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Cautious investors hold new allocations as volatility accelerates
HFR (Hedge Fund Research, Inc.) Report
Emerging markets hedge funds posted strong performance gains in October, reversing sharp losses from September as emerging market (EM) economies and assets continue to experience volatility relating to the European sovereign debt crisis. The HFRX Total Emerging Markets Index gained +4.1 percent in October following a decline of -5.0 percent in September; while intra-month volatility was even more pronounced in specific regions, including Latin America and Russia. In response to this volatility, investors hesitated on making new allocations to EM hedge funds, which saw a modest net outflow of $197 million (0.17 percent of assets under management in EM funds) for the 3Q11, according to the HFR Emerging Markets Hedge Fund Industry Report, released today by HFR. As a result of September losses, total EM hedge fund assets declined by $7.2 billion from the record level established at mid-year to end the third quarter at $115.7 billion.
Net asset flows and asset levels were also only narrowly changed across EM strategies and regions. Investors allocated new capital to EM Event Driven and Relative Value funds, while reducing capital in Equity Hedge and Macro funds. Most regions also showed narrow changes in asset flows over the quarter, with the most significant change being an inflow of $145 million to funds investing across Multiple Emerging Markets.
Reflecting investor interest in lower equity market correlation, the number of EM hedge funds executing Relative Value and Macro strategies continued to increase. Nearly 18 percent of EM hedge funds are Relative Value strategies as of the end of 3Q, utilizing leverage to trade primarily corporate and sovereign fixed income, while over 11 percent are Macro strategies, trading across asset classes with an emphasis on currency and commodities.
Despite the volatility, EM hedge funds have performed well against local equity and currency markets, which have experienced sharp declines in recent months. The HFRX Latin America Index recovered +5.2 percent in October after declining -8.5 percent in September; YTD through October the index has declined less than 7 percent while the Bovespa has declined -15.8 percent. Similarly, the HFRX Russia/Eastern Europe Index gained +5.5 percent in October after a decline of -7.5 percent in September; for the year, the index has declined -11.0 percent through October while Russian equity markets have declined more than -12 percent.
“Emerging market asset volatility has accelerated in recent months in response to external factors and internal EM fundamentals, a trend which is likely to continue to present both opportunities and challenges for hedge funds and investors,” said Kenneth J. Heinz, President of HFR. “Emerging market hedge funds offer sophisticated access to strategies which complement existing EM equity and sovereign fixed income positions with Macro and Arbitrage strategies designed to monetize opportunities in currencies, equities and sovereign bonds, while mitigating certain aspects of directional volatility inherent in emerging market investing.”
Newly launched HFRX Korea Index gains +8.3 percent in October
HFRX Korea Index is comprised of hedge funds investing primarily in Korea and the latest addition to HFR’s comprehensive suite of HFRX EM and Asian hedge fund benchmarks. This new index reflects the increased growth and influence of hedge funds in Asia, and specifically the growth of investors and hedge funds located in Emerging Asia.
Monday, November 21, 2011
The Dow Jones Credit Suisse Hedge Fund Index Up 1.73% in October
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The Dow Jones Credit Suisse Hedge Fund Index (the “Broad Index”) rebounded from September losses to start the fourth quarter up 1.73%.
Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "The Dow Jones Credit Suisse Hedge Fund Index was up 1.73% in October, marking its largest monthly gain since April. Long/Short Equity was the best performing sector, finishing up 4.45% for the month, while Emerging Markets gained 3.70%. Conversely, the Dedicated Short Bias sector was the worst performer, declining -9.59% in October; the strategy, however, remains up 2.34% year-to-date."
Performance for the Broad Index and its ten sub-strategies is calculated monthly. October, September and YTD performance numbers are listed below and are available at www.hedgeindex.com.
