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 HFRX Indices Mid-May 2013 performance notes (click to expand)

Global financial markets extended 2013 gains through mid-May, as the Japanese Yen broke 100 $/¥ for the first time since May 2009 and...


HFRX Indices Mid-May 2013 performance notes

Global financial markets extended 2013 gains through mid-May, as the Japanese Yen broke 100 $/¥ for the first time since May 2009 and US equities posted record closes in 9 out of 11 trading days through May 15th. Broad-based US equity gains were strong across both growth and value as well as small and large caps, with sector leadership from Technology, Cyclicals and Financials. European equities also posted strong gains as Greek sovereign debt surged; equity gains were led by Germany, Switzerland, Italy & the Netherlands and Greek equities hit highest level since August 2011. Japanese stocks gained nearly 9% through mid-May leading Asian gains and bringing the YTD gain for the Nikkei to over 45%; India, China & the Philippines also posted strong gains. Government bond yields rose across most developed markets, with yields on US Treasuries, German Bunds and UK Gilts all rising; yields increased across Italy, Spain & France as well. Greek bond yields fell to the lowest level in over 3 years on credit rating upgrade, with yields approaching 8%. M&A continued at a brisk pace with transactions in GE/Lufkin Industries, AETNA/Coventry Health Care and Solvay/INEOS, while high yield credit tightened to yield below 5%. Gold & Silver extended April declines, posting additional losses through mid-May; cattle, lumber, sugar and corn also posted declines. The US$ posted strong gains across the board on expectations for curtailment of stimulus efforts; the Dollar breached a 4 year high against the Japanese Yen, but also rising against the British Pound Sterling, Euro, Swiss Franc and Australian Dollar. Hedge funds posted a 7th consecutive monthly gain through mid-May, with the HFRX Global Hedge Fund Index gaining +1.16%; the HFRX Market Directional also posted a gain of +1.43%.

HFRX Event Driven Index posted a gain of +1.81% through mid-May, the 7th consecutive month of gains, with contributions from Equity Special Situations, Merger Arbitrage and Distressed strategies. The HFRX Special Situations Index gained +1.63% with contributions from transactions in the Energy/Basic Materials, Financial and Cyclical sectors, as well as JC Penny, Sony, Yahoo, Apple & Herbalife, while the HFRX Distressed Index posted a gain of +1.16%. HFRX Merger Arbitrage Index posted a gain of +0.14%, with contributions from transactions in FirstMerit/Citizens Republic Bancorp, KKR/Gardner Denver, Liberty Global/Virgin Media, Berkshire/Heinz and Markel/Alterra.

HFRX Equity Hedge Index posted a gain of +1.66% through mid-May, the 12th consecutive month of gains, with contributions from Fundamental equity long short strategies. The HFRX Fundamental Value Index gained +2.51% from large cap exposure to the US Financial, Consumer and European equities. The HFRX Fundamental Growth Index gained +0.54% from exposure to Japanese, Emerging Asian and Latin American equity, Communications, Financial and Consumer sectors. The HFRX Market Neutral Index posted a decline of -0.74% from contributions from factor based, trading and behavioral strategies.

HFRX Relative Value Arbitrage Index posted a gain of +0.99% through mid-May, also the 7th consecutive month of gains, with contributions from Convertible, Multi-Strategy and Corporate Fixed Income strategies. The HFRX RV: Convertible Arbitrage Index gained +2.51% with gains concentrated in directional exposure to US and Japanese convertibles, credit gains, gamma trading and effective rate hedging. The HFRX RV: Multi-Strategy Index posted a gain of +0.80%, with contributions from US & Asian credit exposures and Commodity Arbitrage strategies, while HFRX Fixed Income Credit Index gained +1.42% as global credit continued to tighten and hedging offset rising bond yields.

HFRX Macro Index posted a narrow gain of +0.02%, with contributions from tactical sovereign Fixed Income, Multi-Strategy and Currency strategies only partially offset by quantitative Systematic CTA strategies. The HFRX Emerging Markets Index posted a gain of +1.42% with contributions from Asian and Latin American exposures. The HFRX Macro: Systematic Diversified Index posted a decline of -0.42% as Metals extended declines from April, while the US Dollar posted strong gains.


