HFRX Interim Update: Hedge Funds Gain Through Mid-December

Dec 20 2016 | 9:56pm ET

Hedge fund performance was generally positive at December’s halfway mark as the U.S. Federal Reserve lifted interest rates and energy commodities surged, according to a flash update from Hedge Fund Research.

The company’s widely followed HFRX Global Hedge Fund Index gained +0.84% for the month through December 16, while its HFRX Market Directional and HFRX Equal Weighted Strategies indexes rose +1.25% +0.73%, respectively.

Other highlights from HFR’s update:

  • The HFRX Event Driven Index posted a gain of +1.32%, driven by gains in Distressed/Restructuring, Special Situations equity and Merger Arbitrage managers. The HFRX Distressed Index gained +1.76%, extending prior months' gains from exposure to the Financial and Energy/Basic Materials sectors, while the HFRX Special Situations Index gained +1.19% from core positioning in Alibaba, St. Jude, Yahoo, Penn West, ClubCorp, Abbot Labs, Autoparts and Alere. Meanwhile, the HFRX Merger Arbitrage Index gained +0.58%.
  • The HFRX Equity Hedge Index posted a gain of +0.75% through mid-December as U.S., Japan and European equity markets rallied, while Emerging Markets were mixed. The HFRX Fundamental Value Index gained +1.32% from U.S. large-cap Financial, Consumer and European equities. The HFRX Fundamental Growth Index, on the other hand, fell–0.33% from exposure to Emerging Markets. The HFRX Market Neutral Index declined -0.59% for the period from mixed contributions from mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Macro/ Index posted a gain of +0.69%, reversing prior month declines from systematic trend-following managers. The HFRX Systematic Diversified CTA Index gained +1.80%, as Energy commodities rose, Gold and Silver declined as the USD strengthened against all major currencies. 
  • The HFRX Relative Value Arbitrage Index posted a gain of +0.61% from gains in Fixed Income and Yield Alternatives – Energy Infrastructure strategies. The HFRX Multi-Strategy Index gained +0.58% from Global Credit managers, while both the HFRX Fixed Income - Credit Index and the HFRX Convertible Arbitrage Index gained +0.71% as global yields rose while volatility decreased. 
  • The HFRX MLP Index posted a gain of +0.69% as Energy rose for the period, and remains the best-performing HFRX index for the year to date, up +23.81%. The next-best strategy remains the HFRX Distressed/Restructuring Index, which now sits up +19.6%

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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