Category Oct 2011 Sep 2011 YTD 11
Dow Jones Credit Suisse Hedge Fund Index 1.73% -3.20% -1.53%
Convertible Arbitrage 1.18% -1.77% 1.10%
Dedicated Short Bias -9.59% 8.45% 2.34%
Emerging Markets 3.70% -7.47% -3.43%
Equity Market Neutral 2.76% -2.22% 4.90%
Event Driven 2.56% -5.06% -7.38%
Distressed 1.99% -3.28% -3.02%
Multi-Strategy 2.90% -6.15% -9.97%
Risk Arbitrage 1.91% -1.63% 1.47%
Fixed Income Arbitrage 0.14% -0.19% 3.78%
Global Macro 0.18% -0.07% 6.01%
Long/Short Equity 4.45% -5.22% -5.08%
Managed Futures -5.06% -0.78% -5.11%
Multi-Strategy 2.05% -2.37% 2.61%
The following funds are no longer reporting to the Dow Jones Credit Suisse Hedge Fund Index: Jupiter Europa Hedge Fund Ltd., Tiedemann European Opportunities L.P./Ltd., Quantum Endowment Fund, N.V., and Ashmore Emerging Markets Liquid Investment Portfolio (EMLIP).
The Dow Jones Credit Suisse family of hedge fund indexes includes:
1. The Dow Jones Credit Suisse Hedge Fund Index, an asset-weighted benchmark that seeks to measure hedge fund performance and provide the most accurate representation of the hedge fund universe.
2. The Dow Jones Credit Suisse Core Hedge Fund Index, an investable, asset-weighted hedge fund index that seeks to provide broad representation of the liquid, investable hedge fund universe with limited platform bias. The index reflects the performance of managed accounts and other regulated fund structures sourced from across a range of platforms.
3. The Dow Jones Credit Suisse AllHedge Index, an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
4. The Dow Jones Credit Suisse Blue Chip Hedge Fund Index, an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
5. The Dow Jones Credit Suisse LEA Hedge Fund Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
The Dow Jones Credit Suisse Hedge Fund Index (the “Broad Index”) rebounded from September losses to start the fourth quarter up 1.73%.
Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "The Dow Jones Credit Suisse Hedge Fund Index was up 1.73% in October, marking its largest monthly gain since April. Long/Short Equity was the best performing sector, finishing up 4.45% for the month, while Emerging Markets gained 3.70%. Conversely, the Dedicated Short Bias sector was the worst performer, declining -9.59% in October; the strategy, however, remains up 2.34% year-to-date."
Performance for the Broad Index and its ten sub-strategies is calculated monthly. October, September and YTD performance numbers are listed below and are available at www.hedgeindex.com.
Category Oct 2011 Sep 2011 YTD 11
Dow Jones Credit Suisse Hedge Fund Index 1.73% -3.20% -1.53%
Convertible Arbitrage 1.18% -1.77% 1.10%
Dedicated Short Bias -9.59% 8.45% 2.34%
Emerging Markets 3.70% -7.47% -3.43%
Equity Market Neutral 2.76% -2.22% 4.90%
Event Driven 2.56% -5.06% -7.38%
Distressed 1.99% -3.28% -3.02%
Multi-Strategy 2.90% -6.15% -9.97%
Risk Arbitrage 1.91% -1.63% 1.47%
Fixed Income Arbitrage 0.14% -0.19% 3.78%
Global Macro 0.18% -0.07% 6.01%
Long/Short Equity 4.45% -5.22% -5.08%
Managed Futures -5.06% -0.78% -5.11%
Multi-Strategy 2.05% -2.37% 2.61%
The following funds are no longer reporting to the Dow Jones Credit Suisse Hedge Fund Index: Jupiter Europa Hedge Fund Ltd., Tiedemann European Opportunities L.P./Ltd., Quantum Endowment Fund, N.V., and Ashmore Emerging Markets Liquid Investment Portfolio (EMLIP).
The Dow Jones Credit Suisse family of hedge fund indexes includes:
1. The Dow Jones Credit Suisse Hedge Fund Index, an asset-weighted benchmark that seeks to measure hedge fund performance and provide the most accurate representation of the hedge fund universe.
2. The Dow Jones Credit Suisse Core Hedge Fund Index, an investable, asset-weighted hedge fund index that seeks to provide broad representation of the liquid, investable hedge fund universe with limited platform bias. The index reflects the performance of managed accounts and other regulated fund structures sourced from across a range of platforms.