Comments reference performance figures as posted for May 15, 2013


Global
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Global Hedge Fund Index 0.0739% 1.23% 5.05% 1206.38 0.62% 3.77% 3.51% -8.87% 5.19%
HFRX Equal Weighted Strategies Index 0.0867% 1.07% 4.50% 1176.91 0.82% 3.40% 2.49% -6.18% 5.29%
HFRX Absolute Return Index 0.1896% 0.59% 1.44% 968.66 0.14% 0.85% 0.88% -3.72% -0.12%
HFRX Aggregate Index - - - - 0.74% 4.01% 5.38% -4.05% 7.52%
HFRX Market Directional Index -0.0506% 1.38% 7.79% 1139.92 1.63% 6.31% 3.50% -18.86% 9.32%


Equity Hedge
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Equity Hedge Index 0.0537% 1.72% 7.55% 1127.74 0.56% 5.73% 4.81% -19.08% 8.92%
HFRX EH: Energy/Basic Materials Index - - - - -1.49% 1.21% -3.77% -8.40% 8.02%
HFRX EH: Equity Market Neutral Index 0.1708% -0.57% 0.45% 939.92 0.47% 1.02% -4.66% -2.92% 2.64%
HFRX EH: Fundamental Growth Index 0.0857% 0.63% 4.93% 1571.73 0.47% 4.27% 6.30% -14.82% 4.98%
HFRX EH: Fundamental Value Index 0.0255% 2.53% 9.77% 1073.09 0.62% 7.06% 5.80% -22.99% 9.15%
HFRX EH: Multi-Strategy Index - - - - 0.57% 4.82% 5.41% -7.76% 10.39%
HFRX EH: Quantitative Directional Index - - - - 1.24% 4.14% 5.04% -0.93% 1.12%
HFRX EH: Short Bias Index - - - - -1.06% -3.68% -20.62% 11.35% -24.05%
HFRX EH: Technology/Healthcare Index - - - - 1.34% 7.93% 4.06% 2.30% 1.61%


Event Driven
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Event Driven Index -0.0615% 1.75% 8.17% 1498.37 0.95% 6.32% 5.96% -4.90% 1.98%
HFRX ED: Activist Index - - - - 1.01% 5.91% 9.34% -16.87% 15.04%
HFRX ED: Credit Arbitrage Index - - - - 0.80% 4.97% 10.64% 4.10% 10.91%
HFRX ED: Distressed Restructuring Index 0.1698% 1.33% 3.62% 987.03 0.85% 2.26% 0.94% -8.04% 8.34%
HFRX ED: Merger Arbitrage Index 0.0336% 0.17% 1.81% 1535.28 0.72% 1.64% 0.95% -2.09% 5.69%
HFRX ED: Multi-Strategy Index - - - - 0.69% 4.67% 5.67% -4.85% 4.47%
HFRX ED: Special Situations Index -0.0042% 1.62% 10.42% 1249.03 1.20% 8.65% 5.50% -3.71% 1.55%


Macro
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Macro/CTA Index 0.2380% 0.25% 0.79% 1163.53 0.50% 0.54% -1.00% -4.88% -1.73%
HFRX Macro: Active Trading Index - - - - 1.16% 5.98% 6.90% -6.80% 4.36%
HFRX Macro: Commodity Index - - - - 0.76% 1.75% 2.33% -9.80% -5.01%
HFRX Macro: Commodity-Agriculture Index - - - - 2.69% 3.05% -3.45% -8.29% 5.53%
HFRX Macro: Commodity-Energy Index - - - - -0.93% -4.64% 0.55% 0.09% 5.46%
HFRX Macro: Commodity-Metals Index - - - - -8.16% -14.85% -17.31% -16.85% 28.40%
HFRX Macro: Currency Index - - - - -0.68% -0.59% 3.04% -3.79% 2.83%
HFRX Macro: Discretionary Thematic Index - - - - 0.64% 1.71% 8.57% 1.36% 6.54%
HFRX Macro: Multi-Strategy Index - - - - 0.51% 1.14% 5.20% -0.33% 4.15%
HFRX Macro: Systematic Diversified CTA Index 0.3096% -0.11% -1.01% 1504.74 -0.05% -0.89% -7.40% -1.79% 6.02%


