HFR Interim Update: Hedge Funds Mixed Through Mid-June

Jun 21 2017 | 6:31pm ET

Hedge fund performance was largely mixed at June’s halfway mark, according to an interim update from Hedge Fund research, as global financial markets reacted tentatively to an increase in U.S. interest rates, declines in energy and historically low levels of equity market volatility. 

The company’s widely followed HFRX Global Hedge Fund Index gained +0.19% for the month through June 16, while its HFRX Market Directional and HFRX Equal Weighted Strategies indexes lost -0.86% and gained +0.24%, respectively.

Key highlights from HFR’s update:

  • The HFRX Macro/CTA Index posted a gain of +0.49% through mid-June from gains in Fixed-Income strategies, Emerging Markets and systematic trend-following managers. The HFRX Systematic Diversified Index posted a gain of +0.35% as the USD strengthened, Energy and Metal Commodities fell through mid-month and Agriculturals traded in a wide margin. The HFRX Emerging Markets Index posted a gain of +0.56% from exposure to the Emerging Asia and Latin America regions. 
  • The HFRX Equity Hedge Index posted a gain of +0.41% for the period as U.S. and Asia equity markets rose while European weakened during the period. The HFRX Fundamental Growth Index increased +0.67% from gains in Global Healthcare and Emerging Markets strategies. The HFRX Fundamental Value Index posted a gain of +0.31% for the period from exposure to US large-cap in the Industrial, Financial and Consumer sectors. The HFRX Market Neutral Index gained +0.31% from mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Event Driven Index was basically unchanged in the first half of June, as gains in Merger Arbitrage managers were offset by Distressed/Restructuring strategies. The HFRX Merger Arbitrage Index gained +0.48% 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 Special Situations Index was unchanged for the period from core positioning in Yahoo, Alibaba, Penn West, ClubCorp, Hilton, Alere and Mobileye. The HFRX Distressed Index posted a decline of -0.14% from mixed performance in exposure to the U.S. Energy/Basic Materials, Industrial and Consumer sectors. 
  • The HFRX Relative Value Arbitrage Index posted a narrow decline of -0.07% through mid-June as gains in Convertible Arbitrage managers which were partially offset by Yield Alternative – Energy Infrastructure strategies. The HFRX Convertible Arbitrage Index gained +0.51% for the period as bond yields declined despite the interest rate increase by the Fed while volatility also declined. The HFRX RV: Multi-Strategy Index posted a decline of -0.08% through mid-month from mixed performance in Fixed Income strategies. 

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.

In Depth

PAAMCO: Will Inflation Deflate the Asset Bubble?

Jan 30 2018 | 9:49pm ET

As the U.S. shifts from monetary stimulus to fiscal stimulus, market pricing should...


CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Boost Hedge Fund Marketing ROI By Raising Your ROO

Feb 14 2018 | 9:57pm ET

Tasked with delivering returns on client capital, a common dilemma for many alternative...