HFRX Global Hedge Fund Index Up +0.24% In May, +2.34% YTD

Jun 2 2017 | 9:51pm ET

Hedge funds eked out a gain in May as global financial markets turned in mixed performances and volatility lessened following sharp swings around the French election and political unrest in Brazil. 

The company’s widely followed HFRX Global Hedge Fund Index gained +0.24% for the month, while its HFRX Absolute Return and HFRX Equal Weighted Strategies indexes rose +0.32% and 0.03%, respectively. The HFRX Market Directional Index, meanwhile, lost -1.93%. Three of the family’s four strategy subsets – Event Driven, Macro/CTAs, and Relative Value Arbitrage – were positive for the period, while Equity Hedge slipped.

Key highlights from HFR’s May HFRX Report:

  • The HFRX Event Driven Index posted a gain of +0.93% in May from gains in Special Situations equity and Merger Arbitrage managers. The HFRX Special Situations Index rose +1.31% from core positioning in Penn West, ClubCorp, Hilton, Yahoo, Alibaba, Actelion, Alere and Mobileye. The HFRX Merger Arbitrage Index gained +0.36% for the period with core exposures to JAB/Panera Bread, Mars/VCA, Simmons First National Corp/Southwest Bancorp, BD/Bard, Coach/Kate Spade, Intel/Mobileye and CenturyLink/Level 3 Communications transactions. The HFRX Distressed Index posted a decline of -0.20% for the period from exposure to the U.S. Industrial, Consumer and Energy/Basic Materials sectors. 
  • The HFRX Macro/CTA Index posted a gain of +0.49% for the month on gains in Emerging Markets and systematic trend-following managers. The HFRX Systematic Diversified Index posted a gain of +0.36% as the USD fell against the Euro, Japanese Yen and Swiss Franc and gained against the GBP Pound Sterling, while Commodities were mixed for the month across Energy, Metals and Agriculturals. The HFRX Emerging Markets Index posted a gain of +0.69% from exposure to the Emerging Asia and EMEA regions. 
  • The HFRX Relative Value Arbitrage Index posted a gain of +0.27% for May from gains in Multi-Strategy, MBS and Convertible Arbitrage managers, which were offset by Yield Alternative – Energy Infrastructure strategies. The HFRX RV: Multi-Strategy Index posted a gain of +0.45% for the month from gains in Fixed Income and Mortgage-Backed Securities strategies. The HFRX Convertible Arbitrage Index was flat for the period as yields remained basically unchanged and volatility declined. 
  • The HFRX Equity Hedge Index fell -0.57% for the month as European markets rose while U.S. and Emerging Markets were mixed. The HFRX Fundamental Value Index posted a decline of -0.49% due to exposure to the European and U.S. large-cap in the Financial and Consumer sectors. The HFRX Fundamental Growth Index posted a decline of -0.54% from gains in Emerging Markets which were offset by exposure to Global Healthcare strategies. The HFRX Market Neutral Index declined -1.50% from declines of mean reverting, factor based strategies and fundamental managers. 

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 more than 100 indices ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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