Relative Value
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Relative Value Arbitrage Index 0.0890% 1.08% 3.26% 1207.17 0.47% 2.16% 3.62% -4.00% 7.65%
HFRX RV: Energy Infrastructure Index - - - - 1.20% 10.38% 8.09% 4.15% 24.41%
HFRX RV: FI-Asset Backed Index - - - - 1.01% 5.35% 23.74% 14.23% 15.22%
HFRX RV: FI-Convertible Arbitrage Index 0.0989% 2.61% 8.73% 763.68 2.20% 5.97% 7.21% -3.07% 8.76%
HFRX RV: FI-Corporate Index - - - - 1.11% 3.19% 9.47% 1.42% 14.06%
HFRX RV: FI-Sovereign Index - - - - 1.76% 1.46% 3.52% -1.84% 4.60%
HFRX RV: Real Estate Index - - - - 1.44% 4.60% 11.87% -9.13% 4.06%
HFRX RV: Multi-Strategy Index 0.1111% 0.91% 2.44% 1875.12 0.29% 1.52% 3.40% 0.05% 10.05%
HFRX RV: Volatility Index - - - - -0.03% 1.85% 9.75% 1.42% -4.36%
HFRX RV: Yield Alternative Index - - - - 1.32% 7.49% 10.03% -2.53% 13.85%


Americas
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Latin America Index - - - - -0.06% 0.99% 9.31% -8.54% 19.71%
HFRX North America Index 0.1806% 1.23% 5.44% 1394.32 -0.02% 4.15% 5.46% -3.20% 2.28%


Asia
  Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Asia Composite Hedge Fund Index - - - - 1.39% 9.44% 8.50% -9.22% 10.50%
HFRX Asia Equally Weighted Index - - - - 1.57% 10.14% 8.41% -8.65% 10.51%
HFRX Asia ex-Japan Index - - - - 1.34% 8.13% 9.16% -13.81% 10.38%
HFRX Asia with Japan Index - - - - 0.29% 7.26% 7.93% -5.18% 10.77%
HFRX Japan Index - - - - 3.06% 15.11% 8.06% -6.80% 8.32%
HFRX China Index - - - - 1.75% 8.81% 9.43% -9.88% 9.37%
HFRX India Index - - - - 2.84% -4.85% 27.63% -40.70% 15.47%
HFRX Korea Index - - - - 5.14% 10.02% 1.74% -7.54% 22.22%


Europe
  Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Northern Europe Index - - - - 1.18% 3.63% 8.65% -1.92% 5.60%
HFRX Russia/Eastern Europe Index - - - - 0.66% -2.09% 4.88% -14.95% 21.60%
HFRX Western/Pan Europe Index - - - - 0.95% 5.65% 10.95% -2.43% 7.60%


Emerging Markets
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Asia ex-Japan Index - - - - 1.34% 8.13% 9.16% -13.81% 10.38%
HFRX Brazil Index - - - - -0.39% 0.96% 9.47% -16.35% 16.39%
HFRX BRIC Index - - - - 0.75% 0.22% 13.41% -20.17% 15.99%
HFRX China Index - - - - 1.75% 8.81% 9.43% -9.88% 9.37%
HFRX India Index - - - - 2.84% -4.85% 27.63% -40.70% 15.47%
HFRX Korea Index - - - - 5.14% 10.02% 1.74% -7.54% 22.22%
HFRX Latin America Index - - - - -0.06% 0.99% 9.31% -8.54% 19.71%
HFRX MENA Index - - - - 0.33% 5.96% 8.61% -11.71% 22.67%
HFRX Emerging Markets Composite Index -0.0536% 1.36% 4.78% 2146.93 2.32% 3.38% 8.67% -6.33% 16.45%
HFRX Multi-Emerging Markets Index - - - - 1.22% 5.93% 13.14% 4.79% 17.34%
HFRX Russia Index - - - - -1.20% -4.07% 6.60% -12.43% 19.61%
HFRX Russia/Eastern Europe Index - - - - 0.66% -2.09% 4.88% -14.95% 21.60%
HFRX Total Emerging Market Index - - - - 0.50% 2.90% 6.76% -5.91% 17.12%


