HFRI extends 1Q performance and high watermark with 6th consecutive monthly gain;
Quantitative, Trend Following Macro CTAs post strongest gain in 10 months
Hedge funds posted gains for the sixth consecutive month, as trend-following, quantitative Macro strategies successfully navigated the dramatic selloff in gold and other commodities, according to data released today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry. The HFRI Fund Weighted Composite Index gained +0.7 percent for the month, with positive contributions from U.S. and Japanese equity exposure, tactical commodity exposure, and falling fixed income yields globally on Bank of Japan stimulus measures and bond purchases. Funds of Hedge Funds also posted a gain for the month, with the HFRI Fund of Funds Index gaining +1.1 percent.
The HFRI Macro: Systematic Diversified CTA Index gained +2.3 percent for the month, with positive contributions from tactical exposure to steep gold, metal and commodity declines, as well as exposure to rallying equities and fixed income trends. CTAs have been an area of performance weakness in recent years, as they produced calendar year declines in 2011 and 2012; despite this, CTAs experienced net capital inflows of $5 billion in 1Q13. Discretionary Macro funds also contributed to gains for the month, with the HFRI Macro (Total) Index gaining +1.0 percent in April.
The HFRI Relative Value Index also gained +1.0 percent in April, the 11th consecutive gain for the Index, which has now posted gains in 45 of 52 months since December 2008. RVA gains were led by RV: Multi-Strategy and Convertible Arbitrage strategies, which gained +1.5 and +1.1 percent, respectively. Event Driven funds also produced strong gains for the month, with the HFRI Event Driven Index gaining +0.9 percent. Event Driven gains were led by Equity Special Situations and Credit Arbitrage sub-strategy exposures.
The HFRI Equity Hedge Index gained +0.4 percent for the month, leading all main strategies YTD with a gain of +5.4 percent. Equity Hedge gains were led by Sector Technology/Healthcare and Equity Market Neutral strategies, which gained +1.3 and +0.7 percent for April, respectively. Partially offsetting other Equity Hedge gains, HFRI Short-Bias and Sector Energy/Basic Materials indices produced declines of -2.8 and -1.3 percent for the month.
“Trend-following, quantitative Macro CTAs posted their strongest monthly gain in nearly a year as equities and commodities experienced a significant divergence in April, with gold posting the sharpest two-day decline in 30 years while U.S. equities ended the month at new record highs,” stated Kenneth J. Heinz, President of HFR Inc. “Although recent market performance has been dominated by U.S. equity gains, both the industry-wide April gains and leadership of Macro strategies underscore the robustness of the flexible multi-asset class exposure and the benefits of heterogeneous hedge fund strategy performance distribution. As the risk environment evolves, macro issues of stimulus, inflation, growth and employment will continue to drive complex relationships between asset classes and create opportunities for funds positioned to capture both trends and divergences.”
