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Morgan Hedge Strategy Indices

2016 | More
  Hedge Fund Index  MHX Aggregate and Category Index
  Hedge Fund Index  Morgan Hedge MHX ABSOLUTE ALPHA™ INDEX

MHX Strategy Index  2016
StrategyYTDJanFebMarAprMayJunJulAugSepOctNovDec
Activist2.69-7.43-2.928.960.50-5.630.016.024.83-0.45-0.06----
Arbitrage1.38-1.76-0.550.630.900.410.380.950.60-0.10-0.06----
Commodities16.99-2.93-8.458.488.04-7.643.3412.721.733.68-1.01----
Convertible Arbitrage-0.41-1.700.231.07------------------
Distressed Securities-2.33-2.66-1.621.98------------------
Emerging Markets13.35-5.210.045.560.301.863.452.241.082.171.50----
Equity Long only5.96-5.91-0.774.031.162.09-0.293.642.370.631.56-2.30--
Equity Long/Short-4.41-3.40-1.061.04-0.291.86-2.611.560.090.09-1.63----
Equity Market Neutral-6.440.06-1.80-0.26-1.47-1.231.01-0.67-0.62-0.98-0.65----
Event Driven6.24-2.081.254.561.89-0.31-0.710.711.561.25-1.87----
Fixed Income0.25-0.94-0.461.510.910.311.060.44-0.11-0.21-2.21----
Fixed Income Arbitrage-0.26-1.03-0.271.05------------------
Fixed Income High Yield9.35-0.99-0.282.011.920.781.241.341.310.820.580.30--
Forex ( Currencies)3.681.041.651.05-0.520.540.380.10-0.070.33-1.240.39--
Global Macro8.57-1.29-0.380.36-0.870.435.283.030.280.501.09----
Long Bias3.90-5.19-0.353.650.92-0.230.034.85-0.100.57------
Market Neutral-7.05-2.57-1.641.77-1.891.16-0.321.63-1.89-1.44-1.99----
Merger Arbitrage3.920.380.511.060.500.410.190.60-0.260.89-0.42----
Fixed Income Mortgages1.17-2.68-3.482.751.73-0.06-0.352.73-0.020.250.48----
Multi-Strategy/Diversified0.19-2.22-0.811.050.160.480.050.650.320.310.25----
Options/Derivatives Strategies-0.93-3.69-0.39-0.46-0.261.77-1.650.900.880.611.48----
Quantitative2.84-1.340.621.401.86-0.080.57-0.88-3.13-1.471.104.34--
Regulation D-1.21-2.04-1.280.270.790.71-0.531.160.45-0.08-0.62----
Sector: Energy17.74-2.80-0.375.673.66-1.203.239.99-1.163.45-3.24----
Sector: Financial-2.99-4.62-1.553.30------------------
Sector: Healthcare / Biotech-10.03-8.17-3.201.22------------------
Sector: Real Estate0.47-4.04-0.645.37------------------
Sector: Technology-3.16-4.44-0.472.23-0.701.77-1.762.16-0.660.17-1.33----
Sector: Other55.03-4.684.893.9810.95-4.3520.3330.37-7.258.11-10.67----
Short Bias17.687.702.506.60------------------
Small/Micro Cap9.223.562.05-2.942.69-4.341.105.362.032.90-3.09----
Special Situations0.44-0.580.210.82------------------
Statistical Arbitrage-2.04-1.12-1.120.19------------------
Value5.78-5.570.405.421.831.15-1.804.212.24-1.01-0.79----
Volatility9.68-1.871.123.340.372.37-0.650.700.96-0.952.221.81--
Other-1.44-2.12-0.371.18-1.79-1.501.410.640.83-0.110.45----
Currency (CTA)3.971.301.760.91-0.181.09-0.28-0.270.070.25-1.761.08--
Discretionary (CTA)13.931.240.74-3.826.65-0.49-0.30-4.831.890.394.517.90--
Diversified / Multi Strategy (CTA)6.14-0.631.32-0.362.270.48-0.25-2.470.041.933.79----
Financial (CTA)12.691.241.581.751.551.211.850.950.841.06------
Interest Rates (CTA)3.180.49-3.631.421.541.220.801.14-0.250.51------
Stock Index (CTA)19.170.903.570.890.773.090.490.441.980.400.534.73--
Systematic / Quantitative (CTA)-3.323.542.17-2.72-0.83-1.444.250.01-3.39-0.70-2.01-1.92--

Last updated: 2016-12-03

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