Other Regions
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Multi-Region Index 0.1161% 1.27% 5.07% 1245.69 1.11% 3.75% 5.00% -14.77% 8.29%


FX Hedged Indices 
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Equal Weighted Strategies CHF Index 0.0862% 1.09% 4.37% 1285.46 0.77% 3.24% 1.77% -7.20% 4.65%
HFRX Equal Weighted Strategies EUR Index 0.0887% 1.09% 4.41% 1105.79 0.78% 3.29% 2.11% -5.91% 4.99%
HFRX Equal Weighted Strategies GBP Index 0.0866% 1.10% 4.64% 2172.97 0.82% 3.51% 2.54% -6.05% 5.37%
HFRX Equal Weighted Strategies JPY Index 0.0893% 1.11% 4.61% 104179.49 0.83% 3.46% 2.24% -6.34% 4.98%
HFRX Global Hedge Fund CHF Index 0.0729% 1.25% 4.84% 1310.29 0.56% 3.55% 2.65% -9.75% 4.36%
HFRX Global Hedge Fund EUR Index 0.0758% 1.25% 4.89% 1120.53 0.57% 3.59% 3.05% -8.70% 4.63%
HFRX Global Hedge Fund GBP Index 0.0730% 1.27% 5.21% 2230.47 0.61% 3.89% 3.37% -8.41% 5.19%
HFRX Global Hedge Fund JPY Index 0.0759% 1.29% 5.20% 107428.46 0.62% 3.86% 3.28% -9.03% 4.85%
HFRX Equity Hedge EUR Index 0.0555% 1.75% 7.50% 1071.03 0.53% 5.65% 4.24% -18.90% 8.24%
HFRX Macro/CTA EUR Index 0.2422% 0.26% 0.70% 1124.39 0.46% 0.44% -1.22% -4.53% -1.69%
HFRX Event Driven EUR Index -0.0616% 1.78% 8.06% 1430.97 0.91% 6.16% 5.46% -4.67% 1.60%
HFRX Relative Value Arbitrage EUR Index 0.0910% 1.09% 3.13% 1150.15 0.44% 2.01% 3.20% -3.68% 7.35%


Concept Indices
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Fixed Income - Credit Index 0.1477% 1.56% 5.83% 1981.73 1.12% 4.20% 7.65% -3.61% 10.17%
HFRX MLP Index -0.2479% 1.04% 17.19% 1799.75 0.51% 15.98% 4.12% 12.49% 31.13%
HFRX Alternative Energy Index - - - - -2.63% -1.26% 6.08% 6.05% 6.76%
HFRX Diversity Index - - - - 1.09% 4.33% 7.66% -2.12% 8.73%


Concept Indices - FX Hedged
Daily Performance as of: 2013-05-16    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 13 ROR YTD 2012 2011 2010
HFRX Opportunity EUR Index 0.0399% 1.53% 8.30% 1379.78 1.27% 6.67% 5.47% -11.11% 6.24%



NOTES:
HFR will cease to publish new performance for the HFRX ED: Private Issue/Regulation D Index. The last published performance date for this index will be December 2012.

The names for several HFRX Indices have been updated in order to better reflect how each index falls within the HFR Hedge Fund Strategy Classification system. (October 1, 2011)

HFRX Indices are designed to be representative of the overall composition of the hedge fund industry.

Hedge Fund Research, Inc. ("HFR") utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Strategy Universe. Construction of each Index employs state-of-the-art quantitative techniques and qualitative analysis. Multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding hedge fund strategy.

The full "HFRX Hedge Fund Indices Defined Formulaic Methodology" may be downloaded here

HFRX index performance profiles reflect respective dates of inception. Index values provided prior to the inception of daily performance, are calculated by means of retroactive and iterative application of the index model. The values for the HFRX EUR, JPY, CHF and GBP FX Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency. All HFRX Indices are re-balanced quarterly.



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HFRX Indices that report on a daily interval will post their finalized month-end performance 2 to 3 business days after the last business day of the month. The updated monthly returns will be posted as soon as the values are available.

