HFR Interim Update: Hedge Funds Give Up Ground Through Mid-August

Aug 16 2017 | 10:25pm ET

Hedge funds have given up some ground so far in August, according to a flash update from Hedge Fund Research, as equity markets slip, the dollar rises and asset volatility increased around geopolitical tension and valuation concerns.

The company’s widely followed HFRX Global Hedge Fund Index is down -0.56% for the month through August 15, HFR said in a statement, bringing its YTD tally to +2.93%. The company’s Absolute Return Index, on the other hand, gained +0.21% for the period, while its HFRX Market Directional Index has been walloped so far this month, down -2.68%.

Strategy-specific highlights from HFR’s interim report for August:

  • The HFRX Relative Value Arbitrage Index posted a decline of -0.28% through mid-August, with gains by Convertible Arbitrage managers offset by drops in Global Credit and Yield Alternative - Energy Infrastructure strategies. The HFRX Convertible Arbitrage Index gained +0.07% for the period, as volatility gains were partially offset by declines in global yields. The HFRX RV: Multi-Strategy Index and the HFRX Fixed Income – Credit Index posted a decline of -0.20% and -0.16%, respectively, from declines in Global Fixed Income managers only partially offset by MBS strategies. 
  • The HFRX Event Driven Index dropped -0.61% for the period, with declines led by Special Situations equity and Distressed/Restructuring managers. The HFRX Merger Arbitrage Index declined -0.24% for the period, with core exposures to Amazon/Whole Foods, BD/Bard, Sycamore Partners/Staples, Sterling Bancorp/Astoria Financial, Mars/VCA, Simmons First National Corp/Southwest Bancorp, Cabela's/Bass Pro Shops, Intel/Mobileye and CenturyLink/Level 3 Communications transactions. The HFRX Special Situations Index declined -0.62% for the period from core positioning in Altaba/Yahoo, Alibaba, Mobileye, Alere, Time Warner and Monsanto. The HFRX Distressed Index posted a decline of -0.62% from exposure to the U.S. Industrial, Consumer and Financial sectors. 
  • The HFRX Equity Hedge Index posted a decline of -0.66% so far this month as global equity markets pulled back. The HFRX Market Neutral Index gained +0.33% from mixed performance in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -0.12% for the period from exposure to US large-cap in the Technology, Financial and Industrial sectors. The HFRX Fundamental Growth Index also declined through mid-month, from declines in exposure to Emerging Markets with concentration in Asia ex Japan, and Global Healthcare strategies. 
  • The HFRX Macro/CTA Index also fell, dropping -0.77% for the period with declines in systematic trend-following managers only partially offset by gains in Emerging Markets and Fixed Income strategies. The USD gained against most currencies. Oil and Agriculturals sold off, while Natural Gas and Aluminum rose. The HFRX Emerging Markets Index posted a gain of +0.95% from exposure to the Emerging Markets Fixed Income and Market Neutral strategies. 

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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