• HFRI Fund Weighted Composite Index gained +1.2% in July
  • HFRI Equity Hedge (Total) Index advanced +1.7% for the month
  • HFRI EH: Healthcare Index up +12% YTD
  • HFRI Emerging Markets (Total) Index surges +3.6% in July; +13.5% for YTD

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HFRI Technology, Emerging Markets extend performance leadership; Macro, Quant strategies reverse declines

CHICAGO, (August 7, 2017) - Last month, hedge funds posted their strongest performance since January as 2017's performance drivers – Equity Hedge, Technology, Healthcare and Emerging Markets - led the way.

The HFRI Fund Weighted Composite Index® (FWC) gained +1.2 percent in July, the ninth consecutive monthly gain and the 16th in the trailing 17 months, according to data released today by HFR®, the established global leader in the indexation, analysis and research of the global hedge fund industry. The July return brings YTD performance of the FWC to +4.8 percent and extends the record Index Value to 13,571.

As previously reported by HFR, total hedge fund assets increased to $3.1 trillion to conclude 1H17, as the industry experienced net capital inflows for first time since 3Q15. Extending the leadership trend from 1H17, Equity Hedge (EH) and Emerging Markets (EM) strategies provided the strongest contributions to overall industry performance in July. The HFRI Equity Hedge (Total) Index advanced +1.7 percent for the month, bringing YTD performance to +7.7 percent, which tops the full year returns of the EH Index in each of the prior three calendar years. Technology and Fundamental Growth provided the strongest contributions to EH performance in July, with both the HFRI Technology Index and HFRI Fundamental Growth Index gaining +2.3 percent, topping the S&P 500 in July. For the year, HFRI Healthcare is the leading area of EH sub-strategy performance, with a gain of +12.0 percent YTD through July.

The HFRI Emerging Markets (Total) Index surged +3.6 percent in July, the strongest monthly gain since March 2016, bringing YTD performance to +13.5 percent. EM performance was led by the HFRI EM: Latin America Index, which gained +6.1 percent in July, bringing YTD performance to +12.4 percent. For YTD 2017, the HFRI EM: Asia ex-Japan Index leads EM hedge fund performance with a +19.5 percent return. Macro strategies also advanced in July, with the HFRI Macro (Total) Index gaining +0.8 percent, reversing from a June decline. Macro sub-strategy performance was led by the HFRI Macro: Multi-Strategy Index, which gained +1.3 percent in July, and the quantitative, trend-following HFRI Macro: Systematic Diversified/CTA Index, which added +1.1 percent.

Event-Driven (ED) strategies posted the 13th consecutive monthly performance gain, with the HFRI Event-Driven (Total) Index advancing +0.9 percent, bringing YTD performance to +5.1 percent. ED sub-strategy performance was led by Special Situations and Distressed exposures, with the HFRI Special Situations Index gaining +1.5 percent and the HFRI Distressed Index adding +1.4 percent. Larger ED funds posted relatively stronger performance in July, with the HFRI Event-Driven Index (Asset Weighted) advancing +1.8 percent.

Fixed income-based Relative Value Arbitrage (RVA) strategies completed its 17th consecutive month without posting a decline, as the HFRI Relative Value (Total) Index advanced +0.6 percent in July. RVA sub-strategy performance was led by exposures to corporate and high yield bonds, as well as to real estate and energy infrastructure partnerships, as both the HFRI RV: Corporate Index and HFRI RV: Yield Alternatives Index advanced +1.0 percent for the month.

"After a strong 1H17, which saw inflows resume and assets reach a record milestone, hedge funds posted a strong beginning to 2H17 with the highest monthly gain since January despite increasing geopolitical and global trade tensions", stated Kenneth J. Heinz, President of HFR. "With equity and fixed income markets near all-time highs and implied volatilities near historical lows, forward-looking and institutional investors are expanding their allocations to alternatives as a mechanism to manage and reduce overall portfolio beta while capturing specialized exposures to sophisticated alpha and risk premia strategies."

Comments reference Flash Update performance figures as posted on August 7, 2017.