3. The Dow Jones Credit Suisse AllHedge Index, an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
4. The Dow Jones Credit Suisse Blue Chip Hedge Fund Index, an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
5. The Dow Jones Credit Suisse LEA Hedge Fund Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
Friday, November 18, 2011
MHP Hedge Funds and Social Media Survey 2011
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In a survey of 77 hedge fund managers globally, each with at least US$ 1.0 bn in assets under management*, the MHP Survey 2011 has found that hedge fund managers are ignoring social media. 8% are still without a corporate website, let alone a Twitter feed or a Facebook wall.
The survey found that only 1% of the 77 hedge fund managers are active on Twitter, 3% have their own channel on YouTube and none have a wall on Facebook. However, 23% have an active presence on LinkedIn.
Martin Forrest, director, asset management and author of the MHP Survey 2011 says:
“The findings did not surprise us. Historically, hedge fund managers have deliberately kept a low profile and managed their reputations accordingly. They are also concerned about the regulatory implications of social media. As such, adoption of social media is extremely low.
“In the short term, this is not an issue as social media at an institutional level in the asset management industry is in its infancy and very much in ‘broadcasting’ rather than the more interactive mode for which it was intended.
“However, social media is an emerging communications channel for hedge fund stakeholders, particularly current and future employees and clients as well as journalists in financial services media, in their work and personal lives. They are already tweeting and on Facebook, reading news on IPads rather than hardcopy newspapers, communicating and consuming information digitally.
“Many hedge fund managers have a presence on LinkedIn through their current and former employees. For example, social media is a primary communication channel for high-level technology experts sought by quant funds.
“Hedge fund managers should start using social media more actively as additional channels through which to communicate and build lasting relationships with their stakeholders and to develop the reputation of their firms. Taking control of their content, by becoming the best provider of it, is important.”
“Hedge fund managers should also look at social media initiatives in the wider asset management community for inspiration.”
Twitter
Out of 77 hedge fund managers surveyed, only MAN Investments has an active twitter feed (@ManViewpoint). It is using Twitter to tweet about a whole range of issues
economic/investment views, corporate announcements, marketing events and press coverage. 4% of managers are sitting on the Twitter fence. They have secured their corporate name as a Twitter account to protect their brand/intellectual property (IP) but have not been active and not tweeted.
LinkedIn
79% of hedge fund managers surveyed have a presence on LinkedIn with 23% of the 77 surveyed taking active control of their brands on LinkedIn. It is the most used form of social media. The level of LinkedIn employees and followers tends to have a strong correlation with the size and reputation. The three managers surveyed with the most number of employees LinkedIn are: Citadel Investment Group – 1107 employees; MAN Investments – 911; Bridgewater Associates – 856. The three managers with the highest number of followers are: Citadel Investment Group – 3473 followers; Bridgewater Associates – 2606; MAN Investments – 2118.
YouTube
Two hedge fund managers (3% of those surveyed) have their own YouTube channel. Man Investments (Australia) is using it to show short films that it has produced on a range of topics including broad economic/investment views and marketing events. The Bridgewater Associates channel shows footage of an executive making a speech at an industry event. The 19% that have a ‘presence through broadcasters’ are those whose executives have interviewed on TV stations.
Facebook
Facebook is the least used form of social media. No hedge fund manager surveyed has an active Facebook page including a ‘wall.’ 66% have a passive presence whilst 34% have no presence at all.
The geographical spread of the 77 hedge fund managers surveyed was: North America – 56; UK – 10; rest of Europe – 6 and Asia Pacific – 5.
*Source: The MHP survey used Bloomberg Markets’ ‘The World’s 100 Richest Hedge Funds’ survey of February 2011 as its research universe. This survey contains 100 funds, each with an AuM of at least US$ 1.0 billion managed by 80 hedge fund managers. The MHP survey focused on 77 hedge fund managers, for whom hedge funds are a core part of their business.
In a survey of 77 hedge fund managers globally, each with at least US$ 1.0 bn in assets under management*, the MHP Survey 2011 has found that hedge fund managers are ignoring social media. 8% are still without a corporate website, let alone a Twitter feed or a Facebook wall.
The survey found that only 1% of the 77 hedge fund managers are active on Twitter, 3% have their own channel on YouTube and none have a wall on Facebook. However, 23% have an active presence on LinkedIn.
