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Morgan Hedge Strategy Indices

2017 | More
  Hedge Fund Index  MHX Aggregate and Category Index
  Hedge Fund Index  ABSOLUTE ALPHA™ INDEX

MHX Strategy Index  2017
StrategyYTDJanFebMarAprMayJunJulAugSepOctNovDec
Activist-5.61-1.95-0.37-1.013.87-9.111.49-0.91-5.007.401.430.70-1.34
Arbitrage3.851.920.210.220.68-0.040.360.47----------
Commodities-7.110.140.14-5.511.53-1.940.16-2.24-0.02-0.511.09----
Emerging Markets3.450.391.15-2.141.710.26-0.900.073.571.480.05-2.09--
Equity Hedged9.062.09-0.091.330.170.141.452.34-0.990.74-1.042.430.22
Equity Long only25.053.851.213.462.563.37-0.262.301.010.632.780.391.35
Equity Long/Short9.671.170.620.580.72-0.05-0.250.990.561.322.250.570.81
Equity Market Neutral-0.34-1.72-0.201.330.50-3.47-1.721.261.671.123.97-2.83--
Event Driven4.341.54-2.081.391.43-2.162.51-2.951.705.53-1.61-0.73--
Fixed Income12.225.502.51-0.333.520.831.732.42-0.503.08-1.44-5.28--
Fixed Income High Yield6.030.551.340.840.560.65-0.130.390.360.460.88-0.650.66
Forex ( Currencies)0.971.230.44-0.04-2.571.15-0.30-1.71-0.210.520.410.641.48
Global Macro18.362.280.18-1.02-1.431.590.023.291.613.653.152.161.65
Long Bias6.963.880.900.020.021.04-0.261.23----------
Market Neutral2.66-0.210.62-0.960.03-1.57-1.871.721.98-0.024.16-1.09--
Merger Arbitrage2.55-0.170.100.410.490.490.59-0.760.630.550.090.11--
Fixed Income Mortgages4.980.610.280.100.280.420.620.090.330.140.491.52--
Multi-Strategy/Diversified5.250.590.240.340.020.190.140.730.910.070.750.061.09
Options/Derivatives Strategies7.550.770.361.700.890.610.350.550.980.900.44-0.23--
Quantitative5.42-0.670.960.050.72-0.17-0.731.00-0.711.082.810.090.93
Regulation D6.350.781.470.281.101.24-0.321.14-0.080.400.81-0.61--
Sector: Energy1.942.100.781.25-2.14----------------
Sector: Technology2.81-2.843.552.19------------------
Sector: Other7.2211.38-3.77-0.100.14----------------
Small/Micro Cap9.370.561.75-0.89-2.542.46-1.530.474.463.782.87-2.540.44
Value19.782.723.29-0.720.820.891.051.37-0.162.152.523.420.93
Volatility4.141.20-0.221.15-0.570.45-0.461.27-0.010.82-0.270.710.03
Other2.47-1.960.952.430.40-0.190.42-0.450.72---0.520.680.02
Currency (CTA)0.930.980.66-0.21-1.611.19-0.18-2.12-0.110.190.410.481.32
Discretionary (CTA)4.792.181.66-0.74-2.45-1.152.272.16-0.27-0.43-1.770.043.37
Diversified / Multi Strategy (CTA)5.284.31-14.4714.270.841.271.720.801.810.97-4.06----
Financial (CTA)11.881.071.051.000.991.380.830.631.090.891.240.081.03
Interest Rates (CTA)11.851.301.251.361.000.391.221.590.951.270.960.38-0.40
Stock Index (CTA)9.061.860.401.05-0.89-0.26-0.791.382.070.990.660.451.85
Systematic / Quantitative (CTA)3.46-0.050.630.300.03-0.47-1.940.352.520.101.45-0.380.92
Volatility (CTA)6.532.41-3.872.024.39-0.421.041.040.721.25-1.331.00-1.66

Last updated: 2018-01-13

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