Global financial markets declined through mid-September, as volatility
returned; a weak US Employment report raised speculation on the strength of the
US economy and the likelihood of near term interest rate increases. Equities
declined through mid-month led by Energy & Financials, while European and
Asian equities also declined, led by China and Italy. US yields were mixed as
high yield credit declined and the yield curve steepened, with yields on longer
maturities rising while shorter dated yields posted narrow declines. European
yields rose across France and US, while yields in Germany and the Netherlands
moved out of negative into positive territory. The US Dollar declined against
most currencies on moderated expectations for near term interest rate
increases, Gold posted a narrow gain while Copper & Silver surged. Energy
and Agricultural commodities were mixed with gains in Natural Gas, Corn and
Wheat offset by declines in Oil, Cattle and Hogs. Hedge funds posted mixed
performance through mid-September as the HFRX Market Directional Index gained
+0.44% while the HFRX Global Hedge Fund Index remained basically unchanged for
the period.
HFRX Equity Hedge Index posted a gain of +0.45% through mid-September as equity markets experienced declines through the month. The HFRX Fundamental Growth Index gained +2.02% for the period with contributions from Global Healthcare exposure partially offset by Emerging Markets and Japanese equity. The HFRX Market Neutral Index gained +0.32% from mixed contributions from mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -0.18% from exposure to US large-cap in the Industrial and Financial sectors.
HFRX Event Driven Index posted a gain of +0.14% through mid-September, extending its gains from prior months. The HFRX Merger Arbitrage Index gained +0.32% with core exposures to CIBC/PrivateBancorp, Microsoft/LinkedIn, Avast/AVG Technologies, Apollo/Outerwall and Oracle/NetSuite transactions. The HFRX Special Situations Index gained +0.28% through mid-September from core positioning in Medivation, Yahoo, LinkedIn, Alibaba, Penn West and Alere. The HFRX Distressed Index declined -0.34% through mid-month from exposure to the Basic Materials, Industrial, Financial and Communications sectors.
HFRX Relative Value Arbitrage Index posted a decline of +0.08% through mid-September. The HFRX Multi-Strategy Index had a narrow decline of -0.04% with contributions from Mortgage Backed strategies and mixed performance of Global Credit strategies. The HFRX Convertible Arbitrage Index posted a decline of -0.12% as gains in volatility were partially offset by mixed European and U.S. yields.
HFRX Macro/CTA Index posted a decline of -0.87% through mid-September, from declines in systematic trend-following managers and Discretionary Fixed Income strategies. The HFRX Systematic Diversified CTA Index declined -1.30% for the period, as US Dollar declined against most currencies and commodities traded in a wide range.
Comments reference performance figures as published through September 15, 2016
HFRX Equity Hedge Index posted a gain of +0.45% through mid-September as equity markets experienced declines through the month. The HFRX Fundamental Growth Index gained +2.02% for the period with contributions from Global Healthcare exposure partially offset by Emerging Markets and Japanese equity. The HFRX Market Neutral Index gained +0.32% from mixed contributions from mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -0.18% from exposure to US large-cap in the Industrial and Financial sectors.
HFRX Event Driven Index posted a gain of +0.14% through mid-September, extending its gains from prior months. The HFRX Merger Arbitrage Index gained +0.32% with core exposures to CIBC/PrivateBancorp, Microsoft/LinkedIn, Avast/AVG Technologies, Apollo/Outerwall and Oracle/NetSuite transactions. The HFRX Special Situations Index gained +0.28% through mid-September from core positioning in Medivation, Yahoo, LinkedIn, Alibaba, Penn West and Alere. The HFRX Distressed Index declined -0.34% through mid-month from exposure to the Basic Materials, Industrial, Financial and Communications sectors.
HFRX Relative Value Arbitrage Index posted a decline of +0.08% through mid-September. The HFRX Multi-Strategy Index had a narrow decline of -0.04% with contributions from Mortgage Backed strategies and mixed performance of Global Credit strategies. The HFRX Convertible Arbitrage Index posted a decline of -0.12% as gains in volatility were partially offset by mixed European and U.S. yields.
HFRX Macro/CTA Index posted a decline of -0.87% through mid-September, from declines in systematic trend-following managers and Discretionary Fixed Income strategies. The HFRX Systematic Diversified CTA Index declined -1.30% for the period, as US Dollar declined against most currencies and commodities traded in a wide range.
Comments reference performance figures as published through September 15, 2016
