Hedge funds extended the prior month’s gains in November, driven by strong Macro & CTA performance, according to data released today by HFR.
The HFRI Fund Weighted Composite Index® gained +0.5 per cent for the month (Index Value = 12,460), paring 3Q declines and lifting the Index to a YTD gain of +0.3 per cent for 2015. Recent performance gains have increased total hedge fund capital to $2.92 trillion through November, narrowly below the mid-year 2015 record of $2.93 trillion.
Hedge fund performance in November was driven primarily by Macro, CTA, Activist and Technology exposures, as the HFRI Macro Index gained +2.1 per cent, the strongest monthly performance since January. Through November, the HFRI Macro Index leads all hedge fund strategies with a YTD gain of +0.8 per cent. For the month, Macro sub-strategy gains were led by the HFRI Macro: Systematic Diversified/CTA Index, which advanced +3.1 per cent, also the strongest monthly performance since January, while the HFRI Macro: Currency Index gained +1.9 per cent.
Equity Hedge (EH) strategies posted mixed performance for the month, led by Technology and Healthcare-focused hedge funds, with the HFRI EH: Technology/Healthcare Index adding +2.3 percent; the Index leads all hedge fund sub-strategies YTD with a gain of +6.7 per cent. Paring these gains, the HFRI EH: Fundamental Growth Index declined -0.8 per cent in November, while the HFRI Emerging Markets Index fell -0.7 per cent, bringing the HFRI Equity Hedge Index to a narrow decline of -0.07 percent; the EH Index has gained +0.2 per cent YTD through November.
Event Driven (ED) strategies posted a decline for the month, as weakness in Distressed and Multi-Strategy funds offset recovering Activist exposures. The HFRI Event Driven Index fell -0.5 per cent in November, led by declines in the HFRI ED: Distressed and HFRI ED: Multi-Strategy indices of -1.8 and -1.2 per cent, respectively. The HFRI Activist Index gained +2.3 per cent in the month, partially recovering 3Q losses and increasing YTD Index performance to +3.3 per cent.
Fixed income-based Relative Value Arbitrage (RVA) strategies also posted declines as U.S. yields increased and high yield credit widened, with the HFRI Relative Value Index falling -0.6 per cent for the month; through November, the Index has gained +0.3 per cent. RVA November declines were led by Yield Alternative hedge funds, as the HFRI RV: Yield Alternatives Index fell -3.4 per cent for the month. The HFRI RV: Volatility Index advanced +0.07 per cent for the month and leads RVA sub-strategies for 2015 with a gain of +6.5 per cent through November.
“After a narrow October decline, Macro hedge funds posted strong gains in November, benefitting from powerful trends in the US Dollar, as well as from short exposures across fixed income and various Metals and Energy commodities,” says Kenneth J Heinz (pictured), President of HFR. “Shareholder Activist and Technology hedge funds also continued to recover from 3Q losses, as investor risk tolerance improved throughout November. The divergence between the US and European economies, as well as the near-term path of monetary policies in each respective region, has created tremendous opportunities across multiple asset classes, which are likely to drive performance gains and industry growth, uncorrelated to directional equity markets, into 2016.”
