Hedge funds positive for sixth consecutive month, says HFR |
Date: Thursday, May 9, 2013
Author: Emily Perryman, HedgeWeek
The HFRI Fund Weighted Composite Index gained 0.7 per cent for the month,
with positive contributions from US and Japanese equity exposure, tactical
commodity exposure, and falling fixed income yields globally on Bank of
Japan stimulus measures and bond purchases.
Funds of hedge funds also posted a gain for the month, with the HFRI Fund of
Funds Index gaining 1.1 per cent.
The HFRI Macro: Systematic Diversified CTA Index gained 2.3 per cent for the
month, with positive contributions from tactical exposure to steep gold,
metal and commodity declines, as well as exposure to rallying equities and
fixed income trends. CTAs have been an area of performance weakness in
recent years, as they produced calendar year declines in 2011 and 2012;
despite this, CTAs experienced net capital inflows of USD5bn in 1Q13.
Discretionary macro funds also contributed to gains for the month, with the
HFRI Macro (Total) Index gaining 1.0 per cent in April.
The HFRI Relative Value Index also gained 1.0 per cent in April, the 11th
consecutive gain for the Index, which has now posted gains in 45 of 52
months since December 2008. RVA gains were led by RV: Multi-Strategy and
Convertible Arbitrage strategies, which gained 1.5 and 1.1 per cent,
respectively. Event driven funds also produced strong gains for the month,
with the HFRI Event Driven Index gaining 0.9 per cent. Event driven gains
were led by equity special situations and credit arbitrage sub-strategy
exposures.
The HFRI Equity Hedge Index gained 0.4 per cent for the month, leading all
main strategies YTD with a gain of 5.4 per cent. Equity hedge gains were led
by sector technology/healthcare and equity market neutral strategies, which
gained 1.3 and 0.7 per cent for April, respectively. Partially offsetting
other equity hedge gains, HFRI Short-Bias and Sector Energy/Basic Materials
indices produced declines of 2.8 and 1.3 per cent for the month.
“Trend-following, quantitative macro CTAs posted their strongest monthly
gain in nearly a year as equities and commodities experienced a significant
divergence in April, with gold posting the sharpest two-day decline in 30
years while US equities ended the month at new record highs,” says Kenneth
J. Heinz, president of HFR. “Although recent market performance has been
dominated by US equity gains, both the industry-wide April gains and
leadership of macro strategies underscore the robustness of the flexible
multi-asset class exposure and the benefits of heterogeneous hedge fund
strategy performance distribution. As the risk environment evolves, macro
issues of stimulus, inflation, growth and employment will continue to drive
complex relationships between asset classes and create opportunities for
funds positioned to capture both trends and divergences.”
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