HFR Interim Update: Hedge Funds Up Through Mid-July

Jul 19 2017 | 10:27pm ET

Hedge funds have maintained positive momentum through the first half of July as global financial markets post broad gains across geographies and sectors despite subdued volatility, according to an interim update from Hedge Fund Research.

The company’s widely followed HFRX Global Hedge Fund Index is up 1.12% for the month through July 17, while its HFRX Market Directional Index and HFRX Equal Weighted Strategies indexes rose 1.12% and 0.50%, respectively. 

Key highlights from HFR’s mid-July update:

  • The HFRX Equity Hedge Index is up +0.88% through mid-July as global equity markets rallied during the period. The HFRX Fundamental Growth Index increased +1.09% through mid-month, from gains in exposure to Global Healthcare and Emerging Markets strategies. The HFRX Fundamental Value Index posted a gain of +0.84% for the period from exposure to European and US large-cap in the Industrial, Financial and Communications sectors. The HFRX Market Neutral Index gained +0.19% from mixed performance in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Event Driven Index has gained +0.71% so far in July from gains in Distressed/Restructuring and Special Situations equity managers. The HFRX Special Situations Index gained +0.94% for the period from core positioning in Altaba/Yahoo, Alibaba, Mobileye, Alere and Time Warner. The HFRX Distressed Index posted a gain of +0.11% from mixed performance in exposure to the U.S. Consumer, Financial and Consumer sectors. The HFRX Merger Arbitrage Index posted a modest declined of -0.08% for the period with core exposures to JAB/Panera Bread, Sterling Bancorp/Astoria Financial, Mars/VCA, Simmons First National Corp/Southwest Bancorp, BD/Bard, Cabela's/Bass Pro Shops, Intel/Mobileye and CenturyLink/Level 3 Communications transactions. 
  • The HFRX Relative Value Arbitrage Index is up +0.65% at mid-month from gains in Convertible Arbitrage, Global Credit managers and Yield Alternative – Energy Infrastructure strategies. The HFRX Convertible Arbitrage Index gained +0.64% for the period, as yields narrowly decreased while volatility declined. The HFRX RV: Multi-Strategy Index and the HFRX Fixed Income – Credit Index posted a gain of +0.64% and +0.57%, respectively, from gains in Global Fixed Income and MBS strategies. The HFRX MLP Index also rose through mid-month gaining +1.40% for the period. 
  • The HFRX Macro/CTA Index has returned +0.63% through mid-July from gains in Fixed-Income, Emerging Markets and systematic trend-following strategies. The HFRX Systematic Diversified Index posted a gain of +0.48% with the USD declining against the Euro and the British Pound sterling while gaining against the Swiss Franc and the Japanese Yen, as Energy and Metal Commodities traded in a wide margin. The HFRX Emerging Markets Index posted a gain of +0.62% 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.

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