0.72% from core positioning in Actelion, Yahoo, Alibaba, Penn West, ClubCorp, Alere and Reynolds American. The HFRX Merger Arbitrage Index gained +0.35% for the period with core exposures to Simmons First National Corp/ Southwest Bancorp, Suffolk/People's United Financial, CenturyLink/Level 3 Communications, LANXESS/Chemtura and Energy Transfer/Sunoco Logistics transactions. The HFRX Distressed Index declined -0.93% for month from exposure to the U.S. Financial and Energy sectors. 
  • The HFRX Relative Value Arbitrage Index, meanwhile, declined -0.24% as gains in Convertible Arbitrage and Mortgage Backed strategies were offset by declines in Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +0.16% Index from gains in increased volatility partially offset by declines from increasing yields, while the HFRX RV: Multi-Strategy Index declined -0.30% for the month. 
  • The HFRX Macro/CTA Index also fell, dropping -0.97% in March as declines in systematic trend-following managers were only partially offset by gains in Discretionary Fixed Income strategies. Of note: the HFRX Emerging Markets Index posted a gain of +0.62% from exposure to Emerging Asia 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.

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