HFRX Indices performance notes
Global financial markets gained through mid-September, led by Energy commodities & European equities. European equities were led by strong gains across Germany, France, Italy, Sweden and the Netherlands; US equities posted smaller gains led by small cap exposures. Energy commodities surged through mid-month with less severe financial market impact from hurricanes than had been anticipated by many investors; Oil, Wheat, Coffee and Lumber led gains which were partially offset by declines in Copper, Hogs and Platinum. UK interest rates posted a sharp increase as the British Pound Sterling surged against the US Dollar to the highest level since Brexit; US rates and other European rates also increased through mid-month. Hedge funds gained through mid-September with the HFRX Market Directional Index and the HFRX Global Hedge Fund Index gaining +0.96%, and +0.45%, respectively.
HFRX Equity Hedge Index posted a gain of +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% for the period from exposure to European equities and US 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.
HFRX Event Driven Index posted a gain of +0.28% through mid-September 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. The HFRX Merger Arbitrage Index posted a gain of +0.43% 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 and CenturyLink/Level 3 Communications transactions. The HFRX Special Situations Index gained +0.16% from core positioning in Altaba/Yahoo, Alibaba, Mobileye, Alere, Akorn, Time Warner and Monsanto.
HFRX Relative Value Arbitrage Index posted a gain of +0.10% through mid-September 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.
HFRX Macro/CTA Index posted a decline of -0.27% through mid-September from declines in systematic trend-following managers only partially offset by gains in Emerging Markets strategies. The HFRX Macro Systematic Index posted a decline of -0.62% as the British Pound Sterling surged against the US 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.
Comments reference performance figures as published through September 19, 2017
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