Total Return 1 Year 3 Year Annualized
HFRI INDICES July 2017 YTD 1 YR 3 YR STD* ShR** ROR STD* ShR***
ROR Index Value
HFRI Fund Weighted Composite Index 1.18% 13570.87 4.81% 7.18% 9.77% 1.73% 3.66 3.15% 3.80% 0.76
HFRI Asset Weighted Composite Index 1.05% 1352.41 3.67% 6.67% 8.35% 1.41% 4.15 2.71% 3.31% 0.74
Equity Hedge
HFRI Equity Hedge (Total) Index 1.68% 20211.22 7.68% 11.08% 11.98% 2.33% 4.27 3.84% 5.81% 0.63
HFRI EH: Equity Market Neutral Index 0.93% 5389.01 1.64% 2.93% 9.98% 1.68% 1.35 3.22% 1.77% 1.64
HFRI EH: Fundamental Growth Index 2.32% 1166.22 11.72% 13.09% 9.70% 3.38% 3.49 3.13% 7.50% 0.41
HFRI EH: Fundamental Value Index 1.76% 1455.33 7.68% 13.77% 14.07% 2.68% 4.62 4.49% 6.54% 0.66
HFRI EH: Multi-Strategy Index 1.49% 1334.55 6.26% 9.24% 12.41% 2.38% 3.47 3.98% 5.81% 0.65
HFRI EH: Quantitative Directional 0.03% 17165.35 4.89% 6.99% 14.09% 2.42% 2.55 4.49% 4.28% 0.98
HFRI EH: Sector - Energy/Basic Materials Index 0.16% 11915.26 -6.61% -3.19% -17.28% 7.81% -0.46 -6.13% 10.87% -0.55
HFRI EH: Sector - Healthcare Index 1.65% 2397.94 12.01% 13.50% 26.63% 11.42% 1.11 8.19% 11.82% 0.70
HFRI EH: Sector - Technology Index 2.34% 1621.84 10.52% 13.43% 25.91% 3.76% 3.21 7.98% 5.56% 1.36
HFRI EH: Sector - Technology/Healthcare (Total) Index 1.94% 29515.30 11.15% 13.49% 26.84% 6.29% 1.95 8.25% 7.77% 1.03
HFRI EH: Short Bias Index -0.72% 640.12 -6.45% -11.68% -7.98% 3.50% -3.70 -2.74% 7.02% -0.40
HFRI Equity Hedge (Total) Index - Asset Weighted 1.76% 1286.62 7.15% 10.04% 12.65% 2.08% 4.33 4.05% 5.45% 0.70
Event Driven
HFRI Event-Driven (Total) Index 0.92% 15755.60 5.04% 11.56% 9.22% 2.13% 4.88 2.98% 4.95% 0.56
HFRI ED: Activist Index 0.49% 1345.82 4.88% 13.55% 21.77% 6.50% 1.90 6.79% 8.97% 0.75
HFRI ED: Credit Arbitrage Index 0.07% 1549.92 3.92% 9.43% 9.43% 1.94% 4.34 3.05% 4.29% 0.66
HFRI ED: Distressed/Restructuring Index 1.41% 16787.72 4.74% 13.87% 4.36% 3.02% 4.13 1.43% 5.77% 0.23
HFRI ED: Merger Arbitrage Index 0.59% 7838.58 4.01% 6.93% 11.41% 2.03% 3.00 3.67% 2.48% 1.35
HFRI ED: Multi-Strategy Index 0.08% 1383.96 4.16% 9.13% 8.07% 1.85% 4.40 2.62% 4.19% 0.57
HFRI ED: Special Situations Index 1.48% 1563.48 6.57% 13.26% 11.15% 2.86% 4.16 3.59% 6.28% 0.55
HFRI Event Driven (Total) Index - Asset Weighted 1.79% 1505.91 6.99% 13.20% 6.77% 3.18% 3.73 2.21% 5.95% 0.35
Macro
HFRI Macro (Total) Index 0.81% 14652.86 0.07% -2.39% 4.77% 2.72% -1.11 1.56% 3.99% 0.34
HFRI Macro: Active Trading Index 0.63% 1207.61 -1.88% -2.07% 7.82% 2.32% -1.17 2.54% 3.73% 0.62
HFRI Macro: Commodity Index 0.55% 1198.84 -0.90% -1.73% 2.73% 2.67% -0.88 0.90% 2.69% 0.24
HFRI Macro: Currency Index -0.40% 1088.50 1.17% 1.59% 6.60% 2.58% 0.38 2.15% 2.66% 0.71
HFRI Macro: Discretionary Thematic Index -0.10% 1034.80 0.74% 2.17% -0.64% 1.65% 0.92 -0.21% 2.51% -0.18
HFRI Macro: Multi-Strategy Index 1.27% 1273.33 3.44% 3.44% 10.14% 2.36% 1.18 3.27% 3.79% 0.79
HFRI Macro: Systematic Diversified Index 1.08% 11254.36 -1.39% -7.37% 5.43% 5.04% -1.62 1.78% 7.20% 0.24
HFRI Macro (Total) Index - Asset Weighted 0.75% 1354.39 0.83% 2.04% 6.31% 2.86% 0.50 2.06% 4.31% 0.43
Relative Value
HFRI Relative Value (Total) Index 0.61% 11650.96 3.32% 7.06% 10.16% 1.40% 4.42 3.28% 2.90% 1.03
