HFRX Global Hedge Fund Index Up +0.21% In June, +2.56% In 2017's First Half

Jul 5 2017 | 7:09pm ET

Hedge funds posted gains in June as global financial markets posted mixed performance, the U.S. Fed hiked interest rates and implied volatilities remained near historical lows, according to a flash update from Hedge Fund Research.

The company’s HFRX Global Hedge Fund Index gained 0.21% for the month, bringing its year-to-date return at 2017’s halfway mark to 2.56%. Meanwhile, its HFRX Absolute Return, HFRX Equal Weighted Strategies, and HFRX Market Directional indexes rose +0.10%, 0.37% and 0.59%, respectively. Two of HFR’s four strategy subindexes were positive for the period.

Key highlights from HFR’s HFRX June performance report:

  • The HFRX Equity Hedge Index posted a gain of +0.86% for June and is up +3.73% YTD. Emerging Markets and U.S. sectors were mixed while European equity markets declined during the period. The HFRX Fundamental Growth Index increased +2.06% for the month and +8.33% YTD, from gains in exposure to Global Healthcare and Emerging Markets strategies. The HFRX Fundamental Value Index posted a gain of +0.39% for the month from exposure to U.S. large caps in the Industrial, Consumer and Financial sectors. The HFRX Market Neutral Index gained +0.60% from mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Relative Value Arbitrage Index returned +0.21% in June from gains in Convertible Arbitrage and Global Credit managers, and is up +1.71% for the first half. The HFRX Convertible Arbitrage Index gained +1.06% for the period and +4.35% YTD, as yields narrowly increased while volatility remained subdued. The HFRX Fixed Income – Credit Index and the HFRX RV: Multi-Strategy Index posted gains of +0.51% and +0.10%, respectively, from mixed performance in Fixed Income strategies. 
  • The HFRX Event Driven Index dipped -0.03% to end June essentially breakeven and +4.61% YTD. Gains during the month from Distressed/Restructuring and Merger Arbitrage managers were offset by Special Situations equity strategies, HFR said. The HFRX Distressed Index posted a gain of +0.57% from mixed performance in exposure to the U.S. Consumer, Financial and Energy/Basic Materials sectors. The HFRX Merger Arbitrage Index gained +0.46% 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 declined -0.23% for the period from core positioning in Altaba/Yahoo, Alibaba, Time Warner, ClubCorp, Alere and Mobileye. 
  • The HFRX Macro/CTA Index fell -0.41% for the month and sits down -0.75% for the year to date. Gains in Fixed-Income and Emerging Markets strategies were offset by declines in systematic trend-following managers during the month. The HFRX Systematic Diversified Index posted a decline of -1.48% as the USD declined against the Euro, British Pound, Swiss Franc, Energy fell for the month and Metal and Agricultural Commodities traded in a wide margin. On the other hand, the HFRX Emerging Markets Index posted a gain of +0.47% from exposure to the Emerging Asia and Latin America regions. 

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.

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...