HFRX Interim Update: Hedge Fund Win Streak Continues

Oct 18 2017 | 10:39pm ET

Hedge funds are maintaining positive momentum through mid-October as global financial markets remain strong and global interest rates largely tread water, according to a flash update from Hedge Fund Research. 

Equity markets in particular have been trending higher, with the Dow hitting a new record and sector leadership from cyclicals and semiconductors, HFR said. The company’s HFRX Global Hedge Fund Index was up +0.43% through October 16, while its HFRX Equal Weighted Strategies Index was up +0.14% and its HFRX Market Directional Index was up +0.28%. The HFRX Absolute Return Index slipped slightly, down -0.04%. 

For the year to date, the measures are +4.88%, +3.95%, +3.21% and +2.63%, respectively. Highlights from HFR’s October interim report:

  • The HFRX Macro/CTA Index posted a gain of +0.93% through mid-October as gains in systematic trend-following managers were only partially offset by declines in Discretionary Global Fixed Income and Emerging Markets strategies. The HFRX Macro Systematic Index posted a gain of +2.32% as the US Dollar gained against the British Pound Sterling and Mexican Peso, Metals, Hogs, Lumber and Sugar rose while Rubber and Coffee declined. 
  • The HFRX Equity Hedge Index posted a gain of +0.75% for the period as global markets gained through mid-month. The HFRX Fundamental Growth Index gained +2.36% for the month from exposure to Emerging Asia, Technology and Global Healthcare strategies. The HFRX Fundamental Value Index was basically unchanged for the period as gains in exposure to European equities and US Financial sector were offset by positioning in US large-cap Industrial and Consumer equities. The HFRX Market Neutral Index declined -0.35% from mixed performance in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Relative Value Arbitrage Index posted a gain of +0.30% through mid-month from contributions from Convertible and Global Credit managers were partially offset by declines in Yield Alternatives – Energy Infrastructure strategies. The HFRX RV: Multi-Strategy Index had a gain of +0.32% from gains in Global Fixed Income and MBS managers. The HFRX Convertible Arbitrage Index gained +0.29% for the period, as volatility edged up and global yields were little changed. 
  • The HFRX Event Driven Index posted a decline of -0.18% through mid-October as Distressed/Restructuring strategies declined. The HFRX Special Situations Index gained +0.05% from core positioning in Altaba/Yahoo, Alibaba, Akorn, Time Warner, Hilton and Monsanto. The HFRX Merger Arbitrage Index was basically unchanged for the period with core exposures to Amazon/Whole Foods, BD/Bard, EQT/Rice Energy, Broadcom /Brocade, Sterling Bancorp/Astoria Financial, Simmons First National Corp/Southwest Bancorp and CenturyLink/Level 3 Communications transactions. The HFRX Distressed Index posted a decline of -0.88% from exposure to Energy and Consumer sectors. 

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.

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