HFRI RV: Fixed Income-Asset Backed 0.59% 8680.80 5.18% 9.36% 14.59% 0.82% 10.16 4.64% 2.12% 2.03
HFRI RV: Fixed Income-Convertible Arbitrage Index 0.87% 8423.46 4.14% 8.26% 12.86% 1.21% 6.04 4.11% 3.18% 1.20
HFRI RV: Fixed Income-Corporate Index 0.97% 7125.42 3.78% 8.62% 10.29% 2.04% 3.76 3.32% 3.85% 0.80
HFRI RV: Fixed Income-Sovereign Index 0.57% 1499.34 4.13% 5.21% 9.15% 2.20% 2.04 2.96% 2.65% 1.01
HFRI RV: Multi-Strategy Index 0.46% 7936.21 2.82% 6.04% 10.22% 1.26% 4.18 3.30% 2.34% 1.28
HFRI RV: Volatility Index 0.27% 1484.07 2.95% 5.34% 13.65% 1.10% 4.17 4.36% 3.57% 1.14
HFRI RV: Yield Alternatives Index 0.97% 5447.76 -0.93% 4.76% -3.64% 6.95% 0.61 -1.23% 10.56% -0.09
HFRI Relative Value (Total) Index - Asset Weighted 0.64% 1531.38 3.32% 7.39% 10.63% 1.14% 5.70 3.42% 2.22% 1.40
Fund of Funds
HFRI Fund of Funds Composite Index 1.06% 5932.79 4.23% 5.95% 6.15% 1.48% 3.50 2.01% 3.33% 0.53
HFRI FOF: Conservative Index 0.52% 4718.45 2.08% 4.69% 5.09% 0.89% 4.44 1.67% 2.14% 0.65
HFRI FOF: Diversified Index 1.12% 5359.05 3.34% 4.91% 5.52% 1.71% 2.45 1.81% 3.06% 0.51
HFRI FOF: Market Defensive Index 0.92% 5949.40 -0.23% -0.81% 6.18% 2.16% -0.66 2.02% 4.11% 0.44
HFRI FOF: Strategic Index 1.40% 9797.07 7.02% 8.77% 7.53% 1.97% 3.96 2.45% 4.86% 0.47
Regional
HFRI Emerging Markets (Total) Index 3.58% 17981.02 13.51% 15.15% 10.88% 4.71% 2.90 3.50% 8.53% 0.41
HFRI Emerging Markets: Asia ex-Japan Index 3.87% 11543.48 19.45% 17.80% 23.04% 6.68% 2.41 7.15% 11.15% 0.65
HFRI Emerging Markets: China Index 4.89% 1523.67 20.94% 20.36% 27.92% 7.57% 2.42 8.55% 14.59% 0.62
HFRI Emerging Markets: Global Index 2.19% 12124.11 8.91% 10.82% 6.39% 2.97% 3.28 2.09% 5.25% 0.37
HFRI Emerging Markets: India Index 3.89% 1052.60 25.88% 21.55% 41.74% 12.16% 1.62 12.33% 14.43% 0.86
HFRI Emerging Markets: Latin America Index 6.10% 17898.54 12.39% 14.88% 2.06% 11.86% 1.18 0.68% 14.49% 0.10
HFRI Emerging Markets: MENA Index 2.17% 1247.03 10.56% 13.73% -6.78% 3.60% 3.43 -2.31% 7.43% -0.32
HFRI Emerging Markets: Russia/Eastern Europe Index 2.98% 14623.69 2.43% 13.49% 6.48% 7.74% 1.60 2.11% 12.99% 0.20
HFRI Asia with Japan Index 1.61% 1299.24 6.41% 8.16% 13.48% 2.03% 3.58 4.30% 4.71% 0.86
HFRI Japan Index 0.63% 1482.27 7.43% 12.63% 19.50% 2.71% 4.20 6.12% 5.75% 1.01
HFRI North America Index 0.92% 1461.71 4.08% 9.29% 10.73% 2.73% 3.04 3.45% 4.71% 0.68
HFRI Western/Pan Europe Index -0.07% 1402.25 4.75% 5.72% 10.15% 2.47% 2.01 3.27% 3.56% 0.84
HFRI World Index 0.96% 1280.13 2.82% 2.76% 8.41% 2.10% 1.00 2.73% 2.99% 0.82
FX-Hedged
HFRI Fund Weighted Composite Index - CHF 0.98% 9421.17 3.41% 4.76% 4.46% 1.72% 2.35 1.46% 3.77% 0.33
HFRI Fund Weighted Composite Index - EUR 0.98% 2985.77 3.66% 5.26% 6.48% 1.73% 2.62 2.12% 3.74% 0.50
HFRI Fund Weighted Composite Index - GBP 1.06% 19496.13 4.15% 6.11% 8.67% 1.72% 3.09 2.81% 3.78% 0.68
HFRI Fund Weighted Composite Index - JPY 1.02% 7422.70 3.81% 5.50% 6.73% 1.71% 2.77 2.20% 3.75% 0.52
Thematic
HFRI Credit Index 0.73% 1588.80 4.07% 8.92% 10.30% 1.32% 6.03 3.32% 3.09% 0.98
HFRI Diversity Index 1.64% 1692.68 6.26% 10.02% 11.94% 1.87% 4.81 3.83% 4.19% 0.85
HFRI Women Index 1.14% 1656.77 6.33% 8.90% 7.67% 2.24% 3.54 2.49% 4.45% 0.51