HFR Interim Update: Hedge Funds Gain Through Mid-September

Sep 21 2017 | 8:38pm ET

Rising global financial markets have helped most hedge funds notch strong gains as of September’s midway point, according to new data from Hedge Fund Research, although trend-following CTAs have lost ground.

The company’s widely followed HFRX Global Hedge Fund Index is up +0.45% for the month through September 19, HFR said in a statement, while its HFRX Market Directional Index has risen +0.96% over the same time span. 

Highlights by substrategy as of mid-month:

  • The HFRX Equity Hedge Index is up +1.39% through mid-September as global equity markets gained through the period. The HFRX Fundamental Growth Index gained +2.40% through mid-month from exposure to Global Healthcare and Emerging Markets strategies, with concentration in Asia ex-Japan. The HFRX Fundamental Value Index posted a gain of +0.96% from exposure to European equities and U.S. large-cap in the Consumer and Financial sectors. The HFRX Market Neutral Index gained +0.37% from mixed performance in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Event Driven Index posted a gain of +0.28% for the period, led by Distressed/Restructuring managers and Merger Arbitrage strategies. The HFRX Distressed Index posted a gain of +0.65% from exposure to the Consumer and Energy sectors while the HFRX Merger Arbitrage Index gained +0.43%. The HFRX Special Situations Index gained +0.16% from core positioning in Altaba/Yahoo, Alibaba, Mobileye, Alere, Akorn, Time Warner and Monsanto. 
  • The HFRX Relative Value Arbitrage Index is essentially breakeven at +0.10% from contributions from Convertible, Global Credit and Yield Alternatives – Energy Infrastructure strategies. The HFRX Convertible Arbitrage Index gained +0.46% for the period, as volatility declined and global yields increased. The HFRX MLP Index posted a gain of +1.06% as Energy rose for the period. The HFRX FI Credit Index posted a gain of +0.37% from Distressed and Global Fixed Income strategies, while the HFRX RV: Multi-Strategy Index had a narrow gain of +0.03% from mixed performance in Global Fixed Income and MBS managers. 
  • The HFRX Macro/CTA Index is down -0.27% through mid-September as declines in systematic trend-following managers have been only partially offset by gains in Emerging Markets strategies. The HFRX Macro Systematic Index is down -0.62% as the British Pound Sterling surged against the U.S. Dollar to the highest level since Brexit, while the USD also declined against the Euro and gained against the Japanese Yen and Swiss Franc. Oil gained while Metals rose as Agricultural commodities had mixed performance. The HFRX Emerging Markets Index posted a gain of +0.51% from exposure to the Asia ex-Japan and Latin America. 

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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