HFRX Daily Indices – July 2016 Performance
Global financial markets gained in July, extending the recovery from the prior month Brexit shock and driven by both strong US employment report and US Fed continuation of low interest rates. Equity market gains were broad based across regions and sectors, with regional led by gains in Germany, Japan, US, Spain, Brazil and Hong Kong, while sector gains were led Technology, Biotechnology, Telecom, Commodity-sensitive and small cap. Yields on longer dated US Government bond yield fell as the yield curve flattened and high yield credit tightened; yields fell across the UK, France and Italy while remaining negative across Germany, Switzerland and Japan. Commodities were mixed with gains across Metal led by Platinum, Silver and Gold, while Energy & Agricultural commodities declined led by Oil, Soybeans and Lean Hogs. The US Dollar retraced recent gains against the Euro, Pound & Japanese Yen after intra-month highs. Hedge funds posted gains for July as the HFRX Market Directional Index gained +2.50% and the HFRX Global Hedge Fund Index gained +1.45% for the month.
HFRX Event Driven Index posted a gain of +2.37% for July, +5.70% YTD, continuing its strong performance from prior months. The HFRX Distressed Index posted a gain +3.72% for month and +11.38% YTD, with the strongest consecutive 5 months performance since the index inception, from contributions from exposure to the Basic Materials, Consumer and Financial sectors. The HFRX Special Situations Index gained +2.03% from core positioning in LinkedIn, Akorn, Yahoo and Macquarie Infrastructure. The HFRX Merger Arbitrage Index gained +0.26% with core exposures to Huntington Bancshares/FirstMerit, Chemical Financial/Talmer Bancorp, Comcast/DreamWorks and Cousins Properties/Parkway Properties transactions.
HFRX Equity Hedge Index posted a gain of +1.99% for July as global equity markets extended gains after the Brexit vote while Oil prices declined. The HFRX Fundamental Value Index posted a gain of +2.36% for the period from exposure to US large-cap in the U.S. Consumer, Industrial and Technology sectors. The HFRX Fundamental Growth Index gained +1.31% for the period from exposure to the Global Healthcare, Consumer and Industrial sectors, partially offset by Japanese equities. The HFRX Market Neutral Index gained +1.19% from contributions from mean reverting, factor based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +0.83% for July, with contribution from Convertible, Credit strategies and Yield Alternative managers. The HFRX Convertible Arbitrage Index posted a gain of +2.26% as gains from falling yields were partially offset by declines in volatility during the month. The HFRX Multi-Strategy Index gained +0.61% from Global Credit strategies as European yields fell. Yield Alternative – Energy Infrastructure managers also contributed to performance, with the HFRX MLP Index posting a gain of +0.89% for the month.
HFRX Macro/CTA Index posted a gain of +0.30% for July, with contributions from systematic and Emerging Markets managers partially offset by Discretionary Fixed Income strategies. The HFRX Systematic Diversified CTA Index gained +1.30% for the month as Metals gained while Energy fell and the US Dollar returned to its beginning of the month levels after intra-month highs against other major currencies.