Martin Forrest, director, asset management and author of the MHP Survey 2011 says:
“The findings did not surprise us. Historically, hedge fund managers have deliberately kept a low profile and managed their reputations accordingly. They are also concerned about the regulatory implications of social media. As such, adoption of social media is extremely low.
“In the short term, this is not an issue as social media at an institutional level in the asset management industry is in its infancy and very much in ‘broadcasting’ rather than the more interactive mode for which it was intended.
“However, social media is an emerging communications channel for hedge fund stakeholders, particularly current and future employees and clients as well as journalists in financial services media, in their work and personal lives. They are already tweeting and on Facebook, reading news on IPads rather than hardcopy newspapers, communicating and consuming information digitally.
“Many hedge fund managers have a presence on LinkedIn through their current and former employees. For example, social media is a primary communication channel for high-level technology experts sought by quant funds.
“Hedge fund managers should start using social media more actively as additional channels through which to communicate and build lasting relationships with their stakeholders and to develop the reputation of their firms. Taking control of their content, by becoming the best provider of it, is important.”
“Hedge fund managers should also look at social media initiatives in the wider asset management community for inspiration.”
Out of 77 hedge fund managers surveyed, only MAN Investments has an active twitter feed (@ManViewpoint). It is using Twitter to tweet about a whole range of issues
economic/investment views, corporate announcements, marketing events and press coverage. 4% of managers are sitting on the Twitter fence. They have secured their corporate name as a Twitter account to protect their brand/intellectual property (IP) but have not been active and not tweeted.
79% of hedge fund managers surveyed have a presence on LinkedIn with 23% of the 77 surveyed taking active control of their brands on LinkedIn. It is the most used form of social media. The level of LinkedIn employees and followers tends to have a strong correlation with the size and reputation. The three managers surveyed with the most number of employees LinkedIn are: Citadel Investment Group – 1107 employees; MAN Investments – 911; Bridgewater Associates – 856. The three managers with the highest number of followers are: Citadel Investment Group – 3473 followers; Bridgewater Associates – 2606; MAN Investments – 2118.
YouTube
Two hedge fund managers (3% of those surveyed) have their own YouTube channel. Man Investments (Australia) is using it to show short films that it has produced on a range of topics including broad economic/investment views and marketing events. The Bridgewater Associates channel shows footage of an executive making a speech at an industry event. The 19% that have a ‘presence through broadcasters’ are those whose executives have interviewed on TV stations.
Facebook is the least used form of social media. No hedge fund manager surveyed has an active Facebook page including a ‘wall.’ 66% have a passive presence whilst 34% have no presence at all.
The geographical spread of the 77 hedge fund managers surveyed was: North America – 56; UK – 10; rest of Europe – 6 and Asia Pacific – 5.
*Source: The MHP survey used Bloomberg Markets’ ‘The World’s 100 Richest Hedge Funds’ survey of February 2011 as its research universe. This survey contains 100 funds, each with an AuM of at least US$ 1.0 billion managed by 80 hedge fund managers. The MHP survey focused on 77 hedge fund managers, for whom hedge funds are a core part of their business.
Friday, November 11, 2011
Dow Jones Credit Suisse Hedge Fund Index (“Broad Index”) finished up 1.52% in October
Early estimates indicate the Dow Jones Credit Suisse Hedge Fund Index (“Broad Index”) finished up 1.52% in October (based on 73% of assets in the index reporting).
Strategy Estimates
Index
Oct
Broad Benchmark Index
1.52%
Convertible Arbitrage
1.10%
Dedicated Short Bias
-9.98%
Emerging Markets
3.44%
Equity Market Neutral
2.67%
Event Driven
2.62%
Distressed
2.46%
Event Driven Multi-Strategy
2.76%
Risk Arbitrage
1.46%
Fixed Income Arbitrage
-0.30%
Global Macro
0.35%
Long/Short Equity
3.92%
Managed Futures
-5.12%
Multi-Strategy
2.31%
Estimates are based on 73% of assets in the index reporting; final October performance will be published November 15th on Bloomberg and online at www.hedgeindex.com. For a complete description of the Dow Jones Credit Suisse Hedge Fund Index, please see the index rules available at www.hedgeindex.com.
