HFRX Global Hedge Fund Index Up +0.29% In August

Sep 6 2017 | 11:35pm ET

Hedge funds continued their winning streak in August as global financial markets were broadly steady in the face of increasing geopolitical tensions, according to new data from Hedge Fund Research.

HFR’s widely followed HFRX Global Hedge Fund Index gained +0.29% for the month, reversing a slight loss in place midway through the period. For the year to date, the benchmark index is up +3.81%. Meanwhile, HFR’s HFRX Absolute Return, HFRX Equal Weighted Strategies, and HFRX Market Directional indexes returned +0.65%, +0.19% and -0.63%, respectively.

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

  • The HFRX Macro/CTA Index rebounded +0.76% in August from gains in systematic trend-following managers and Emerging Markets strategies. The HFRX Macro Systematic Index gained +1.08% as the USD gained against the British Pound Sterling but declined against the Swiss Franc, Euro, Japanese Yen and Russian Ruble; Oil and Agriculturals sold off while Natural Gas and Metals rose. The HFRX Emerging Markets Index posted a gain of +1.61% from exposure to the Emerging Markets Market Neutral and Fixed Income strategies. 
  • The HFRX Equity Hedge Index posted a gain of +0.50% for the month as global equity markets were mixed during the period, with leadership from Biotech and Emerging Markets, and declines led by Energy, Financials, India and Spain. The HFRX Fundamental Growth Index gained +1.22% for the month from exposure to Emerging Markets, with concentration in Asia ex-Japan and Latin America, and Global Healthcare strategies. The HFRX Market Neutral Index gained +0.91% from mixed performance in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a gain of +0.09% for the period from exposure to U.S. large-cap in the Technology and Financial sectors. 
  • The HFRX Event Driven Index rose a nearly breakeven +0.08% in August, led by Special Situations equity managers. The HFRX Special Situations Index gained +0.37% from core positioning in Altaba/Yahoo, Alibaba, Mobileye, Alere, Akorn, Time Warner and Monsanto. The HFRX Merger Arbitrage Index posted a narrow gain of +0.02% for the period with core exposures to Amazon/Whole Foods, BD/Bard, EQT/Rice Energy, 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 Distressed Index posted a decline of -0.81% from exposure to the Energy, Consumer and Financial sectors. 
  • The HFRX Relative Value Arbitrage Index dipped -0.05% for August. The HFRX RV: Multi-Strategy Index rose +0.06% as gains in MBS strategies were offset by declines in Global Fixed Income managers. The HFRX Convertible Arbitrage Index declined -0.20% for the period, as volatility declined and global yields were little changed. 

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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