HFR released the following recap earlier this week.

The HFRI Fund Weighted Composite Index gained 1.2% in November, as optimism regarding U.S. economic growth outweighed risks and negative sentiment around trade/tariff negotiations and impeachment proceedings, according to data released today by HFR, the established global leader in the indexation, analysis, and research of the global hedge fund industry.

Heading into year-end, hedge funds extended their run of positive performance in November. Broad-based gains were evident across all strategies. The top sub-strategies were Healthcare, Technology, and Fundamental Value.

The HFRI 500 Fund Weighted Composite Index, an investible index of 500 leading hedge funds, advanced +0.8 percent in November, while the HFRI-I Liquid Alternative UCITS Index added 0.43%, led by a 0.62% return in the HFRI-I Liquid Alternative UCITS Equity Hedge Index.

HFRI Fund Weighted Composite Index Update

“Broad-based gains across hedge funds, as well as risk parity, risk premia, and liquid alternatives strategies underscores the underlying strength and correlation among the four major asset classes in recent months and leading into year-end 2019,” stated Kenneth J. Heinz, President of HFR. “This recent asset correlation represents both a performance tailwind benefit as well as a risk heading into 2020. While benefitting from this trend, managers are also positioning for interest rate volatility and other potential geopolitical and macroeconomic catalysts for volatility including Brexit scenarios, ongoing trade negotiations, impeachment proceeding, and the US election. Tactical exposure to opportunities created by these catalysts and trends is likely to define performance in early 2020.”

Powerful risk-on sentiment drove gains in Bank Risk Premia strategies for the month, as the HFR Bank Systematic Risk Premia Credit Index surged +4.0 percent, while the HFR Bank Systematic Risk Premia Currency Index gained 2.7%. The HFR Risk Parity Vol 12 Index led risk parity exposures in November, adding 0.25% for the month, while the HFR Risk Parity 15 Vol Index continues to lead YTD performance with its record 27.1% return, reflecting the broad-based nature of gains across 4 major asset classes in 2019.

Top Performance for the Month

The HFRI Equity Hedge (Total) Index led main strategy performance for the month, advancing +2.0 percent and bringing the YTD return to 11.4%, which narrowly trails, but is on pace to eclipse, the 2017 gain of 13.3%. Similar to October, EH sub-strategies were again led by the HFRI EH: Healthcare Index, which surged 6.1% in November, while the HFRI EH: Quantitative Directional Index jumped 3.4%.

Event-Driven (ED) and fixed income-based Relative Value Arbitrage (RVA) strategies also advanced for the month, as M&A activity remained vibrant while high yield credit gained. The HFRI Event-Driven (Total) Index gained 0.9%, while the HFRI Relative Value (Total) Index added 0.4% in November. ED sub-strategy performance was led by the HFRI ED: Special Situations Index, which advanced 1.8% in November.

For the year, ED sub-strategy performance continues to be led the HFRI ED: Activist Index, which has surged 13.1% thus far in 2019. RVA was led by the HFRI RV: Multi-Strategy Index in November, which advanced 0.8%, while the HFRI RV: Yield Alternatives Index leads RV sub-strategies YTD with a 9.1% return. Macro strategies advanced in November, partially reversing the October decline, led by quantitative trend-following CTA strategies.

The HFRI Macro (Total) Index returned 0.3% for the month, driven by the HFRI Macro: Systematic Diversified Index, which gained 1.0%. The HFRI Macro: Active Trading Index added 0.6% in November and leads Macro sub-strategies with a YTD return of 8.4%.