HFR: Hedge Funds Book Best Annual Return Since 2013

Jan 4 2018 | 10:48pm ET

A positive December closed out a strong year of returns for hedge funds, according to Hedge Fund Research, as passage of U.S. tax reforms added to a generally risk-on environment heading into year-end. 

HFR’s widely-followed HFRX Global Hedge Fund Index returned +0.73% for the month and +6.0% for the year, its best yearly performance since 2013. 

Substrategy performance was as follows:

  • The HFRX Equity Hedge Index posted a gain of +1.03% for December and +10.0% YTD, its best yearly performance since 2013, with gains from fundamental strategies. The HFRX Fundamental Growth Index gained +2.43% for the month ending the year with a gain of +20.1%, its best yearly performance in 10 years, from exposure to Global Healthcare, Emerging Asia, Consumer and Technology equities. The HFRX Fundamental Value Index gained +0.45% for the month, +6.2% YTD, its best yearly performance since 2013, from exposure to U.S. large-cap Financial, Technology and Energy sectors. The HFRX Market Neutral Index posted a decline of -0.72% but gained +1.73% YTD, from declines in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Event Driven Index returned +0.39% for December and +6.5% YTD, its second largest yearly performance since 2013, from gains in Distressed, Special situations equity and Merger Arbitrage strategies. The HFRX Distressed Index posted a gain of +0.92% for the month and +3.1% YTD, from exposure to Consumer and Industrial sectors. The HFRX Merger Arbitrage Index posted a gain of +0.40% for the month, +2.2% YTD, with core exposures to Arby's/Buffalo Wild Wings, Disney/21st Century Fox, CVS/Aetna, Hershey/Amplify Snack Brands, and Cineworld/Regal Entertainment transactions. The HFRX Special Situations Index gained +0.23% for the month, +7.8% YTD, also its second largest yearly performance since 2013, from core positioning in Altaba/Yahoo, Disney, 21st Century Fox, Time Warner, Alibaba, Akorn, NXP Semiconductors and Monsanto. 
  • The HFRX Relative Value Arbitrage Index rose +0.67% for December and +3.8% for the year, its best yearly performance since 2010, from gains in Global Credit, Yield Alternatives – Energy Infrastructure, Convertible and MBS strategies. The HFRX RV: Multi-Strategy Index gained +0.55% for the month, +3.6% YTD, also its best yearly performance since 2010, from exposure to Global Credit managers and MBS strategies. The HFRX Convertible Arbitrage Index gained +0.69% for December, +7.2% YTD, its best yearly performance since 2013, as global yields modestly increased while volatility declined. 
  • The HFRX Macro/CTA Index posted a gain of +0.82% for December and +2.5% YTD, its best yearly performance in the past 3 years, from gains in systematic trend-following and Emerging Markets managers which were only partially offset by Discretionary Global Fixed Income strategies. The HFRX Macro Systematic Index gained +1.99% for the month, +5.1% YTD, its best yearly performance since 2010, as the US Dollar gained against the British Pound Sterling and Japanese Yen, while declined against the Swiss Franc and the Euro; commodities were mixed with gains in Oil, Copper, Aluminum, and Hogs and declines in Rice, Cocoa & Soybeans. 

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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