HFRX Global Hedge Fund Index Up +0.69% In October

Nov 3 2017 | 7:22pm ET

Hedge funds continued to advance in October supported by rising global financial markets, a surging U.S. dollar and recovering energy markets, according to an update from Hedge Fund Research. 

The company’s widely followed HFRX Global Hedge Fund Index gained +0.69% for the month, bringing its year-to-date return to +5.15%. The company’s Absolute Return, HFRX Equal Weighted Strategies, and HFRX Market Directional indexes returned +0.42%, +0.36% and -0.37%, respectively. 

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

  • The HFRX Macro/CTA Index posted a solid gain of +1.92% for October as gains in systematic trend-following and Emerging Markets managers were only partially offset by declines in Discretionary Global Fixed Income strategies. The HFRX Macro Systematic Index posted a gain of +3.67% as the US Dollar gained against all major currencies, Oil, Metals, Hogs, Lumber and Sugar rose while Rubber and Wheat declined.
  • The HFRX Equity Hedge Index rose +0.79% in October as global stock markets gained for the month. The HFRX Fundamental Growth Index gained +2.36% for the month from exposure to Asia, Technology and Industrial equities, while Global Healthcare strategies detracted from performance. The HFRX Fundamental Value Index gained +0.08% for the period as gains in exposure to European equities and U.S. Financial sector were offset by positioning in US large-cap Industrial equities. The HFRX Market Neutral Index declined -0.34% from mixed performance in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Relative Value Arbitrage Index gained +0.52% for the month as contributions from Convertible and Global Credit managers were offset by declines in Yield Alternatives – Energy Infrastructure strategies. The HFRX RV: Multi-Strategy Index had a gain of +0.62% from gains in MBS and Global Fixed Income managers. The HFRX Convertible Arbitrage Index gained +0.58% for the period, as volatility edged up and global yields were little changed. 
  • The HFRX Event Driven Index was the lone decliner in the month, dropping -0.13% for October as Distressed/Restructuring strategies declined for the period. The HFRX Special Situations Index gained +0.04% from core positioning in Altaba/Yahoo, Alibaba, Akorn, Time Warner, NXP Semiconductors and Monsanto. The HFRX Merger Arbitrage Index was basically unchanged for the period with core exposures to BD/Bard, EQT/Rice Energy, Broadcom/Brocade, Columbia Banking System/Pacific Continental and CenturyLink/Level 3 Communications transactions. The HFRX Distressed Index posted a decline of -0.69% from exposure to Consumer and Basic Material 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 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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