HFR: HFRX Global Hedge Fund Index Up +0.60% In September, +4.43% YTD

Oct 4 2017 | 7:04pm ET

Hedge funds remained broadly in the plus column in September as global financial markets gained and U.S. bond yields rose, according to new data from Hedge Fund Research, although CTAs faced renewed pressure. 

HFR’s widely followed HFRX Global Hedge Fund Index gained +0.60% for the month, following gains in July and August. For the year to date, the benchmark index is up +4.43%. Meanwhile, HFR’s HFRX Equal Weighted Strategies, HFRX Absolute Return, and HFRX Market Directional indexes returned +0.49%, +0.71% and +0.94%, respectively.

Three of HFR’s four main strategy subindexes were positive for the period. Key highlights:

  • The HFRX Equity Hedge Index posted a gain of +1.82% for September as developed equity markets gained for the month while Emerging Markets were mixed. The HFRX Fundamental Growth Index gained +1.91% for month from exposure to Global Healthcare, Technology and Emerging Asia strategies. The HFRX Fundamental Value Index posted a gain of +1.88% for the period from exposure to U.S. large-cap Industrial, Consumer and Financial sectors. The HFRX Market Neutral Index gained +0.63% from mixed performance in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Event Driven Index rose +0.79% in September, led by Special Situations equity managers and Merger Arbitrage strategies. The HFRX Special Situations Index gained +1% from core positioning in Altaba/Yahoo, Alibaba, Alere, Akorn, Time Warner, Hilton and Monsanto. The HFRX Merger Arbitrage Index posted a gain of +0.45% for the period with core exposures to Amazon/Whole Foods, BD/Bard, EQT/Rice Energy, Pamplona Capital/Parexel, Sycamore Partners/Staples, Sterling Bancorp/Astoria Financial, Mars/VCA, Simmons First National Corp/Southwest Bancorp, Cabela's/Bass Pro Shops and CenturyLink/Level 3 Communications transactions. The HFRX Distressed Index posted a gain of +0.18% as gains in exposure to Energy were partially offset by declines in the Consumer sector. 
  • The HFRX Relative Value Arbitrage Index returned +0.25% in the month from contributions from Convertible, Global Credit and Yield Alternatives – Energy Infrastructure strategies. The HFRX Convertible Arbitrage Index gained +0.60% for the period, as volatility declined and global yields increased. The HFRX MLP Index posted a gain of +1.27% as Energy rose for the period. The HFRX RV: Multi-Strategy Index had a gain of +0.18% from mixed performance in Global Fixed Income and MBS managers. 
  • The HFRX Macro/CTA Index declined during the month, dropping -1.03% as declines in systematic trend-following managers were only partially offset by gains in Discretionary Emerging Markets strategies. The HFRX Macro Systematic Index posted a decline of -1.80% as the British Pound Sterling surged against the US Dollar while the USD gained against the Japanese Yen and Euro. Oil gained while Metals declined and Agricultural commodities had mixed performance. 

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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