Strategy Estimates
Index
Oct
Broad Benchmark Index
1.52%
Convertible Arbitrage
1.10%
Dedicated Short Bias
-9.98%
Emerging Markets
3.44%
Equity Market Neutral
2.67%
Event Driven
2.62%
Distressed
2.46%
Event Driven Multi-Strategy
2.76%
Risk Arbitrage
1.46%
Fixed Income Arbitrage
-0.30%
Global Macro
0.35%
Long/Short Equity
3.92%
Managed Futures
-5.12%
Multi-Strategy
2.31%
Estimates are based on 73% of assets in the index reporting; final October performance will be published November 15th on Bloomberg and online at www.hedgeindex.com. For a complete description of the Dow Jones Credit Suisse Hedge Fund Index, please see the index rules available at www.hedgeindex.com.
The Dow Jones Credit Suisse Core Hedge Fund Index Up 1.85% in October
Five out of seven strategies posted gains
Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "Event Driven was one of the highest performing sector last month as many managers restructured their portfolios to reduce exposure to softer ‘catalyst’ situations, such as management changes and litigations. These situations were drivers of underperformance in September. Meanwhile, Managed Futures, the best performing strategy in September, was the worst performer in October as trends reversed against many short equities, short commodities and long fixed-income positions."
The Dow Jones Credit Suisse Core Hedge Fund Index provides the benefit of daily valuations which enable investors to track the impact of market events on the hedge fund industry. October, September and year-to-date 2011 performances are available at www.hedgeindex.com.
Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "Event Driven was one of the highest performing sector last month as many managers restructured their portfolios to reduce exposure to softer ‘catalyst’ situations, such as management changes and litigations. These situations were drivers of underperformance in September. Meanwhile, Managed Futures, the best performing strategy in September, was the worst performer in October as trends reversed against many short equities, short commodities and long fixed-income positions."
The Dow Jones Credit Suisse Core Hedge Fund Index provides the benefit of daily valuations which enable investors to track the impact of market events on the hedge fund industry. October, September and year-to-date 2011 performances are available at www.hedgeindex.com.
GLOBAL INVESTORS ALLOCATE TO ASIAN HEDGE FUNDS IN 3Q11 AS GLOBAL EQUITY, SOVEREIGN DEBT MARKETS FALL
HFR Asian Hedge Fund Industry Report for Q3 2011
HFRX China Index tops Shanghai Composite despite quarterly decline; Sixth consecutive quarter of inflows to Asian hedge funds
Global hedge fund investors allocated over $1.4 billion in net new capital to Asian hedge funds in 3Q11 as global financial markets responded to developments in the European sovereign debt crisis and weakening economic growth prospects across developed economies, according to the latest edition of the Asian Hedge Fund Industry Report, released today by HFR, the global leader in the indexation, analysis and database management of the alternative investment industry. The third quarter inflow represents the sixth consecutive quarterly net inflow from investors into Asian hedge funds and the eighth quarter in the last nine quarters that Asian funds have seen positive flows. As a result of performance based asset declines, total assets under management (AUM) in Asian hedge funds declined to $82.6 billion, the first quarterly decline in over a year.
HFRX China Index tops Shanghai Composite despite quarterly decline; Sixth consecutive quarter of inflows to Asian hedge funds
Global hedge fund investors allocated over $1.4 billion in net new capital to Asian hedge funds in 3Q11 as global financial markets responded to developments in the European sovereign debt crisis and weakening economic growth prospects across developed economies, according to the latest edition of the Asian Hedge Fund Industry Report, released today by HFR, the global leader in the indexation, analysis and database management of the alternative investment industry. The third quarter inflow represents the sixth consecutive quarterly net inflow from investors into Asian hedge funds and the eighth quarter in the last nine quarters that Asian funds have seen positive flows. As a result of performance based asset declines, total assets under management (AUM) in Asian hedge funds declined to $82.6 billion, the first quarterly decline in over a year.
HFRX Indices October 2011 performance notes
Complete indices
Financial markets posted strong gains in October as equity markets recovered from two months of sharp declines with broad market advances led by strength in small cap, Energy and Technology sectors. Credit tightened as US treasury yields rose while the yield curve steepened. The dollar generally fell against most major currencies, as general sentiment improved into month end regarding possible resolution of the European sovereign debt crisis. Commodities also posted gains, with Copper and Oil posting the strongest performance, while implied volatility declined sharply into month end. Hedge funds posted gains with contribution from Equity Hedge and Event Driven strategies, with the HFRX Global Hedge Fund Index gaining 0.81% for the month.
