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Morgan Hedge Fund Database
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Morgan Hedge Strategy Indices

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

MHX Strategy Index  2017
StrategyYTDJanFebMarAprMayJunJulAugSepOctNovDec
Activist-4.99-1.95-0.37-1.013.87-9.111.49-0.91-5.007.401.43----
Arbitrage3.851.920.210.220.68-0.040.360.47----------
Commodities-7.640.140.14-5.511.53-1.940.16-2.24-0.02--------
Emerging Markets5.670.391.15-2.141.710.26-0.900.073.571.480.06----
Equity Hedged2.472.47----------------------
Equity Long only19.473.960.653.182.293.32-0.612.121.16-0.302.28----
Equity Long/Short7.921.170.620.580.72-0.05-0.250.510.441.802.13----
Equity Market Neutral-0.83-0.13-0.71--------------------
Event Driven10.731.54-2.081.391.43-2.162.51-2.951.706.552.67----
Fixed Income20.215.502.51-0.333.520.831.732.42-0.503.08------
Fixed Income High Yield6.020.551.340.840.560.65-0.130.390.360.460.88----
Forex ( Currencies)-1.141.230.44-0.04-2.571.15-0.30-1.71-0.210.520.41----
Global Macro11.652.280.18-1.02-1.431.590.023.291.613.651.04----
Long Bias6.963.880.900.020.021.04-0.261.23----------
Market Neutral3.79-0.210.62-0.960.03-1.57-1.871.721.98-0.024.16----
Merger Arbitrage2.44-0.170.100.410.490.490.59-0.760.630.550.09----
Fixed Income Mortgages2.900.610.280.100.280.420.620.090.330.14------
Multi-Strategy/Diversified3.930.590.240.340.020.190.140.730.910.070.63----
Options/Derivatives Strategies7.860.770.361.700.890.610.350.550.980.760.64----
Quantitative4.22-0.670.960.050.72-0.17-0.731.00-0.711.082.68----
Regulation D6.140.781.470.281.101.24-0.321.14-0.080.40------
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 Cap11.730.561.75-0.89-2.542.46-1.530.474.463.782.87----
Value14.792.723.29-0.720.820.891.051.37-0.162.152.55----
Volatility3.381.20-0.221.15-0.570.45-0.461.27-0.010.82-0.27----
Other1.76-1.960.952.430.40-0.190.42-0.450.72---0.52----
Currency (CTA)-0.860.980.66-0.21-1.611.19-0.18-2.12-0.110.190.41----
Discretionary (CTA)-3.862.181.66-0.74-2.45-1.152.272.16-0.27-2.42-4.90----
Diversified / Multi Strategy (CTA)5.284.31-14.4714.270.841.271.720.801.810.97-4.06----
Financial (CTA)10.651.071.051.000.991.380.830.631.090.891.24----
Interest Rates (CTA)11.881.301.251.361.000.391.221.590.951.270.96----
Stock Index (CTA)5.721.860.401.05-0.89-0.26-0.790.562.070.990.65----
Systematic / Quantitative (CTA)2.64-0.050.630.300.03-0.47-1.940.352.520.091.21----

Last updated: 2017-11-18

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