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HFRX Indices Mid-May 2013 performance notes

Global financial markets extended 2013 gains through mid-May, as the Japanese Yen broke 100 $/¥ for the first time since May 2009 and US equities posted record closes in 9 out of 11 trading days through May 15th. Broad-based US equity gains were strong across both growth and value as well as small and large caps, with sector leadership from Technology, Cyclicals and Financials. European equities also posted strong gains as Greek sovereign debt surged; equity gains were led by Germany, Switzerland, Italy & the Netherlands and Greek equities hit highest level since August 2011. Japanese stocks gained nearly 9% through mid-May leading Asian gains and bringing the YTD gain for the Nikkei to over 45%; India, China & the Philippines also posted strong gains. Government bond yields rose across most developed markets, with yields on US Treasuries, German Bunds and UK Gilts all rising; yields increased across Italy, Spain & France as well. Greek bond yields fell to the lowest level in over 3 years on credit rating upgrade, with yields approaching 8%. M&A continued at a brisk pace with transactions in GE/Lufkin Industries, AETNA/Coventry Health Care and Solvay/INEOS, while high yield credit tightened to yield below 5%. Gold & Silver extended April declines, posting additional losses through mid-May; cattle, lumber, sugar and corn also posted declines. The US$ posted strong gains across the board on expectations for curtailment of stimulus efforts; the Dollar breached a 4 year high against the Japanese Yen, but also rising against the British Pound Sterling, Euro, Swiss Franc and Australian Dollar. Hedge funds posted a 7th consecutive monthly gain through mid-May, with the HFRX Global Hedge Fund Index gaining +1.16%; the HFRX Market Directional also posted a gain of +1.43%.

HFRX Event Driven Index posted a gain of +1.81% through mid-May, the 7th consecutive month of gains, with contributions from Equity Special Situations, Merger Arbitrage and Distressed strategies. The HFRX Special Situations Index gained +1.63% with contributions from transactions in the Energy/Basic Materials, Financial and Cyclical sectors, as well as JC Penny, Sony, Yahoo, Apple & Herbalife, while the HFRX Distressed Index posted a gain of +1.16%. HFRX Merger Arbitrage Index posted a gain of +0.14%, with contributions from transactions in FirstMerit/Citizens Republic Bancorp, KKR/Gardner Denver, Liberty Global/Virgin Media, Berkshire/Heinz and Markel/Alterra.

HFRX Equity Hedge Index posted a gain of +1.66% through mid-May, the 12th consecutive month of gains, with contributions from Fundamental equity long short strategies. The HFRX Fundamental Value Index gained +2.51% from large cap exposure to the US Financial, Consumer and European equities. The HFRX Fundamental Growth Index gained +0.54% from exposure to Japanese, Emerging Asian and Latin American equity, Communications, Financial and Consumer sectors. The HFRX Market Neutral Index posted a decline of -0.74% from contributions from factor based, trading and behavioral strategies.

HFRX Relative Value Arbitrage Index posted a gain of +0.99% through mid-May, also the 7th consecutive month of gains, with contributions from Convertible, Multi-Strategy and Corporate Fixed Income strategies. The HFRX RV: Convertible Arbitrage Index gained +2.51% with gains concentrated in directional exposure to US and Japanese convertibles, credit gains, gamma trading and effective rate hedging. The HFRX RV: Multi-Strategy Index posted a gain of +0.80%, with contributions from US & Asian credit exposures and Commodity Arbitrage strategies, while HFRX Fixed Income Credit Index gained +1.42% as global credit continued to tighten and hedging offset rising bond yields.

HFRX Macro Index posted a narrow gain of +0.02%, with contributions from tactical sovereign Fixed Income, Multi-Strategy and Currency strategies only partially offset by quantitative Systematic CTA strategies. The HFRX Emerging Markets Index posted a gain of +1.42% with contributions from Asian and Latin American exposures. The HFRX Macro: Systematic Diversified Index posted a decline of -0.42% as Metals extended declines from April, while the US Dollar posted strong gains.


Comments reference performance figures as posted for May 15, 2013


Previous notes:

April 2013

March 2013

February 2013

January 2013

December 2012

November 2012

October 2012

September 2012

August 2012

July 2012

June 2012

May 2012

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