Event Driven strategies had the strongest contribution to index performance, with the HFRX Event Driven Index gaining +2.1% for the month. All ED sub-strategies posted gains on tightening credit, broad equity market gains and tightening risk arbitrage spreads, with Distressed posting the strongest gains; the HFRX Distressed Index gained +3.06% for the month. Equity sensitive Special Situations and Merger Arbitrage also posted gains, with these indices +2.0% and +1.3%, respectively, for the month.
Equity Hedge funds also had a significant positive contribution to index performance, with the HFRX Equity Hedge Index gaining +1.36%. Equity Hedge experienced broad based gains across nearly all sub-strategies, with Fundamental Value +1.23% and Equity Market Neutral +0.60%. Gains in Energy, US large cap and Technology were only partially offset by short position hedges and mixed performance in Asian exposure. Mean Reverting, Factor-based models posted the strongest gains in Equity Market Neutral as volatility declined.
The HFRX Relative Value Arbitrage Index gained +1.16%, as credit tightening and energy infrastructure exposure was only partially offset by falling volatility and rising treasury yields. The HFRX RVA: Multi-Strategy Index gained +1.4% while the HFRX Convertible Arbitrage Index declined by -0.55% on rising yields and falling volatility.
The HFRX Macro/CTA index posted a decline of -1.99%, with broad based declines in systematic, trend following strategies only partially offset by gains in discretionary strategies. The HFRX Macro Systematic Diversified Index declined by -4.84%, as many trends reversed throughout the month with negative contributions from short exposure to equities, long fixed income and long US dollar exposure. Discretionary strategies had a partially offsetting positive contribution, with gains in commodity and currency exposure.
Financial markets posted strong gains in October as equity markets recovered from two months of sharp declines with broad market advances led by strength in small cap, Energy and Technology sectors. Credit tightened as US treasury yields rose while the yield curve steepened. The dollar generally fell against most major currencies, as general sentiment improved into month end regarding possible resolution of the European sovereign debt crisis. Commodities also posted gains, with Copper and Oil posting the strongest performance, while implied volatility declined sharply into month end. Hedge funds posted gains with contribution from Equity Hedge and Event Driven strategies, with the HFRX Global Hedge Fund Index gaining 0.81% for the month.
Event Driven strategies had the strongest contribution to index performance, with the HFRX Event Driven Index gaining +2.1% for the month. All ED sub-strategies posted gains on tightening credit, broad equity market gains and tightening risk arbitrage spreads, with Distressed posting the strongest gains; the HFRX Distressed Index gained +3.06% for the month. Equity sensitive Special Situations and Merger Arbitrage also posted gains, with these indices +2.0% and +1.3%, respectively, for the month.
Equity Hedge funds also had a significant positive contribution to index performance, with the HFRX Equity Hedge Index gaining +1.36%. Equity Hedge experienced broad based gains across nearly all sub-strategies, with Fundamental Value +1.23% and Equity Market Neutral +0.60%. Gains in Energy, US large cap and Technology were only partially offset by short position hedges and mixed performance in Asian exposure. Mean Reverting, Factor-based models posted the strongest gains in Equity Market Neutral as volatility declined.
The HFRX Relative Value Arbitrage Index gained +1.16%, as credit tightening and energy infrastructure exposure was only partially offset by falling volatility and rising treasury yields. The HFRX RVA: Multi-Strategy Index gained +1.4% while the HFRX Convertible Arbitrage Index declined by -0.55% on rising yields and falling volatility.
The HFRX Macro/CTA index posted a decline of -1.99%, with broad based declines in systematic, trend following strategies only partially offset by gains in discretionary strategies. The HFRX Macro Systematic Diversified Index declined by -4.84%, as many trends reversed throughout the month with negative contributions from short exposure to equities, long fixed income and long US dollar exposure. Discretionary strategies had a partially offsetting positive contribution, with gains in commodity and currency exposure.
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